Our Process

IDEA GENERATION
  • Quantitative screen to identify market inefficiencies through real-time monitoring of markets and volatility structures.
ANALYSIS DUE DILIGENCE
  • Comparison of volatility and market data using historical database and proprietary trading criteria.
  • Incorporation of market regime, expected news flow, and events to further validate the spotted inefficiency.
TRADE CONSTRUCTION
  • Based on the volatility structure, degree of mispricing, and perception of risk, the target profile of the trade is defined in terms of position size, maturity, and premium.
  • Scenario analysis is performed on the proposed trade to define the expected revenue versus potential losses to determine risk management and hedging strategies.
INVESTMENT DECISION
  • Final validity check of the proposed strategy is discussed within the trading team.
TRADE EXECUTION
  • Target profile is established by identifying and trading the optimal instruments.
  • Electronic trading platform facilitates speedy execution of trades.
  • CBOE Floor Brokers utilized to execute more complex trade orders.
RISK MANAGEMENT
  • Dynamic intraday hedging of delta exposures to maintain a market neutral portfolio.
  • Hard limits on exposure: static position limits on scenario analysis on portfolio levels.
  • Management of tail-risks on trade and portfolio level including diversified prime brokerage trading accounts to mitigate external risk.


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