Open AccessModification of long-term volatility trading methods based on a delta-neutral strategy
Author(s) -
А. П. Плотников,
Плотников Аркадий Петрович,
Victor P. Glazkov,
Глазков Виктор Петрович,
Roman A. Shishlov,
Шишлов Роман Андреевич
Publication year - 2021
Publication title -
vestnik samarskogo universiteta. èkonomika i upravlenie
Language(s) - English
Resource type - Journals
eISSN - 2782-3008
pISSN - 2542-0461
DOI - 10.18287/2542-0461-2021-12-3-70-79
Subject(s) - volatility (finance) , trading strategy , futures contract , market liquidity , pairs trade , alternative trading system , profit (economics) , algorithmic trading , economics , business , database transaction , financial economics , monetary economics , microeconomics , computer science , programming language
Delta-neutral trading strategies for trading volatility allow you to make a profit regardless of the direction of change in the price of the underlying asset. Despite their popularity and high efficiency, they are usually made manually, which makes them less systematic and vulnerable to the negative influence of the human factor (emotions, late actions, erroneous submission of applications, etc.). The article proposes a unified delta- neutral strategy, taking into account several parameters for long-term volatility trading through transactions with underlying assets (futures or stocks) and options on these underlying assets, which creates prerequisites for its automation. The use of the strategy helps to increase the liquidity of investment assets traded on the exchange, increases the receipt of taxes, exchange fees and commissions, which brings great socio-economic benefits. Automation of the strategy significantly simplifies calculations, increases the speed of decision-making and can significantly increase the number of transactions made in the financial markets. In addition, the automatic calculation of the optimal values of the method parameters can make a significant contribution to the theoretical research of the modifications of the volatility trading methods.