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Volatility Cone Trading

Advanced quantitative volatility trading using historical analysis.

Master

Market Outlook

market-neutral

Family

exotic

Capital Req

very-high

Risk Profile

mean-reverting

Strategy Overview

Key characteristics and when to use

Structure

Historical vs Implied Volatility Arbitrage

Greek Profile

Vega focused, other greeks hedged

Characteristics

QuantitativeVolatilityProfessionalStatistical

Profit & Loss Formulas

Mathematical breakdown

Max Profit

Volatility edge × Vega × Time

Max Loss

Maximum adverse volatility move

Breakeven

Implied volatility = Forecasted realized volatility