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