Modification of long-term volatility trading methods based on a delta-neutral strategy

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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.

About the authors

Arkadiy P. Plotnikov

Yuri Gagarin State Technical University of Saratov

Author for correspondence.
ORCID iD: 0000-0002-2625-9104

Doctor of Economics, professor of the Department of Economic Security and Innovation Management

Russian Federation, 77, Polytechnicheskaya street, Saratov

Victor P. Glazkov

Yuri Gagarin State Technical University of Saratov

ORCID iD: 0000-0002-3642-9365

Doctor of Technical Sciences, professor of the Department of Applied Information Technologies

Russian Federation, 77, Polytechnicheskaya street, Saratov

Roman A. Shishlov

Yuri Gagarin State Technical University of Saratov

ORCID iD: 0000-0002-0999-9821

PhD student

Russian Federation, 77, Polytechnicheskaya street, Saratov


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