Vestnik Samarskogo universiteta. Ekonomika i upravlenie Vestnik of Samara University. Economics and ManagementVestnik Samarskogo universiteta. Ekonomika i upravlenie Vestnik of Samara University. Economics and Management2542-04612782-3008Samara National Research University986510.18287/2542-0461-2021-12-3-70-79Modification of long-term volatility trading methods based on a delta-neutral strategyPlotnikovArkadiy P.<p>Doctor of Economics, professor of the Department of Economic Security and Innovation Management</p>arcd1@yandex.ruhttps://orcid.org/0000-0002-2625-9104GlazkovVictor P.<p>Doctor of Technical Sciences, professor of the Department of Applied Information Technologies</p>glazkovvp@gmail.comhttps://orcid.org/0000-0002-3642-9365ShishlovRoman A.<p>PhD student</p>romanshishlov@yandex.ruhttps://orcid.org/0000-0002-0999-9821Yuri Gagarin State Technical University of Saratov2511202112370792511202125112021Copyright © 2021, Vestnik of Samara University. Economics and Management2021<p>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.</p>tradingspeculationmarket-neutral strategydelta-neutral strategyfuturesstockautomationtrading robotautomatic trading system.трейдингволатильностьрыночно-нейтральная стратегиядельта-нейтральная стратегияфьючерсакцияавтоматизацияторговый роботавтоматическая торговая система.[1.Connolly K. Buying and selling volatility. Translated from English by Naidenov V.V., Bushuev A.V. Moscow: IK «Analitika», 2006, 264 p. Available at: https://forex-method.ru/konnolli-pokupka-i-prodazha-volatilnosti- skachat-knigu-pdf. (In Russ.)][2.Shishlov R.A. Futures and options: advantages, disadvantages, features of practical application. In: Innovation in economics and business: scientific opinion: materials of the II international research and practical conference, Saratov, April 12, 2017. Saratov, 2017, pp. 160–169. Available at: https://elibrary.ru/item.asp?id=29887639. (In Russ.)][3.Nayman E.L. Small encyclopedia of trader: translation from English. Moscow: Izd. dom «Al''pina», 2005, 402][p. Available at: http://fxstudyonline.ru/wp-content/uploads/Erik_Nayman_Malaya_Entsiklopedia_Treydera.pdf. (In Russ.)][4.Ananchenko I.V., Musaev A.A. Trading robots and management in chaotic environments: a review and critique analysis. SPIIRAS Proceedings, 2014, no. 3 (34), pp. 178–203. Available at: http://proceedings.spiiras.nw.ru/ index.php/sp/article/download/1868/1695. (In Russ)][5.Burenin A.N. Forwards, futures, options, exotic and weather derivatives. Moscow: NTO imeni S.I. Vavilova, 2013, 704 p. Available at: https://institutiones.com/download/books/1595-forvardy-fyuchersy-opciony.html.; https://elibrary.ru/item.asp?id=19775691. (In Russ.)][6.Michael Lewis. Flash Boys. Moscow: IL, 2015, 320 p. Available at: https://vk.com/wall-39755942_4423. (In Russ.)][7.Markman Jon. Swing trading. Powerful strategies to reduce risk and increase profits. Moscow: Smart Book, 2017, 312 p. Available at: https://www.libfox.ru/624252-yon-markman-sving-treyding-moshchnye-strategii- umensheniya-riska-i-uvelicheniya-pribyli.html. (In Russ.)][8.Schwager Jack D. Technical Analysis. Moscow: Al'pina Pablisher, 2001, 768 p. Available at: https://zevs.in/upload/school/lessons/21/Dzhek_Shvager_Tekhnichesky_analiz_Polny_kurs.pdf. (In Russ.)][9.Gmurman V.E. Probability theory and mathematical statistics: textbook for universities. 9th edition, stereotyped. Moscow: Vyssh. shk., 2003, 479 p.: illustrated. Available at: http://lib.maupfib.kg/wp- content/uploads/2015/12/Teoria_veroatnosty_mat_stat.pdf. (In Russ.)]