Skip to main content

13 posts tagged with "Strategy Library"

Strategy Library

View All Tags

Skew This: NetZero

· 5 min read
Banner

Intro​

The last 12 to 18 months have been challenging for (the well-known) options strategies using medium- to long-dated tenors. A prolonged period of stagnation was followed by a crash (VolZilla), which unfortunately led to higher-than-usual drawdowns or, in some cases, completely wiped out accounts. Some attribute these results to skew dynamics, while others associate it with the end of the Zero Interest Rate Policy (ZIRP).

Strategies that survived VolZilla

· 11 min read
VolZilla Banner

The Event​

On August 5, 2024, Japanese stocks suffered their biggest daily loss since 1987. The Nikkei 225 closed down by over 12%. Shortly afterward, the Bank of Japan raised interest rates, causing the yen to surge higher. The increased interest rates and stronger yen forced market participants to unwind their yen carry trades.

Portfolio Construction Methods

· 10 min read
Trippy MPT

Overview​

Over the last two years, we have shared numerous backtests featuring public options trading strategies (such as NetZero, Boxcar, or Weekend Effect), strategy variants contributed by our customers (Volatility Hedged Theta Engine, Relaxed SuperBull trade), and built-in strategy templates that turned out to be good starting points (trailing stop, 0DTE-IC).

These income strategies cover a wide range of moneyness and time to maturity. Some stand out, others are just average and some are not performing well currently.

It is well known that diversification helps build better investments.In this article, we will explore how Equal Weighting and Modern Portfolio Theory might help improve investment performance.