Strategy

Evaluate various products with customizable trading rules and hedging strategies. Understand historical performance as well as potential gains and losses for live trades.

Historical perf.

Historical performance plots the PnL, cumulative PnL and distribution of profits for selected products, with the ability to pick hedging strategies and customize trading rules.

Currencies: Select cryptocurrency.

Strategy: Select volatility or skew.

Product: Select straddle/strange or butterfly (volatility strategy) or risk reversal (skew strategy).

Texp: Select time to expiration (in days).

Moneyness (% change): Change in strike price relative to spot/ATM strike price, positive for a call and negative for a put. Relevant to define the strikes of calls and puts for the various strategies.

Entry rule: Selected strategy (i.e. one daily trade) is only implemented on the days that the rule is met.

• None: No entry rule selected.

• Quantile: For a straddle/strangle, the ratio of implied volatility to trailing realized volatility must exceed (for buy) or be lower than (for sell) the selected % of observations. For a risk reversal, the ratio of implied volatility for a put relative to a call must exceed (for buy) or be lower than (for sell) the selected % of observations.

• Z-score: Deviation from the mean measured in terms of the number of standard deviations. The z-score must be lower (for buy) or be higher than (for sell) the selected threshold.

• Custom rule: For a straddle/strangle, the ratio of implied volatility to trailing realized volatility must be in the custom-selected range via “Juicy VRP” (for a straddle/strangle or butterfly) or via “Skew It” (for a risk reversal).

Live perf.

Understand potential gains and losses for live trades. For a given product/strategy, shows the probability of a selected level of profit or loss. Also shows the time value and delta of the option.