The
Investment Analytics Volatility Arbitrage Program
comprises proprietary econometric models that
produce forecasts of future volatility of
exceptional accuracy. One measure of the ability
of the models, direction prediction accuracy,
shows that, on average, the models enable the
correct timing of the volatility market
approximately 75% of the time. This extraordinary
level of forecasting performance accounts for the
exceptional trading results achieved by the Caissa
Capital Fund since 2002.
The modelling system
analyses stock and option data at the end of each
trading day, updates volatility forecasts, and
identifies new arbitrage opportunities using
sophisticated proprietary option pricing models.
Applying complex portfolio construction
algorithms, the system produces a trading sheet
which contains detailed recommendations specifying
the quantities of each option be bought or sold,
the theoretical edge of the trade and the hedging
requirement. The trading sheet is emailed
automatically to traders and risk managers before
the start of each trading session.
For more information on the
program, go here.
