Volatility trading system design with scaling Risk Management

We propose a volatility trading system that comprises two uncorrelated components. The first component is astraddle long-short strategy which profits by anticipating changes in the volatility of stocks within the SP 500 Index.The second component is a filtered out-of-the-money put writing strategy on the SP 500 Index which profits by collecting premiums while avoiding losses that would occur during market selloffs by using the Absorption Ratio to detect fragile market regimes. We combine these two components into a portfolio by weighting them in such a way that they contribute equally to total portfolio risk.In addition,we include a dynamic hedging overlay to provide further protection to the portfolio.

Name thesis:degree_name

Master

Department dc:contributor.department

Massachusetts Institute of Technology. Engineering and Management Program

Grantor dc:publisher

Massachusetts Institute of Technology

Year dc:date.issued

2020

Author dc:creator

• Zhou, Bin, S.M. Massachusetts Institute of Technology (2020)

Advisor dc:contributor.advisor

• Mark P.Kritzman.

• Engineering and Management Program.
• System Design and Management Program.

Statement dc:rights

• MIT theses may be protected by copyright. Please reuse MIT thesis content according to the MIT Libraries Permissions Policy, which is available through the URL provided.

Licence dc:rights.uri

• http://dspace.mit.edu/handle/1721.1/7582

Language dc:language.iso

eng

Handle dc:identifier.uri

https://hdl.handle.net/1721.1/132881

OAI identifier oai:identifier

oai:dspace.mit.edu:1721.1/132881