The aim of this article is to explain the main idea behind the concept of volatility arbitrage by using Delta neutral portfolios composed by a combined position in a derivative instrument sensible to changes in (expected) volatility of the underlying, in our case an option contract, and in the underlying itself, in our case a […]
The banking sector has been one of the most discussed among regulators, journalists and practitioners across the globe in the last 10 years. This article aims to analyse a dual simple systematic trading strategies for both USA and EU (EMU area) banking sector. We select the following 10 banks for the European market: Unicredit, Intesa […]
What is the current market view on Gold? How are positioned the largest speculators in Oil? This article tries to exploit all these information thanks to a useful tool, known as the ‘Commitment Of Traders’ report. The main goal is to develop a passive trading strategy based on what the ‘Sharks’ are currently doing in the market, […]
This article aims to analyse whether it is possible to take advantages from momentum. From Investopedia: “ The idea of momentum in securities is that their price is more likely to keep moving in the same direction than to change directions. In technical analysis, momentum is considered an oscillator and is used to help identify trend lines […]
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