Quant Services
Aggregating and analyzing data on options related to strike prices, volatility and various Greeks
Calculation of options Greeks using Black Scholes formulas
Historical and implied volatility for options as well as other derivatives
Aggregating options data for required strike prices, volatility and other parameters
Analyzing the data and working on strategies like options shorting, delta management etc
Optimizing options strategies by making them delta neutral or vega neutral as required
Working on dynamic hedging on portfolio and books based on their Greeks exposures
Working on delta management in options shorting, gamma scalping and other standard theta eating options strategies
Development of various options based strategies pertaining to volatility arbitrage, gamma scalping etc.
Working on high end options trading strategies like volatility arbitrage between Call-Call Pair or Put-Put pair. Also worked on complex arbitrage between 2 straddle, strangles etc.
Working on development of screener sheets for Butterfly, Iron Condor, and Strangle shorting etc. which a trader can use for getting the right kind of entry and exit signals to enter the positions
Management and reporting of options risks associated with Greeks
Risk reporting on Delta, Gamma, Vega and Theta Exposures
Making screeners and excel sheets which can show a portfolio risk of various Greeks in live time
Volatility Forecasting and Options Pricing
Working on various options pricing models like ARCH, GARCH etc. to forecast volatility
Carrying out monte-carlo simulations to identify the best set of parameters to fit an ARCH/GARCH or EMA model for option volatility forecasting and options pricings
Contact Us
602, Vakratunda Corporate Park, Near Udipi Vihar Hotel, Off. Aarey Road, Vishveshwar Nagar, Goregoan (E), Mumbai - 400 063, India
+91-22-6671 9184 / 98
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