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Re: Questions on Intra-day volatility arbitrage strategy (VolArb)?

Home 21090308 Forums Re: Questions on Intra-day volatility arbitrage strategy (VolArb)?

#2185
moliu9394
Member

Thank you. Yes, it makes sense to make a profit by replicating (V_H-V_D).

Because Variance= (sum of D^2)/(n-1) , or Vol = sqrt( variance)  where D is the distance to the mean.

To replicate V_H or V_D by selling/buying the underlying asset does not seems straightforward/easy  to me.

Can you please shed a light on how to replicate V_H or V_D?

Did you mean, buy/sell underlying asset at low/high price based on its mean-reversion?