Volatility Spreader

The Volatility spreader is a dispersion trading strategy, allowing you to capitalize on any temporary divergence between the implied volatilities of correlated options products.

As a relative value trading strategy, the app takes positions when the volatility differential between options series exceeds a predefined threshold, while keeping the portfolio delta-neutral in tandem with the Delta hedger app. Featuring flexible contract selection, fill re-balancing and hidden execution, the Volatility spreader is an essential tool in the professional volatility trader’s arsenal.

Highlights:

  • Fully-automated dispersion trading strategy.
  • Flexible alerting and safety measures.
  • Configurable execution and hedging parameters.

VolatilitySpreader

  1. Options sheets for the selected contracts in the Volatility spreader, with the algo’s orders highlighted in green.
  2. The Volatility spreader along with working child orders and execution configuration.
  3. The Volatility spreader panel, showing algorithm parameters.
  4. A portfolio view showing current positions per strike and position greeks.
  5. An alerts window – upon detecting an opportunity, the Volatility spreader can optionally trigger an alert for manual confirmation before proceeding.