Index Arbitrage

Discussion in 'Options' started by Durian, Dec 19, 2007.

  1. Durian


    Hi All,

    Could someone recommend some resources to me, website or books, for my current task at work. My boss had asked me to figure out a way to replicate the HSI index, and trading strategies on the volatilities of each stock in the replicated index.

    Any help is fully appreciated.
  2. segv


    More details required. Your boss wants you to replicate the index returns, the index volatility, or what exactly?
  3. Try NuclearPhynance or Good luck.
  4. He's referring to the dispersion trade. At least it's one strategy that has not been bled to death. :p
  5. A$$hole


  6. Dispersion has not been bled to death? Come on every single big options market making firm runs dispersion along with thousands of others. Dispersion is all about access to order flow in the individuals
  7. Did you miss the emoticon? I thought it was obvious sarcasm.
  8. Sorry my bad, sometimes sarcasm does not go over well on line.
  9. Durian


    He wants me to identify some of the larger and more liquid constituent stock options for the purpose of replicating the stock index's volatility for dispersion trading.

    I am having trouble getting the resource that wil give me an idea of how to treat the volatility in relation to the index itself, do I have to multiply each stock's vola by the weight or some other method.

    To be frank, this is the first time I've been in touch with this kind of trading and I guess same for the department too, so I guess it will be a busy Xmas for me this year on researching :(

  10. You realize of course that the details of any index arb or any other strat that relies on any sort of reversion to the mean is gonna be closely guarded. Don't expect a lot of help.


    #10     Dec 19, 2007