Volatility & Dispersion Algos: manage market uncertainties

Overview

With Horizon volatility algorithms, it has never been easier to implement a dispersion strategy traded as principal or hedge a dispersion package traded with clients. Horizon provides an automated solution that simplifies dispersion trading with a high level of monitoring throughout the full order cycle. As customisation of automated trading strategies is on the rise across the board, be it on an asset class or a functionality level, our core product strategy is to deliver the right technology to support all kinds of advanced automated trading strategies, from design to implementation, while maintaining a short time to market. Our algorithmic framework delivers algorithmic libraries, which clients can use to develop their own strategies much more easily and efficiently. Additionally, it now also allows inter-algorithm dependencies which enable the integration of complex algorithms into a coordinating / monitoring algorithm such as HVS.

Complex volatility trading needs are increasing and pushing volatility spreading and dispersion hedging strategies even further. With the new Horizon algorithm, traders can now simultaneously work, monitor and manage executions on a basket of long and short vega Hedged Volatility Orders (HVO). Each HVO will be controlled by our new HVS order and target a vega amount on a specific range of options and maturity, auto-hedge delta, and manage refill and execution. Our HVS algorithm brings volatility trading and hedging to the next level.

Volatility & Dispersion Algos manage market uncertainties (2)

Key features

Top benefits

  • Hedged Vol Spreader (HVS)
  • Simultaneously work, monitor and manage executions on a basket of long and short vega Hedged Volatility Orders (HVO).
  • Dispersion strategies
  • Integration with algorithm libraries
  • Volatility strategies for principal and agency trading
  • Volatility-neutral exposure to the difference between implied and realized correlation on the index constituents.
  • Dispersion trading strategies bringing algo volatility to the next level
  • A high level of monitoring through the full order cycle
  • Manage volatility and market uncertainties
  • Short time-to-market