Trade Nivesh Noting Volatility

The client was pleased with the result. “Their engineers put together a fantastic solution,” says the firm’s product head, noting a triple-whammy of benefits. In addition to addressing the capacity issue, the innovative way of managing volatility translates into cheaper options for the client. An unexpected, though welcome benefit of the vol control was an improved the Sharpe ratio of the underlying.

Souli says the approach could be applied widely across derivatives markets: “Anything that embeds a vol target and anything that embeds a gap risk related to close-to-close rebalancing can be enhanced through fast convergence technology. It opens up a wide scope of usage.”