Volatility Algorithms

Hedged Volatility Order (HVO)

This algo automates the execution of option trades in order to buy or sell a given amount of greeks (vega, gamma or theta).

An HVO can be executed on a single strike or a range of strikes. It minimizes market impact by splitting the amount for each order into buckets, determined by the strategy’s parameters. The delta risk incurred by the option’s trades is automatically hedged.

Hedged Vol Spreader (HVS)

This algo leverages HVO functionalities to build a spread position between the volatility of various underlying stocks, indices, and other instruments – buying some and selling others. It can be used to execute dispersion trades.

Volatility Automatic Fitting

This algo automatically fits the volatility curves using Horizon models. The algo can be triggered at regular intervals, on a spot move or on user action.