The Duke-Davie Fund
In our 2x/week meetings, we examine volatility and arbitrage strategies, such as gamma hedging, volume/vega mean reversion, INAV ETF arbitrage, and more. We have a guest speaker of the month; past speakers have been established economists, traders, and quants.
Volatility Mean Reversion
A statistical arbitrage strategy focused on exploiting high-variance moves of an equity's volatility, or volatility of volatility. This requires a thorough analysis of historical vol patterns and a careful assessment of market conditions.
ETF Creation-Redemption & INAV Arb
Similar to the core strategy of many ETF market makers, we exploit the price differences between an ETF (Exchange-Traded Fund) and its underlying assets, the Implied Net Asset Value.
Gamma & Delta Scalping
A sophisticated options trading strategy that involves managing the exposure of an options portfolio to the movements in the underlying asset's price (Delta) and the rate of change of that exposure (Gamma).
