Product description
UVXY is a trading system using the principles of contangion decomposition for futures contracts and long-term decline in volatility. The system is based on folding a synthetic short position using option contracts on the underlying UVXY ETF traded on the NYSE Arca. The alpha factor is made up of commonly available indicators derived from UVXY five-minute price candles.
Number of users
The automated system is currently used by the development team.
Further development
Currently Paper trading – in the early stages of development we chose it due to the difficulty of performing a backtest on option data. We will have to solve the absence of data by interpolating and extrapolating the surface volatility using a suitable model, which will simply calculate the missing data.
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