Strategy Catalog

2.52 OPTIONS

Long Box

Long Box

options arbitrage

4.5 PLUGIN

Leveraged ETFs

Strategy 4.5: Short both bull & bear leveraged ETFs to capture volatility decay

etf arbitrage

5.14 PLUGIN

CDS Basis Arbitrage

Strategy 5.14: Trade CDS-bond basis when it deviates from zero

fixed income arbitrage

5.15 PLUGIN

Swap-Spread Arbitrage

Strategy 5.15: Trade swap spread vs treasury spread deviations

fixed income arbitrage

6.2 PLUGIN

Cash-and-Carry Arbitrage

Strategy 6.2: Cash-and-carry arbitrage between futures and spot

indexes arbitrage

6.4 PLUGIN

Intraday ETF Arbitrage

Strategy 6.4: Arbitrage between index ETFs tracking the same index

indexes arbitrage

8.5 PLUGIN

FX Triangular Arbitrage

Strategy 8.5: FX triangular arbitrage detection

fx arbitrage

12.1 PLUGIN

Convertible Arbitrage

Strategy 12.1: Buy undervalued convertible bond, delta-hedge by shorting underlying stock

convertibles arbitrage

13.1 PLUGIN

Municipal Bond Tax Arbitrage

Strategy 13.1: Buy tax-exempt munis, finance with taxable borrowing for positive after-tax carry

tax arbitrage

13.2 PLUGIN

Cross-Border Tax Arbitrage

Strategy 13.2: Exploit dividend imputation around ex-div dates for cross-border tax savings

tax arbitrage

13.2.1 PLUGIN

Cross-Border Tax with Options

Strategy 13.2.1: Use deep ITM puts around ex-div dates to capture franking credits

tax arbitrage

14.2 PLUGIN

TIPS-Treasury Arbitrage

Strategy 14.2: Sell Treasury, buy TIPS + inflation swaps when replication cost C(0) is positive

miscellaneous arbitrage