Chapter 6: Indexes

6.2 PLUGIN

Cash-and-Carry Arbitrage

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

indexes arbitrage

6.3 PLUGIN

Dispersion Trading

Strategy 6.3: Sell index vol, buy component vol (dispersion trade)

indexes volatility

6.3.1 PLUGIN

Dispersion Trading Subset

Strategy 6.3.1: Dispersion trade using top-N liquid components

indexes volatility

6.4 PLUGIN

Intraday ETF Arbitrage

Strategy 6.4: Arbitrage between index ETFs tracking the same index

indexes arbitrage

6.5 PLUGIN

Index Vol Targeting

Strategy 6.5: Scale exposure inversely with realised vol to target constant vol

indexes risk management