Volatility Arbitrage via Dispersion Trading & Implied Correlation in Indian Equity Index Options
Options trading strategies in volatility and options, studied by Nunes in 2026 with a mathematical derivation. The abstract mentions a Sharpe ratio, an information ratio, profits, drawdowns and an out-of-sample test but not a benchmark, transaction costs, multiple testing or the size of the universe.
“The backtest spans the top-five constituents by index weight-HDFCBANK, ICICIBANK, KOTAKBANK, SBIN, and AXISBANK-covering approximately 80% of the index by notional weight.”
AssetVolatility and optionsoptions, futures
StrategyOptions strategiesshort-term reversal
TechniqueMathematical derivation
GeographyIndia
Also stated: Sharpe ratio, Information ratio, Profit, Drawdown, Options-implied, out-of-sample test
Missing from abstract: benchmark, costs, multiple testing, universe
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