Sergey Glaznitsa

Volatility trading on the Russian stock market Sergey Glaznitsa

The book proposed a method of trading volatility using futures and options, based on the tendency of volatility to return to its average value. The patterns that are inherent in volatility in all markets in general were shown. These properties of volatility were then tested on the Russian stock market. The idea of volatility trading was also explained. It was shown how to put together a portfolio that would make a profit or a loss due to the high/low volatility of the underlying asset. Two trading strategies were developed. In one the trader determined the expected level of volatility and stuck to it throughout the trading period. In the other one trader got signals based on crossovers of different in time moving averages of volatility values. This work has demonstrated the profit possibilities, which can be used not only by institutional investors, but also by private ones.