The algorithm initiates trades when IV skew is favorable, indicating potential profitability from time decay.

Uses historical IV percentiles to determine underpriced options.

Tracks implied volatility (IV) levels to identify favorable entry points, e.g. low IV for long options purchase trigger.

Continuously backtests using historical data to refine entry/exit criteria and improve returns.

The Sophisticated Algorithm

Our background is in market-making algorithmic software utilizing long calendar spreads to trade index fund options. We are an unlisted private fund.