/A-volatility-based-trade-strategy

A simple trade strategy based on volatility by selling call option and longing future. It's my second project during my internship at citic securities.

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A-volatility-based-trade-strategy

  • A simple trade strategy based on volatility by selling call option and longing future. It's my second project during my internship at CITIC Securities.

  • The idea and theory background of the project is a research report written by an analyst from Guotai Junan Securities. It's almost toy code that there is numbers of hard-coding that need improving.

  • More information about the search report:http://market.dce.com.cn/finlab/userHome/downFile/5155

  • You can download the report in the repository as well.