Analytics designed to optimise hedging of shorter and longer term portfolios, providing Flags for start and end of high volatility market downside risk periods
PI-X™ is our brand new volatility risk forecasting analytics providing advance warning of downside market risk. Based on the flagship ALDX PI™ analytics, PI-X™ incorporates directional volatility forecasting providing end users with complete portfolio hedging solutions. PI-X™ is especially relevant for protection against (major) downside market risk. Using put option trading strategies, it is possible to provide zero hedging cost portfolio protection.
Applications and use cases:
- Asset Managers:
Protection of 'shorter term' and 'longer term' portfolios using (deep) out of the money put options or volatility futures - Hedge Funds, CTAs:
Option and volatility trading strategies - Family offices:
Capital preservation using longer dated options
Figure 1: example of PI-X portfolio hedging using put options
PI-X™ Key Metrics:
- End of trading day insight Flags providing start and end of high volatility periods
- Coverage of both developed and emerging market volatility indices (VIX and VXEEM)
- Typically up to 15 Flag pairs per volatility index per year
- Zero cost portfolio hedging by trading longer dated deep out of the money put options
- Distribution via email alerts, web interface, Excel Add-In and API