Analytics designed to optimise hedging of longer term buy & hold portfolios, providing Flags for start and end of high volatility market downside periods
PI-X™ is our brand new volatility risk forecasting analytics providing advance warning of major 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 (very) major downside market moves. Using put option trading strategies, it is possible to provide zero hedging cost portfolio protection.
Applications and use cases:
- Asset Managers:
Protection of 'longer term' portfolios using deep out of the money put options - 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
- Typically up to 5 Flags per financial instrument 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