PI-X ™

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

Web Interface
Always connected, universal access.
Excel Add-In
Always connected, integrative.
Email Alerts
Reliable, time stamped, authenticated, digitally signed.
Easy integration into any platform or any front end.