Volatility arbitrage, capital structure arbitrage

halfstep's picture
Rank: Orangutan | 373

I am interested in the two strategies and would like some readings/sources on them.

My understanding of vol arb is that you are buying options + short underlyings to create a delta neutral position to extract only the volatility returns from the options.

As for Capital structure arbitrage, I really don't know that much.

Wondering if anyone can give primers on either/both strategies. As well, what sort of return profiles do these two strategies exhibit? Anyone who has experience in either of the strategy, please chime in and share your insights!

Comments (1)

Mar 31, 2018