Strategy

• Trading Instrument: OKX option

A option statistical arbitrage strategy that takes advantage of disparities between implied volatility and statistical volatility. This strategy opportunistically buys synthetic positions when implied volatility is statistically lower and sells them when it's higher. This strategy generates profits by estimating the theoretical prices of various synthetic positions and betting that the gap between these theoretical prices and market prices will narrow. However, it's important to note that this strategy may result in losses if the gap between theoretical and market prices unexpectedly widens or if the associated Greeks are unfavorable.

Risk

• Option Greeks Risk: Options trading carries inherent risks under the name of Greeks, including the possibility of price fluctuations and the potential loss of the option premium
• Opportunity Risk: This strategy exclusively enters positions when it identifies statistical arbitrage opportunities. In the absence of such opportunities, a significant portion of available assets remains idle, awaiting a chance to be utilized.
• Exchange Risk: The strategy is active on the exchange, making it susceptible to losses in the event of a security breach or insolvency of the exchange.
• Crypto Volatility Risk: Due to the volatile nature of cryptocurrencies, may be exposed to significant losses in the event of large price fluctuations.
• Programmatic Error Risk: Despite rigorous vetting, extensive testing, and continuous monitoring of automated trading programs, errors within the program can lead to financial losses.