Volatility Arbitrage Strategy
Volatility Arbitrage strategy focused on exploiting the structural mispricing in volatility and skew in S&P 500 options. With a combined 25 years of options market making experience, PMs Cem Karsan and Matt Andrews have developed an algorithmic approach that produces very consistent returns with high alpha. In addition, the strategy has a negative beta to equities, making it an excellent candidate to complement a portfolio with significant stock exposure.
Aegea Capital Management, LLC (“Aegea Capital”) was founded in April 2011 by Cem Karsan and Matthew Andrews, both experienced volatility traders and Kellogg Business School graduates.
Combined, the founding partners have over 26 years of exchange trading experience on the CBOE, CBOT, and CME – both with large, respected institutions, as well as their own successful proprietary trading firms. Mr. Karsan’s proprietary trading firm accounted for as much as 13-percent of SPX volume during the financial crises from 2007 to 2010, whereas Mr. Andrews was the original Designated Primary Market Maker for such high-flying equity options as Google, CME Group, and NYMEX.
After successful trading careers, the founding partners decided to leverage their volatility arbitrage expertise by improving upon many of the flawed strategies they had witnessed during their tenure as market makers. To that end, Aegea Capital has created a non-correlated and scalable investment vehicle that takes advantage of the structural mispricing inherent in option indices worldwide, while offering the superior transparency and liquidity that today’s investors demand.
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