Volatility & Systematic Strategy Lab
Category: Quantitative Research
Date: June 2026
About this project
A multi-strategy research lab built around the volatility risk premium. A VRP strategy across FX spot, futures and options (defined-risk spreads, 200-day trend filter) backtested 2005–2026: gold and yen clear breakeven (Sharpe ~0.40, win rate ~73%), while EUR-correlated pairs sit just below, reflecting structurally thinner premium. Plus a Black-76 options-on-futures pricing engine (greeks, American binomial, 11/11 self-tests), Johansen/VECM relative-value pairs, and mean-reversion and momentum modules.
Challenges
Building an event-driven backtester, aligning option-chain expiries, and pricing options on futures correctly with early-exercise.
Learnings
Derivatives greeks, the macro-volatility interplay, and that the VRP is real but thin and asset-dependent.