Code Instructions

User Manual:

Open the PDF directly: View PDF .
Page Count: 1

Download
Open PDF In Browser	View PDF

STEP1 Data Preprocessing
Required data: VVVV.xls (SPY hist. and implied vol.)
Using Excel to calculate spread and determine long/short.
Using Excel to generate price_original (tested period SPY price) and VVV_original (SPY
traded signals summary)
STEP2 Select out SPY options from original data and process a summary
Required data:
DATA_original (All SPY option dataset), price_original (tested period SPY price),
VVV_original (tested period SPY price)
Run: Code_R then you have output.csv
STEP3 Dynamic hedging & Implementing Strategy
Required data: output.csv, price_.csv (descending order of price_original.csv with delta)
Run: Vol Arb.R (to line 94)
You get a summary of P&L and Cost of the strategy “Rehedged.csv”
STEP4 Visualize performance
Required data: Rehedged.csv
Using Excel to calculate profit and loss and can create a new csv “RTN.csv”
Run: Vol Arb.R (line 96 to end) using “RTN.csv” to visualize strategy performance.



---

Source Exif Data:

File Type                       : PDF
File Type Extension             : pdf
MIME Type                       : application/pdf
PDF Version                     : 1.3
Linearized                      : No
Page Count                      : 1
Title                           : Microsoft Word - Code Instructions.docx
Producer                        : Mac OS X 10.12.6 Quartz PDFContext
Creator                         : Word
Create Date                     : 2018:12:31 20:51:00Z
Modify Date                     : 2018:12:31 20:51:00Z

EXIF Metadata provided by EXIF.tools