Code Instructions
User Manual:
Open the PDF directly: View PDF 
.
Page Count: 1
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.
