Building Volatility Strategies with BEV with Quant Insider

Building Volatility Trading Strategies: The BEV Framework

This workshop shows how to turn implied and realised volatility data into practical trading, hedging and portfolio-construction decisions.

Traditional implied-versus-realised volatility comparisons often ignore path dependence. You will learn the Break-Even Volatility (BEV) framework: a realised-volatility measure that zeroes out the P&L of a dynamically hedged option position. The session then uses BEV to separate volatility premium, gamma covariance and vega revaluation, and connects these components to forecasting, portfolio construction and execution.

You will learn how to:

1. Decompose option P&L into volatility premium, path-dependent gamma covariance and vega revaluation.
2. Forecast realised volatility with a HAR cascade and model the implied-volatility surface using a four-factor ridge-regularised VAR.
3. Construct and compare volatility portfolios, including why simple equal-vega-weighted portfolios can outperform highly optimised Greek-neutral approaches.
4. Replicate illiquid strategies with liquid instruments using sign-constrained ridge regressions.
5. Apply regime-dependent delta hedging and evaluate performance with robust Spearman rank-IC diagnostics.

About the Speaker

Francesco Pozzetti is a Quantitative Researcher on the proprietary trading desk at Alpiq, where he works on energy derivatives.

Previously, he was a VP in FX Options Quantitative Research at Deutsche Bank, working on options and volatility strategies.

Francesco has also developed alternative risk-premia strategies across commodities and cross-asset volatility at Fortem Capital, and worked in electronic fixed-income trading analytics at NatWest Markets, covering market microstructure and interest-rate derivatives modelling.

He holds a BA in Mathematics and an MSc in Mathematical and Computational Finance from the University of Oxford.

This webinar is for Quant researchers, traders, risk professionals and developers working with FX options, volatility or derivatives.

Also suitable for students and early-career quants with a working knowledge of options and Greeks.