Investment Overview
Strategy Description
The Liberty Road Volatility Trading strategy utilises world class quantitative methods to map a live volatility surface.
A proprietary Artificial Intelligence programme then analyses the volatility surface and maximises or minimises the risk premium obtained by selling and buying puts and calls at the peaks and
troughs on the volatility surface. The algorithm analyses both the absolute risk premium compared to historical parameters, but also evaluates mispricing opportunities on the volatility surface. Strikes and maturity are laddered to minimize concentration. The AI Machine Learning algorithm incorporates various factors to determine a “probability of success” for each trade, therefore the absolute level of risk premium is not deterministic. The algorithm evaluates the medium term trend using a combination of fundamental blockchain analysis and technical indicators.
The strategy is directional. Long puts and calls are utilised based on risk premium and mispricing analysis.
