DERIVATIVES

Using Random-Maturity Arbitrage to Price Perpetual Futures

Posted on June 8, 2025 By Harbourfront Technologies

Subscribe to newsletter Traditional futures contracts have maturity dates, upon which the futures price converges to the spot price. In the cryptocurrency market, the most popular contracts do not have a maturity date. They’re called perpetual contracts. Unlike fixed-maturity futures, perpetuals do not expire. This …

Read More

RISK MANAGEMENT

Hedging with Puts: Do Volatility and Skew Signals Work?

Posted on June 20, 2025 By Harbourfront Technologies

Subscribe to newsletter Portfolio hedging remains a complex and challenging task. A straightforward method to hedge an equity portfolio is to buy put options. However, this approach comes at a cost—the option premiums—leading to performance drag. As a result, many research studies are focused on …

Read More

TRADING

Product Confusion: Why Retail Investors Lose Money in VIX ETPs

Posted on June 12, 2025 By Harbourfront Technologies

Subscribe to newsletter Behavioral finance has studied why retail investors lose money. We discussed one such study in a previous post. Retail investor losses can be attributed to, among other factors, overconfidence, overtrading, sensation seeking, issuers’ overpricing, etc. Reference observed that in the VIX …

Read More

Latest Post

Applying Volatility Management Across Industries

Posted on June 16, 2025 By Harbourfront Technologies

Subscribe to newsletter Volatility management is a risk and portfolio management technique proposed by Moreira and Muir in 2017 . It has since been widely adopted by industry practitioners. The technique relies on the idea that volatility is autocorrelated but …

Read More