What We Do

Neutrino deploys time-tested strategies in the fund each month.

One of the common principles applied while formulating any strategy is that it should be:

• Repeatable.
• Scalable.
• Built with a statistical edge intrinsically — not completely luck dependent for its performance.
• Insulated against Black Swan events. If anything, it should benefit from the volatility and rare outlier events occurring in the market every now and then.

We do not invest in stocks for a long period. Our aim is to scalp profits from mis-priced options after studying their IVs and HVs.

Our strategies

Dispersion

There is an IV difference between various stocks and the index they are a part of. There are opportunities where you can short the stock options and buy the index options, or vice versa. There is a risk premium for bearing correlation risk in the options market, and there is also option-market inefficiency — both of which lead to profitability in dispersion trading.

By construction, a dispersion strategy that buys index straddles/strangles and sells straddle/strangle positions on individual components is hedged against large market movement and has low volatility risk, which makes it an ideal candidate to bet on the differences between implied volatilities of index and individual options.

Skew

Skew is the difference in the IVs of calls and puts of the same underlying. Usually the puts are more expensive because of the fear of a huge fall, for which people pay a premium to hedge their portfolios. Our strategy aims to scalp this skew.

Both these strategies are delta neutral and hence have limited risk and returns, but a great risk-to-reward ratio — and with our proprietary algo we have seen a hit rate of more than 70%.

Calendar Spreads

Invests in a collection of Nifty current-month and next-month options to create a more or less delta-neutral, market-neutral hedged position, and scalps profits as the market fluctuates.

Event driven option strategies in individual stocks

Aims to take advantage of the high IVs presented by the marketplace before results and other major events affecting the world market. At no point are the trades un-hedged.

Algo Trading

Neutrino has a proprietary Stop-and-Reverse intraday strategy which is used on Nifty and Banknifty to take advantage of the force at which the market trends when it picks up momentum. It is a completely automated system with strict stop-loss and target variables set in place, to remove the emotional aspects of trading in a smaller time frame directional trading.

Pair Trading

The pairs trade is a market-neutral trading strategy enabling traders to profit from virtually any market condition: uptrend, downtrend, or sideways movement. This strategy is categorised as a statistical arbitrage and convergence trading strategy.