Volatility Arbitrage Strategy Simulator

Strategy Type Select Strategy:

IV Mean Reversion Parameters IV SMA Period: IV Band Type:

Standard Deviations (for IV):

Percentage (+/- % for IV SMA):

IV vs. RV Proxy Spread Parameters Entry Threshold (IV points from RV Proxy): Buy Vol if IV <= RV - Threshold; Sell Vol if IV >= RV + Threshold.

Universal Trade Parameters Exit Logic for Volatility Trades:

Holding Period (ticks):

Target Profit (IV points):

Stop Loss (IV points):

Trade Settings Conceptual Initial Capital ($): Value per 1 IV Point ($): Transaction Cost (per round-trip trade, $):

Implied Volatility (IV) Series (comma-separated numbers):

Concurrent RV Proxy Series (comma-separated, same length as IV):

Run a simulation to see the report.