Portfolio Managers can easily manage such strategies using the SpiderRock system.  They typically leverage our APIs to access live market data and analytics, check their real-time risk and insert risk constrained basket of orders decorated with algo parameters to define the execution styles across many different symbols/strikes as well as auto-hedging instructions.

Long/Short valuation arbitrage strategies typically attempt to maintain a (roughly) balanced portfolio of long single name volatility and short single name volatility. Portfolios can consist of any number of individual names and may or may not contain index and ETF positions. These strategies usually attempt to build and maintain portfolios with high theoretical edge to historically based theoretical valuation models. This type of strategy typically attempts to dynamic hedge long and short positions as the underlying prices change

Similar to dispersion, portfolio managers can easily manage such strategies using the SpiderRock system.  They typically leverage our APIs to access live market data and analytics, check their real-time risk and insert risk constrained basket of orders decorated with algo parameters to define the execution styles across many different symbols/strikes as well as auto-hedging instructions.

In addition, traders can upload their own theoretical valuation models which can include full expiration skew curves or can consist of client supplied ATM valuations only and utilize SpiderRock implied volatility surfaces adjusted to client ATM levels.  These theoretical values can then be used to scan the market for ideas and are well integrated into SpiderRock risk and position records.  They also can be used to compute hedge deltas that include assumptions about surface dynamic.