Dynamically delta-hedge portfolios
Any delta-neutral portfolio, such as straddles and stangles, is exposed to the risk due to the movement of the underlying. Any trading strategy that is a pure-volatility play needs to ensure that the delta of the portfolio stays neutral to mitigate the risk of the underlying movement. How often and how rigourously you need to re-balance your portfolio depends on your trading strategy and your risk appetite.
Skipper allows you to set the delta tolerance limits and the delta hedging algorithm of your choice for each of your strategy. Skipper will react to the market changes in realtime and completely keep your portfolio delta neutral by automatically placing balancing orders while you stay focused on trading volatility.
Auto-manage order execution as the bid/ask price moves
Skipper allows you to specify aggressive, moderate, conservative or custom pricing for orders which determine the limit price for each leg of the order based on the current bid or ask price. You can specify a resting period in milli-seconds for the order.
When the order is not filled after the resting period, the order goes back to waiting to be evaluated again for the order condition to be met based on the real-time price change.
When the order is partially filled, Skipper progressively relaxes the limit price for the remaining legs until the entire order is filled playing a delicate balance between preserving portfolio delta integrity and getting a favourable price.
Set Conditional order entry
Skipper supports conditional orders where you can specify conditions, such as an underlying price range, spread price, Implied Volatility etc. for an order execution. When the market changes that impacts the order condition, Skipper evaluates in real time and and submits the order for execution.
The same set of conditions can also be set for custom spreads that you want to monitor without actually triggering a submission. This would be useful when you want to make a decision as to whether the spread should be converted into an order. The spread watch allows you to monitor the signal strength of the condition so you know you have a strong possibility of getting the price you want as opposed to when it is just a touch-and-go market movement.
Track complex custom spreads
You can create complex multi-legged spreads and monitor the bid/ask and delta movements of the spread as if it were a single instrument. You can also view the impact of the portfolio greeks if the spread were to be converted into an order as the market moves. This will help you to add to or reduce from the size of your volatility bet.
Creating and managing complex custom spreads also allow you to pro-actively manage your delta-neutral portfolio to achieve more aggressive pricing. If you are trading at-the-money volatility, you could construct a spread to reduce the size of your near-the-money positions and add to your at-the-money positions as the underlying moves to a new strike.
At any point in time you can also look at the payoff profile of any custom complex spread just as you would a portfolio.
Analyze portfolio risk with your Forecast IV
You can do a what-if analysis of your portfolio at any time with your forecast of IV along the skew. Skipper will compute the Delta, Gamma, Vega, Theta and P/L for your portfolio against a range of the underlying price movement. The what-if analyzer will also compute the results for a margin of error of +/- 5% of your forecast IV.
You can run the anlyzer for any any maturity before the options expire.
The analyzer can also be used to study the risk of any complex spreads that you create and monitor.
The analyzer results can be exported into a file for further analysis with reporting and graphing tools of your choice such as Excel.
Use your existing brokerage services
Skipper is NOT a brokerage service and does not need you to set up a brokerage account. It uses your trading account with your existing brokerage service (provided they are supported by Skipper) and uses their APIs to place your orders on your account. Your brokerage service authenticates you outside of Skipper and Skipper does not even know your user ID and password.
Your orders are executed through your existing brokerage services. Skipper always places limit orders depending on your pricing preferences. The orders you submit through skipper will go through the checks and balances of your brokerage service, such as margin requirements. The margins are dictated by your brokerage service and changes periodically and are usually subject to market volatility and other factors. Skipper displays your margin used and available from your brokerage account, but it never enforces them when you place orders. If your brokerage service rejects your order due to insufficient funds or other factors, the status of the order is reflected in Skipper.
Currently, Interactive Brokers and Zerodha are two brokers whose APIs are supported by Skipper. If you want Skipper to add support for your brokerage service, please send us a request.
Practice Volatility Trading with Paper Money
Skipper allows you to practice volatility trading with paper money. You can trade your strategies against real-time market data with mock execution of your orders. Your orders will not be sent to your brokerage services, but will be mock-executed within Skipper.