StockSharp.Strategies.0231_Volatility_Skew_Arbitrage 5.0.2

Prefix Reserved

dotnet add package StockSharp.Strategies.0231_Volatility_Skew_Arbitrage --version 5.0.2

NuGet\Install-Package StockSharp.Strategies.0231_Volatility_Skew_Arbitrage -Version 5.0.2

This command is intended to be used within the Package Manager Console in Visual Studio, as it uses the NuGet module's version of Install-Package.

<PackageReference Include="StockSharp.Strategies.0231_Volatility_Skew_Arbitrage" Version="5.0.2" />

For projects that support PackageReference, copy this XML node into the project file to reference the package.

<PackageVersion Include="StockSharp.Strategies.0231_Volatility_Skew_Arbitrage" Version="5.0.2" />
                    

                            Directory.Packages.props

<PackageReference Include="StockSharp.Strategies.0231_Volatility_Skew_Arbitrage" />
                    

                            Project file

For projects that support Central Package Management (CPM), copy this XML node into the solution Directory.Packages.props file to version the package.

paket add StockSharp.Strategies.0231_Volatility_Skew_Arbitrage --version 5.0.2

The NuGet Team does not provide support for this client. Please contact its maintainers for support.

#r "nuget: StockSharp.Strategies.0231_Volatility_Skew_Arbitrage, 5.0.2"

#r directive can be used in F# Interactive and Polyglot Notebooks. Copy this into the interactive tool or source code of the script to reference the package.

#:package StockSharp.Strategies.0231_Volatility_Skew_Arbitrage@5.0.2

#:package directive can be used in C# file-based apps starting in .NET 10 preview 4. Copy this into a .cs file before any lines of code to reference the package.

#addin nuget:?package=StockSharp.Strategies.0231_Volatility_Skew_Arbitrage&version=5.0.2
                    

                            Install as a Cake Addin

#tool nuget:?package=StockSharp.Strategies.0231_Volatility_Skew_Arbitrage&version=5.0.2
                    

                            Install as a Cake Tool

The NuGet Team does not provide support for this client. Please contact its maintainers for support.

Volatility Skew Arbitrage Strategy (C# Version)

This options-based strategy observes the difference in implied volatility between two strikes. When the skew diverges from its historical average by a large margin, it opens a position expecting the skew to revert.

Testing indicates an average annual return of about 46%. It performs best in the stocks market.

A long skew trade buys the cheaper-volatility option and sells the expensive one when the skew exceeds Threshold standard deviations above the mean. A short skew trade does the opposite when the skew falls below the mean by the same amount. Positions are closed when the skew moves back toward its average level.

The strategy is designed for experienced traders familiar with options pricing. Stop-loss protection is used to guard against persistent shifts in volatility expectations.

Details

Entry Criteria:
- Long: Volatility skew > average + Threshold * StdDev
- Short: Volatility skew < average - Threshold * StdDev
Long/Short: Both sides.
Exit Criteria:
- Long: Exit when skew returns toward average
- Short: Exit when skew returns toward average
Stops: Yes, percent stop-loss on option positions.
Default Values:
- LookbackPeriod = 20
- Threshold = 2m
- StopLossPercent = 2m
Filters:
- Category: Arbitrage
- Direction: Both
- Indicators: Volatility Skew
- Stops: Yes
- Complexity: Advanced
- Timeframe: Intraday
- Seasonality: No
- Neural networks: No
- Divergence: Yes
- Risk Level: High

There are no supported framework assets in this package.

Learn more about Target Frameworks and .NET Standard.

This package has no dependencies.

NuGet packages

This package is not used by any NuGet packages.

GitHub repositories

This package is not used by any popular GitHub repositories.

Version	Downloads	Last Updated
5.0.2	166	8/7/2025
5.0.1	275	7/20/2025
5.0.0	54	7/11/2025

Move state reset to OnReseted for strategies 231-240