S&P ardent on arbitrage
S&P has launched a family of indexes designed to model common arbitrage strategies in the financial markets. The three indexes comprise the S&P 500 Volatility Arbitrage, Currency Arbitrage and Long-Only Merger Arbitrage.
The volatility index is intended to replicate a strategy that seeks to take advantage of the difference between implied volatility and realised volatility. Common volatility arbitrage strategies are based on the assumption that implied volatility of an asset is higher than that of realised volatility. The index is designed to receive implied variance and pay realised variance o the S&P 500.
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