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Volaris Capital Management, LLC (“RIA Firm”) is a registered investment adviser located in Millburn, NJ. Volaris Capital Management, LLC may only transact business in those states in which it is registered, or qualifies for an exemption or exclusion from registration requirements. Volaris Capital Management, LLC’s web site is limited to the dissemination of general information pertaining to its advisory services, together with access to additional investment-related information, publications, and links. Accordingly, the publication of Volaris Capital Management, LLC’s web site on the Internet should not be construed by any consumer and/or prospective client as RIA Firm's solicitation to effect, or attempt to effect transactions in securities, or the rendering of personalized investment advice for compensation, over the Internet. Any subsequent, direct communication by Volaris Capital Management, LLC with a prospective client shall be conducted by a representative that is either registered or qualifies for an exemption or exclusion from registration in the state where the prospective client resides. For information pertaining to the registration status of Volaris Capital Management, LLC, please contact the state securities regulators for those states in which Volaris Capital Management, LLC maintains a registration filing. A copy of Volaris Capital Management, LLC’s current written disclosure statement discussing RIA Firm's business operations, services, and fees is available at the SEC’s investment adviser public information website – www.adviserinfo.sec.gov or from Volaris Capital Management, LLC upon written request. Volaris Capital Management, LLC does not make any representations or warranties as to the accuracy, timeliness, suitability, completeness, or relevance of any information prepared by any unaffiliated third party, whether linked to Volaris Capital Management, LLC’s web site or incorporated herein, and takes no responsibility therefor. All such information is provided solely for convenience purposes only and all users thereof should be guided accordingly.
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Volaris Capital Management
Behavioral Interpretation of option risk premiums helps build a qualitative understanding that guides the quantitative design of investment strategy. A multi-asset approach is undertaken to build such an interpretation.
Stochastic Modeling of the market micro-structure is undertaken, directly addressing the non-classical findings of empirical analysis. By understanding the consequences of option contracts in the face of realistic market behavior, market prices of options are systematically and directly expressed as option risk premiums. These strike-tenor-asset dependent option risk premiums guide portfolio construction.
Empirical Analysis is the starting point for strategy design. Market behavior is not close to that depicted in classical theory, especially from the perspective of understanding the risk-return trade-offs in option contracts.
Volaris Approach to Strategy Design
Risk Constraints limit the range of parameters for strategy design. Portfolio construction, while informed of the opportunity set, is always subservient to explicitly articulated risk constraints. Traded instruments and configurations are limited to those amenable to such explicit articulations.