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An algorithm for organizing long volatility trading based on a delta-neutral strategy

The article is devoted to the problem of automation of long volatility trading in the financial market using delta-neutral trading strategies. Most operations on them, as a rule, are performed manually, which makes them less systematic and vulnerable to the negative influence of the human factor (emotions, tardiness of actions, erroneous submission of applications, etc.). To solve this problem, the article proposes a unified algorithm for a delta-neutral strategy, taking into account several parameters for long volatility trading through transactions with futures on underlying assets and options on these futures. For greater clarity, the algorithm is supplemented with a diagram made in BPMN 2.0 notation.