Convertible Arbitrage strategies

3 documented Convertible Arbitrage strategies from our reference catalogue of 20,000 — names, logic and sources. Catalogued here, tested honestly, and — usually — buried in the graveyard.

Busted convertible cheap-vol play

Cheap VolNeutral

Buy deep OTM converts trading near bond floor with cheap embedded option; long vol via delta hedge

Source: Resonanz

Gamma scalping on convertible

Delta HedgeNeutral

Re-hedge delta as stock moves; capture realized vol if exceeds implied embedded in convert

Source: Mergers&Inq

Long convert short stock delta-neutral

Delta HedgeNeutral

Buy convert short delta*shares; collect coupon profit from stock vol via delta hedging

Source: Wikipedia

An encyclopedia of publicly documented strategies for education. YCAI does not recommend, endorse, or trade any of these. Not investment advice.