Why the Cross Asset Model?
Options markets often attract sophisticated investors expressing high-conviction views through leveraged positions. As new information enters the market, changes in options pricing, trading volume, and positioning can provide early indications of future movements in the underlying stock before those signals are fully reflected in cash equity markets.
The ExtractAlpha Cross Asset Model applies quantitative techniques to transform options market activity into a systematic stock selection signal. Rather than relying on individual options metrics alone, the model combines multiple options-derived features to identify stocks exhibiting favorable short-term return characteristics.
The result is a differentiated alpha signal that complements existing quantitative models, statistical arbitrage strategies, and short-horizon investment processes while providing an additional source of information independent of traditional equity factors.
FAQs
What is the Cross Asset Model?
The Cross Asset Model is a quantitative stock selection signal that uses information derived from equity options markets to forecast short-term stock returns. It converts options market activity into daily stock-level scores designed for institutional investment strategies.
Why use options market data?
Options markets often contain information from investors expressing high-conviction views through leveraged positions. By analyzing changes in options pricing and trading activity, the Cross Asset Model seeks to identify information that may lead movements in the underlying cash equity market.
Who uses the Cross Asset Model?
The Cross Asset Model is designed for institutional investors, including quantitative portfolio managers, statistical arbitrage strategies, hedge funds, and asset managers seeking differentiated short-horizon alpha signals.
How can investors use the Cross Asset Model?
Institutional investors use the Cross Asset Model to enhance stock selection, improve statistical arbitrage strategies, complement existing quantitative factors, and identify short-term trading opportunities based on options market sentiment and positioning.
What markets does the Cross Asset Model cover?
The model provides daily coverage of approximately 3,000 U.S. equities with actively traded listed options, making it suitable for broad institutional equity universes.
How frequently is the Cross Asset Model updated?
The Cross Asset Model is delivered daily and is designed for investment strategies with a typical holding period of one to five trading days.