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

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