Those seeking to offset risk on to others (hedgers) tend to be relatively price insensitive compared to those who are willing to assume that same risk (speculators). This can be seen in the tendency of implied volatility of S&P 500 options to overestimate realized volatility, and in the tendency of VIX futures to overestimate future spot VIX. Theses premiums are collectively referred to as “volatility risk premiums”, or “VRP”. In the stock market, hedgers effectively pay speculators VRPs to compensate them for assuming the volatility risk of the S&P 500.
Our strategies seek to capture the volatility risk premium present in the VIX term structure, without taking undue risk. While we make quick adjustments to changes in the VIX term structure, we maintain a long-term perspective and accept that short-term drawdowns will inevitably happen from time-to-time.
We offer multiple strategies to accommodate varying risk tolerances, including both swing and intraday strategies. The goal of each strategy is to outperform its benchmark on a risk-adjusted basis (achieve a higher Gain / Loss Ratio) over the long-term.