VOLATILITY ADVANTAGE STRATEGY
Capitalize on Market Inefficiencies
By identifying overreactions, mean reversions,and noise in VIX futures prices, the program seeks to achieve returns by
harnessing volatility while maintaining a low correlation to the S&P 500.
Mean Reversions
Overreactions
Price Noise
PROGRAM CHARACTERISTICS
VOLATILITY ADVANTAGE STRATEGY
MARKETS TRADED:
VIX Futures
AVERAGE MONTHLY TRADES:
100+ (5000 round turns per million)
AVERAGE TRADING DURATION:
Hours - Days
TYPE OF POSITIONS:
Long and short VIX positions, and long options on VIX and S&P 500 futures
RISK MANAGEMENT
Maximum margin to equity ratio
target of 30%
Long VIX and S&P futures options are
used as a hedge against VIX futures drawdowns
Self-imposed position limits allow for a
smaller number of short contracts to be held
than long contracts
ABOUT THE VIX
The Chicago Board Options Exchange Volatility Index,
or VIX, as it is better known, is used by stock and options traders to gauge the market's anxiety level.
The VIX is essentially a mathematical measure of how much the market expects the S&P 500 Index, or SPX to fluctuate over the next 30 days, using a calculation based on current SPX put and call option prices.
RISK DISCLOSURE
TRADING IN FUTURES, FOREX, AND OPTIONS INVOLVES SUBSTANTIAL RISK AND IS NOT SUITABLE FOR ALL INVESTORS. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THE COMMODITY FUTURES TRADING COMMISSION DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM/COMMODITY POOL OR UPON THE ADEQUACY OR ACCURACY OF COMMODITY TRADING ADVISOR/COMMODITY POOL OPERATOR DISCLOSURE.
CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM/COMMODITY POOL OR THIS BROCHURE OR ACCOUNT DOCUMENT. BEFORE INVESTING, READ ALL RISK DISCLOSURES PROVIDED.
*PLEASE NOTE THAT THE HIGH DEGREE OF LEVERAGE THAT IS OFTEN OBTAINABLE IN FOREX/COMMODITY INTEREST TRADING CAN WORK AGAINST YOU AS WELL AS FOR YOU. THE USE OF LEVERAGE CAN LEAD TO LARGE LOSSES AS WELL AS GAINS.
Monthly performance is based on proprietary trading, adjusted to reflect a 2% annual management fee and a 20% performance fee. S&P 500 returns are shown for information purposes only. The strategy is not designed to mimic returns of the S&P 500. The S&P 500 cannot be directly traded."
