Long equity volatility has proved to be a attractive position in stressed markets, providing high returns when equities perform poorly. However, a volatility investor pays a premium in the form of a cost of carry in steady market environments. The strategy builds a forward starting variance position using options, futures and/or variance swaps on developed country equity indices, whose cost of carry is lower than a standard long volatility asset. The variance notional is adjusted dynamically, taking into account the overall level of the volatility and the shape of the curve.

**Future Value Capital LLP**

3rd Floor, 60 Sloane Avenue

SW3 3XB London

United Kingdom

**Tel:**

+44 203 608 27 98