Dynamic Variance

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.

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Future Value Capital LLP
3rd Floor, 60 Sloane Avenue
SW3 3XB London
United Kingdom

+44 203 608 27 98