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.

Contact Us

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

Tel:
+44 203 608 27 98 

Email:
info@futurevaluecapital.com