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The GS/ Vol Arb VIX prediction models are informed by Global Sigma’s history as a pioneer trader of the weekly options on the S&P500 futures ever since the CME launched the Friday expiry option product in late 2009. The S&P500 option strategy's risk management framework has been driven by the model’s 1-day distribution prediction forecast of VIX. The launch of GS/ Vol Arb is a natural strategy extension of Global Sigma’s S&P500 option strategy. Beginning in 2003, the CBOE VIX Index calculation has been derived from implied volatility levels of S&P500 options. The GS/ Vol Arb models continuously scan the multi-dimensional Volatility Surface seeking price and correlation inefficiencies created by the consistent risk transfer and hedging demands of investors who are net long risky assets.
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