Summary

ES VIX Program is a fully automated trading strategy that trades Cboe Volatility Index (VX) Futures and E-mini S&P 500 (ES) Futures using proprietary methodology to profit from price movements in the underlying instruments. The program takes short or long positions in the futures as the strategy take advantage of price change in either direction and has close to zero correlation with S&P 500 index. The program consists of a number of models, where each model harvests unique alpha and has low correlation with other models making portfolio more stable long-term.