Summary

The Blackheath Volatility Arbitrage Strategy is an alpha generating strategy with low correlation to equity markets. The Strategy uses a proprietary trading methodology that trades volatility across a broad range of futures and futures options markets including the S&P 500, gold, natural gas, 30 year bond, crude oil, corn, soybeans and all major currencies. The Strategy arbitrages the difference between implied and realized volatility. The Strategy is dedicated to achieving absolute returns regardless of market trends.