Summary

The U.S. Volatility (VOL) Strategy aims to take advantage of the systematic mispricing of VIX Futures, which exist due to behavioral and structural reasons. The Strategy is built upon a classification model with the goal of differentiating between periods where VIX Futures may be overpriced, underpriced, or fairly-priced. Depending on the classification, the VOL Strategy buys or sells VIX futures, hedging the VIX exposure with S&P 500 futures.