Portfolio Net Quarterly Profit
for Past Five Years

Remarks

The value of a RealVol futures overlay during an extremely volatile market period, such as the one studied, should be expected. But how will the strategy fare during other, less chaotic, periods? The chart displayed here considers a full five years of data, broken down into 20 consecutive quarters, during which three-month a RealVol futures (3VOL) overlay was employed, again, both dynamically and statically. The results are impressive. The net quarterly profits of the total portfolios are displayed. Note the considerable dispersion of results around zero for the delta-hedged-only options book, compared to the extremely stable results obtained via the RealVol futures overlays. Options market-makers should take great solace in a methodology that could so effectively smooth out the P&L swings of their books.