Volplay Convexity
Long-volatility convexity that bleeds in calm markets and gets paid in breaks. The drawdown is the tuition.
About these figures · Computed from the published daily record; Sharpe and Sortino use excess returns over a 2.1% annual bill rate; win rate, profit factor and holding period come from the round-trip log. Ratios are suppressed below one month of observations.
Exact figures, drawdown analytics, the signal log and the mandate replay require an account.
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How this strategy works
Volplay owns convexity: VIX futures calendars, SPX variance, and tail structures, tilted long volatility and partially financed by short-dated richness where the term structure allows. In quiet regimes the book loses 40 to 90 basis points a month by design; in dislocations it has returned multiples of that. Sizing steps up when the volatility-risk premium compresses and never exceeds 250% gross. Subscribers should read the underwater chart before the equity curve: the strategy spent 14 months below its 2023 high-water mark. If that period is intolerable, this is not your agent. Costs modeled at mid-to-touch on listed legs.