CTA · Core
Long-Volatility CTA
A managed-futures book that is structurally long options or long VIX-curve convexity — pays carry, aims to print in jumps and persistent stress.
Definition
Long dated or short-dated options, sometimes VIX futures with a term-structure overlay. Drift is negative; the bid is a crisis payoff with a different path than slow trend (faster, more gap-sensitive, more bleed).
Why it matters
It is the honest put alternative. It is not trend. A 50/50 of long-vol and trend is a convexity stack with two clocks.
Case
A two-day 2020 crash: long vol prints immediately; slow trend is still reducing longs. By June, long vol has bled and trend has the rates/commodity follow-through.
How to read it
Carry budget and which crisis shape they need (jump vs grind). Compare to buying puts outright — fees and path.
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