Global Sigma Group, a volatility fund with almost 6 years track record in S&P options is preparing a new offering called BondVol, with focus on Treasuries vol. New information, although quite sparse, is available on their website, as well as this SEC filing. One interesting point is -86% correlation between Sigma Plus and BondVol funds, but I believe this to be a statistical fluke - knowing the factor drivers of such strategies I believe that long-term correlation will be positive, and significant, probably at +50%.
The (unconfirmed) rumor is that the flagship Global Sigma Plus Program is suffering their largest drawdown to date, although my understanding is that it is significant, but within reason. I know a many people in volatility space, and August has been difficult for many, and everyone knows that they can't all be winners. So, fellow traders - hedge your deltas, and good luck in September. Remember, you may have lost money, but not ability to make money.
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