Shape, Not Return: What Volatility Funds Actually Sell波动率基金卖的是形状，不是收益

1. The samples are tiny. The Short Volatility index launched in 2015 with 15 constituent funds; by early 2022 it had two. Relative Value had nine funds in 2023, Tail Risk seven in 2020. An equal-weighted average of two funds is an anecdote with a ticker.
2. The dead are not counted. XIV lost more than 90% in a single day in February 2018 and was terminated; LJM Preservation and Growth lost roughly 80% in two days; Malachite and Parplus were wound down in March 2020; Allianz Structured Alpha lost about $7 billion. The index’s −31.75% drawdown is the drawdown of the survivors.
3. A few months write the history. The Long Volatility index’s annualized return since inception was 4.17% at the end of February 2020 and 5.38% a month later: one month rewrote fifteen years.

Month by month, short vol lost 12.53% in February and 15.85% in March, then made 9.10% in April, 12.36% in July, 6.84% in August and 5.12% in September, ending the year down 0.80%. The rule hiding in that sequence is that implied volatility falls more slowly than realized after a spike, so the premium is never richer than in the weeks that follow. A fund that survives the spike is repaid within months. Malachite never saw April.

Research puts a clock on that rule. Before a spike, insurance gets cheaper, not dearer. Cheng (2019) finds that the premium embedded in VIX futures falls or stays flat while risk rises, as hedging demand falls with it, and VIX futures were cheap on the eve of both the 2008 crisis and the 2011 euro crisis, as buyers cashed out and did not buy again. During the spike, short vol may not be paid at all. Johnson (2017) shows that the slope of the VIX term structure, not its level, predicts returns on variance swaps, VIX futures and straddles, and on the days with the lowest slope, when the curve is inverted, the next-day return on owning variance was positive in 17 of 18 asset–maturity combinations. Only after the shock does the bill arrive: in equities, the price of variance risk rises sharply after shocks such as 1987 and 2008. The premium is thin on the way in, unpaid at the peak and fattest on the way out.

Tail risk ran the same tape in reverse: up 37.44% in March, then down in seven of the next eight months, after losing 10.40% in 2019. Long volatility did the same, going from +39.70% in the first quarter to +27.37% by the end of August. A hedge that is never monetized is just a round trip. The core skill of a tail fund is knowing when to sell the payoff, not when to buy the insurance.

The Tail Risk index has a negative Sharpe ratio and is still worth owning, because Sharpe was never its job. Its median rolling 12-month return is −7.41% and its correlation with MSCI World is −0.50, and it has cost about 2.65% a year since 2008. The buyer pays roughly 3% a year for something that made 37% in the worst month of the decade.

Individual funds range far beyond the index:

• Universa reported 3,612% for March 2020, and LongTail Alpha’s tail fund rose roughly tenfold, or 157% counting client cash held in reserve. Those are returns on the hedging sleeve, not on the portfolio. Universa recommends a 3.33% allocation; by its own arithmetic, a portfolio of 96.67% S&P 500 and 3.33% Universa returned +0.4% in March 2020 against −12.4% for the index, and 11.5% a year since inception against 7.9%.
• Cambria’s TAIL ETF, a ladder of out-of-the-money S&P 500 puts on top of Treasuries, has lost 44% since its 2017 launch. Same idea, naive execution.
• 2024 was a calm year with one spike, and volatility-trading hedge funds averaged +4.03%. On August 5 the VIX went from 16.36 at the end of July to 65.73 before the open, closed at 38.57 and was back at 14.80 by August 16. The ten largest short-vol ETFs lost $4.1 billion, and among the 25 volatility funds PivotalPath tracks, those positioned short lost about 10% that day while the group as a whole gained 5.5–6.5%.

The gap between the VIX and the volatility realized over the following 30 days has averaged 3.33 points since 2013. Even in 2025, April included, realized came in about 3 points below implied, in line with the average since 2000. Three points a year is all the raw material there is.

The PUT index sells one-month at-the-money S&P 500 puts, fully collateralized with cash. From July 1986 to August 2023 it returned 9.40% a year against 9.91% for the S&P 500, with 10.26% volatility against 15.38% and a −32.66% maximum drawdown against −50.96%, and it beat the index 95% of the time when the index’s rolling one-year return was negative. Systematic vol selling earns an equity-like return along a different path: calmer, more negatively skewed and better in bear markets. These are gross numbers, and options are expensive to trade.

That makes PUT the free benchmark, and allocators use it that way: a short-vol fund earns its fees only if it beats both PUT and the Short Volatility index on a drawdown-adjusted basis. Many do not, which is part of why the category’s average looks poor. Three vol points a year leave little room for 2-and-20 and trading costs.

1. Night. Muravyev and Ni split the daily return on delta-hedged S&P 500 options into two legs. The average loss of 0.7% a day breaks down into −1% from close to open and +0.3% from open to close, and the pattern holds across maturities, moneyness and single-stock options. That is consistent with option prices ignoring the fact that equity volatility is far higher by day than by night. In the working-paper version, the two legs are about equally volatile and have similar tails, so risk cannot explain the gap. Options are rich at the close and cheap at the open. Selling them every day earned 0.7% a day gross but lost 80% of capital in the financial crisis; selling only overnight earned 1.0% a day gross and was positive in every three-month window, the crisis included. The crisis loss happened in daylight. Weekends repeat the error: option returns are significantly lower over non-trading periods, mostly weekends, because of mispricing rather than risk, although an earlier version found little of the effect in S&P 500 index options. All of these figures are gross, at mid prices and mostly from before SPX options traded overnight, and the effect may have faded since publication. The cost of trading twice a day would eat it.
2. Front. Dew-Becker, Giglio, Le and Rodriguez use variance swaps of different maturities to separate realized variance from news about future variance. From 1996 to 2014, hedging news about variance at horizons from one quarter to 14 years cost nothing on average; only unexpected, transitory realized variance was priced. Their example is the 2011 debt-ceiling fight. The one-month variance swap rose from 16.26 at the end of June to 25.96 at the end of July while realized volatility stayed near 15, and then August realized 47.18. Across 19 option markets, the premium on gamma is negative and the premium on vega positive, and both grow more extreme further out of the money. The market pays to avoid the punch, not the fear of one.
3. Lottery. Options embed leverage that constrained investors cannot get elsewhere, and the more leverage an option embeds, the lower its risk-adjusted return: a portfolio long low-leverage and short high-leverage index options earns abnormal returns with a t-statistic of 6.3. Prediction markets run the control experiment with no macro risk at all. On Kalshi, across more than 300,000 contracts, a 10-cent contract wins less than 10% of the time, takers lose almost 32% on average and makers about 10%, and the bias holds in politics, entertainment and economic-data contracts alike. 0DTE is the same game played with options: about 75% of retail S&P 500 option trades are 0DTE, and since daily expiries began, retail has lost about $358,000 a day, roughly 60% of it to transaction costs.

So a short-vol book sells two different things. Insurance, meaning near-the-money index puts like the ones in the PUT index, is paid for carrying jump risk. Leverage and lottery tickets, meaning deep out-of-the-money and short-dated contracts, earn a premium that needs no crash to justify it, as Kalshi’s entertainment contracts show. And the maker–taker gap says that execution is part of the premium, not a cost line beneath it.

For the investor:

1. Short vol is a risk premium other than equity beta: the underwriting profit on insurance, which a 60/40 portfolio cannot collect.
2. Relative value is genuinely low-correlation return. A Sharpe ratio of 1.18 at 3.9% volatility with a 6.5% drawdown is rare among hedge fund strategies, and Dominicé found that adding the Long Volatility and Relative Value Volatility indices to the S&P 500 gave about 7% a year at more than double the index’s Sharpe. That low correlation cannot come from skew. Kozhan, Neuberger and Schneider find that almost half of one-month S&P 500 skew is a risk premium, but skew risk and variance risk are nearly the same risk: capture one while hedging out the other, and the premium all but vanishes. A relative-value book that is net short skew is short variance in disguise, so the decorrelation has to come from dispersion, term structure or cross-asset trades.
3. Long vol and tail are the only exposures that pay out by contract, and at once, when equities gap down. Bonds failed at that job in 2022, and stocks and bonds have become more correlated. The mathematics is the volatility tax: compounded growth is roughly the arithmetic mean minus half the variance, so deep drawdowns do non-linear damage (a 50% loss needs a 100% gain to recover). A hedge that costs around $5 million a year per $1 billion protected raises long-run CAGR if it turns a −34% drawdown into −6%. An independent backtest of a Universa-style strategy on Cboe data from 2006 to 2020 produced 11.0% a year, close to Universa’s claimed 11.5% against 7.9% for the S&P 500. The hedge also frees up risk budget, letting an investor hold 100% in risk assets instead of 60/40, and it pays out exactly when assets are cheapest. CalPERS is the cautionary tale: it hired Universa and LongTail Alpha in 2017, then redeemed, and the Universa position it gave up returned about 3,600% in March 2020, a payday of more than $1 billion it could have spent buying the lows.

For the market, the reason is structural. Option demand is one-sided: institutions systematically buy index puts and sell calls, and structured products hand long-dated vega and correlation risk to dealers. Since 2008, dealer balance sheets have not been able to warehouse that risk, so somebody else has to hold it, for a price. Short-vol funds lower the price of insurance for everyone. Long-vol funds become liquidity providers in a crash, selling puts and VIX calls as they monetize. Relative-value funds keep the volatility surface consistent across skew, tenor, asset class and dispersion. Even the VIX ETP complex, whose mechanical roll bleeds in contango, needs somebody on the other side.

The reinsurer story is more than a metaphor. Chen, Joslin and Ni read dealer constraints off trading in deep out-of-the-money index puts. When puts get dearer while the public buys fewer of them, it is the supply side that has tightened, and such periods bring more expensive options, higher risk premia across assets, worse funding liquidity and broker-dealer deleveraging. Barras and Malkhozov find that the variance risk premium measured in options and the one measured in equities move together but are not the same; the gap tracks the financial health of intermediaries and at times exceeds 3% a year, twice the average premium itself. Muravyev shows that market makers’ inventory risk moves option prices more than informed trading does. Part of what a short-vol fund harvests, then, is rent on scarce balance sheet, and rent behaves like rent. It is highest when dealers are constrained, which shows up as dearer puts with fewer public buyers, and it should fall as income funds, QIS and short-vol capital crowd in. That is a capacity limit on the whole category, not just on any one fund.

Whether to use a fund or do it yourself is an operations question: margin, Greeks, execution in thin deep out-of-the-money options, and the discipline to monetize. The gap between implementations of the same idea is the entire business. TAIL’s −44% and Ambrus’s +51.48% since 2022 both go by the name “buying tail protection.” And demand is rising: HFR counted 562 hedge fund launches in 2025, a four-year high, as investors added strategies positioned for higher volatility, and Aberdeen’s outlook for the second half of 2025 turned positive on both relative-value and directional volatility strategies.

AQR’s 2011 paper “Chasing Your Own Tail (Risk)” argued that tail insurance costs more than it pays out and offered five alternatives: diversify by risk rather than by asset, manage volatility actively, add uncorrelated alternatives, use low-beta equities, and write a crisis plan in advance. Ilmanen, Thapar, Tummala and Villalon (2021) compared out-of-the-money index puts with multi-asset trend following and found a generally stronger case for trend, except for investors who mainly fear fast drawdowns.

AQR’s 2022 follow-up showed the pattern. In the short February–March 2020 drawdown, tail-hedging funds and put buying did best; in the long drawdown that began in January 2022, trend following did best, and options-based strategies paid for their crash protection with negative long-run average returns. Harvey, Hoyle, Rattray, Sargaison, Taylor and Van Hemert (2019) found that continuously holding short-dated S&P 500 puts was the most reliable defense and also the most expensive, returning −7.4% over all periods. FactorResearch compared tail-risk funds with cash-like assets from 2007 to 2020 and found similar risk-adjusted returns and drawdowns, with tail funds most in demand when least attractive.

Dean Curnutt of Macro Risk Advisors put it in one line: tail hedging works, but the price matters a great deal.

Ambrus describes itself as a Chicago-style proprietary trading firm fused with a tail strategy. The flagship Ambrus Volatility Fund launched in May 2022; the firm was incorporated in September 2020 and traded separately managed accounts from January 2021. Co-CIOs Kris Sidial (Xanthus Capital, Chimera Securities, nearly four years on BMO’s exotic derivatives desk) and William Wise run the book, and Sal Abbasi (Citadel, 2006–2012) runs quantitative risk. The fund uses no leverage and holds a large cash balance, and Sidial keeps 60% of his liquid net worth in the funds.

The shape matches what Sidial told Forbes in 2022 the fund would do: flat to slightly down in normal markets, sharply up in tail events. Split the trailing 24 months, and the three event months compound to roughly +47% while the other 21 months add about +4% in total. In the data, the bleed really is zero.

The Hedge Fund Journal’s 2024 profile sums up the mandate in three lines: minimize the cost of holding protection; take profits during volatility spikes, generally above a VIX of 40; and always keep enough tail protection to pay off if volatility keeps rising. The book runs on two engines. Loss mitigation buys protection across the VIX complex (VIX options, index derivatives and ETPs), optimizing tenor and strike and watching flows. It is built to pay 100–200 times at the peak, which is what a VIX call bought with the VIX in the mid-teens pays if the index reaches 50–70. Bleed mitigation is a set of mostly intraday, risk-capped strategies in plain-vanilla options. They trade hedging behavior, term structure, intraday volume and single-name overreactions, with hit rates and win/loss ratios only modestly better than a coin flip; the firm compares its edge to a casino’s 51%. Most of that profit is recycled into protection. A floor of protection stays on even when trading loses, and more can be bought when a spike looks close.

The long gamma sits in two-week to two-month listed options, on the thesis that the front of the curve carries excess variance from dealer hedging and that large moves since 2017 have played out within six weeks. The fund buys cheap skew and wings on both sides, prefers single names and sectors with positioning imbalances to plain SPX puts, and accepts being wrong 70–80% of the time. In April 2025 its best trades were one-to-two-month out-of-the-money S&P 500 contracts and one-to-three-month out-of-the-money VIX contracts. Short vega is always capped with spreads; long gamma never is. The risk the firm fears most is the belly: volatility rises, the wings fail to follow, and both sides lose. Monetization is discretionary, weighing hedge fund and dealer positioning, vol of vol and the fundamental backdrop, but it follows one rule: sell enough to make the trade free, then sell in tiers. Giving back profit is allowed; losing money on the trade is not.

Scale is the variable to watch. In September 2024 the firm had raised about $50 million without a seed investor and put its capacity near $500 million. By spring 2025 firm assets were about $115 million, and its Form ADV reports $485 million as of March 1, 2026, with the master fund at $439.5 million from 157 investors at a $250,000 minimum. The April 2026 investor letter said assets were approaching $1 billion, that the fund would soft-close from July 1, and that large multi-strategy hedge funds were among its backers. Wise has said that the bleed-mitigation alpha scales far less well than the loss-mitigation side.

The firm’s May 2022 paper, Volatility and the Changing Market Structure Driving US Equities, lays out four reflexive loops. First, dealers who are net short gamma must buy as prices rise and sell as they fall, amplifying moves, while dealers who are long gamma, a position created by overwriting and income funds in the belly of the distribution, dampen them. The two coexist, so markets stay calm until price leaves the belly for the wings, where dealers flip from stabilizer to accelerant; gaps cannot be hedged at all. Second, structured products leave banks with path-dependent exposure that supplies volatility in calm markets and demands it near barriers. Third, passive, cap-weighted flows are momentum flows concentrated in a handful of names. Fourth, post-2008 regulation removed the shock absorbers: dealers cannot warehouse risk, liquidity comes from algorithms whose depth is procyclical, and options notional now exceeds cash equity volume. The conclusion is not a crash call but a frequency call: events that used to arrive once a cycle will arrive about twice as often.

Three other claims are easier to test.

Structural volatility supply. Ambrus estimates that short-vega notional has doubled since 2018 and assets in derivative-income funds have grown tenfold, with multi-strategy pods and QIS dispersion trades adding to the pressure. Flows like these move prices: an earlier version of Muravyev’s paper found that rolling positions at expiration creates enough selling pressure to push the prices of non-expiring options down 5.7%. Suppressed implied volatility makes convexity cheap in calm periods. When the sellers are forced to cut, the result is a short-covering spike (even hedged short-vol funds buy some exposure back), and then the same sellers return and press volatility down again. That is why spikes are V-shaped, and why the firm sells into them. “Cheap” needs a footnote, though. Park finds that a rise in VVIX makes out-of-the-money S&P 500 puts and VIX calls dearer and lowers their returns over the next three to four weeks (a one-standard-deviation rise predicts next-day returns 1.32–2.19 percentage points lower on the puts and 0.68–1.01 lower on the calls), so the wings are cheap when VVIX is low. But a steep term structure, the normal state of a calm market, predicts low returns on variance swaps, VIX futures and straddles. Calm can make the wings cheap; it does not make the belly cheap.

A more leptokurtic VIX. The firm’s December 2022 paper argued that the next extreme crash would print VIX levels never seen before. The index is computed from quote midpoints across all out-of-the-money strikes until two consecutive zero bids, and short-dated trading plus market-maker concentration had thinned out the 23-to-37-day options it uses. On August 5, 2024 the VIX jumped from 23.9 to 42 within 15 seconds of the 3:15 a.m. pre-market open and passed 65 by 8:30, while front-month futures stayed below 35. An SEC working paper found that deeper puts entered the calculation (the lowest included strike fell from about 2,700 to as low as 1,400) but added at most 6 points. The real driver was inflated midpoints: the bid-ask spread on the 3,500-strike put widened from about $0.20 to more than $15, and on at-the-money puts from under $1 to $50 or more. The BIS concluded that VIX ETFs and dispersion trades were unlikely to be the main cause. The thesis was right about the print and silent about the futures, and that is the catch for any VIX-call book: options mark to the futures, so a spike that lives only in the spot index pays only if it survives the open.

0DTE options. Ambrus’s April 2023 paper, Dispelling False Narratives About 0DTE Options, was written as a rebuttal to JPMorgan’s “Volmageddon 2.0” warning. It surveyed ten market makers and concluded that institutions (RIA overlay and yield programs, market makers, event hedgers and volatility funds) dominate the flow. By its account, end users are net sellers on normal days, which leaves dealers long gamma and stabilizing; the exception is a panic in which end users net-buy puts. The paper estimated that on October 13, 2022, dealers would have had to sell more than $10 billion of delta had the S&P 500 revisited its intraday low. Its verdict, that 0DTE is an accelerator of volatility rather than its creator, has held up. August 2024’s spike happened pre-market, before that day’s 0DTE options had traded, and an academic study finds that high open-interest gamma in 0DTE options does not propagate past volatility. For a long-volatility shop the same tool is a weapon: it can rent gamma and event risk for the day that matters instead of carrying them for a month. By February 2026, 0DTE contracts were 63% of SPX volume.

What survives scrutiny is the mechanism: dealer gamma, structural supply and VIX methodology, all confirmed in August 2024. What does not is the frequency call, which four events cannot settle; a theory that explains both long calm and sudden bursts says nothing about timing. The tradable residue fits in two sentences. Spikes will be larger relative to the equity move, so own far wings and VIX calls. They will also be shorter, so sell above 40, or, on the VVIX evidence, sell when vol of vol is high rather than at a fixed VIX level.

Sidial’s own framework: divide expected annual bleed by expected return in a crash; define the crash in advance (a 20% monthly fall in the S&P 500, or a VIX near 70); judge the fund like a goalkeeper, on saves rather than goals; hold it continuously; size it small; and measure returns on the investor’s total allocation, not on the capital inside one trade.

Universa, sized at 3.33% of a portfolio, added roughly 13 points in March 2020 (+0.4% for the hedged portfolio against −12.4% unhedged), at a running cost on the order of 0.5% a year of protected notional. Ambrus made 25.21% on its own capital in April 2025 at a running cost near zero, so an allocator holding it at 10% received about 2.5 points. Per unit of bleed, Ambrus wins. Per unit of allocation, Universa’s crash payout is roughly five times larger, and the gap would widen in a 2008-style decline that lasts for months, because “sell above 40 and keep a floor” caps the payoff that pure convexity leaves uncapped. These are rough sums on reported figures, not a like-for-like backtest. What carry neutrality buys is the ability to hold the strategy as a standalone position rather than as a cost center.

The trade-off is not peculiar to Ambrus; it is how the market prices risk. If only realized jumps carry a premium, any position that pays out by contract in a gap has to cost something. A long-volatility fund with zero bleed is therefore a recipe with three possible ingredients: protection that is mostly vega, which is cheap or even earns a premium but does not pay out by contract in a gap; a separate alpha that subsidizes the protection; or a second premium sold alongside, such as capped short vega. Ask to see the three separately. The same evidence tests the front-end thesis. On average, short-dated out-of-the-money gamma is the most expensive point on the curve, so if the front really carries excess variance, the contracts Ambrus picks have to beat that average. The way to check is to look at the long book’s realized-minus-implied on its own, before bleed mitigation.

Two questions remain open. The first is robustness. The bleed-mitigation strategies have been measured as uncorrelated in calm markets, but whether intraday alpha survives a multi-day gap regime with blown-out spreads is untested, and its failure would suspend carry neutrality exactly when the long book is paying. If part of that alpha comes from the day–night asymmetry (options cheap at the open, rich at the close), it rests on a documented anomaly rather than a casino’s 51%, and it is fair to ask how much of the P&L the asymmetry explains. The second is capacity: a firm that estimated its capacity at $500 million in 2024 is approaching $1 billion in 2026. If bleed mitigation cannot scale, either the short book grows and the fund drifts toward short vol, or it does not and the fund drifts back to an ordinary tail fund’s bleed. The test is whether the next 2023 still comes in at +1.7% with $1 billion under management.