Volatility is the price you pay for liquidity; but, when viewed as an asset, investors may find potential differentiated sources of return.

Barrack Yard Advisors recognizes two volatility strategies:

• Harvest volatility risk premium to generate low-risk income
• Arbitrage by trading relative volatility to generate potential gains

Volatility Harvesting Overlay Strategy (selling calls)
This strategy employs an overlay strategy to a portfolio utilizing trading algorithms to identify and trade call options that will provide profit opportunities through time decay.

Volatility Harvesting Overlay follows rigorous risk management procedures via a rules-based tactical trading model throughout the investment cycle, in order to rebalance and restructure the portfolio within established risk boundaries.

Volatility Arbitrage Strategy
Volatility Arbitrage is distinct from the Barrack Yard Core Strategy, and is not an overlay.

This strategy uses a trading algorithm designed to detect and capitalize on short-term intra-market, capital structure valuation discrepancies, and cross asset class valuation dislocations.

Once identified, Volatility Arbitrage seeks to maximize profit potential through the cash or derivatives markets on varying assets and asset classes.

The portfolio manager maintains strict risk management procedures via a rules-based tactical trading model throughout the investment cycle, in an effort to reduce program risks.

Directional risk is generally reduced through dynamic hedges. Risk-defined option spreads aim to minimize the impact of extreme market events. Model risk is mitigated via intra-day validation of the pricing matrix.

Barrack Yard Advisors works with Arin Risk Advisors LLC to offer customized strategies for volatility harvest and arbitrage. (We generally do not attempt strategies that seek to predict volatility’s direction.)

Arin Risk Advisors also offers personalized risk replacement service to Barrack Yard Advisors clients. 

Arin Risk Advisors Form ADV