Global Sigma's volatility arbitrage strategy (GS/ Vol) went live in May, after returning a hypothetical back-tested 19% annually on average from January 2007 to May 2017, with a Sharpe Ratio of 2.1. The fund is due to launch this month.

The Boca Raton, Florida-based firm, which manages $230m in AuM, has been trading S&P500 options and analyzing v