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| Quarter | Letter Date | Fund Name | QTD | YTD | Tickers | Themes | Quick Take |
|---|---|---|---|---|---|---|---|
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"Logica's volatility strategies faced headwinds in March as geopolitical whipsaw from Iran conflict created expensive options environment with insufficient realized movement. Despite VIX elevated at 25-30, low realized volatility limited trading opportunities."
Logica's March 2026 letter details a challenging month defined by geopolitical whipsaw from the Iran conflict. The S&P 500 fell 5.09% while VIX remained elevated in the 25-30 range, creating an expensive optionality environment where option carry costs were high but realized volatility remained insufficient for meaningful trading opportunities. The firm's Phase Shift signal activated, transitioning from scalping vol spikes to holding long-volatility inventory ahead of expected breakouts. However, the March 31 snap-back rally crushed VIX by 5.4 points, hurting positioning. LAA delivered -4.04% versus S&P's -5.09%, producing roughly 1.05% excess return. The quarter illustrated how the strategy behaves across volatility regimes, with low realized volatility creating headwinds despite elevated implied volatility. Looking forward, the key question is whether realized volatility will rise to meet implied levels or whether IV will compress as geopolitical concerns subside. The strategies remain positioned for asymmetric upside if volatility alignment occurs.
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