April and May handed equities one of the most one-directional runs in years. April closed +10.0%, the largest single-month S&P 500 gain since November 2020. May added another +5.1%. Compounded, that is roughly a +15% move in two months, nearly twenty times what two average months would deliver.

For anything structurally long volatility, this is the canonical worst case: low realised volatility, a persistent upward grind, compressing skew, and no meaningful down-day to monetise. The cost of carrying convexity is highest precisely when nothing happens.

The cohort felt it. Over the same window, a major volatility hedge fund moved to wind down after losses of around 30% across the first four months of the year (Bloomberg, 13 May). It is a reminder of how unforgiving this regime has been for the space.

Through that tape, the strategy returned +0.71% for the month. The point is not the headline number, it is the shape of the return. Realised volatility ran at 2.24% against 10.09% for the index, daily correlation to the S&P 500 was -0.39, and the maximum drawdown was -0.34% against -1.97% for the market.

The behaviour on down-days is the structural signature. On 15 May, the only meaningful down session of the month, the S&P 500 fell -1.24% and the strategy returned +0.50%. Across the six negative equity sessions, the strategy was flat or positive on five. This is a book designed to do very little when markets grind higher and to pay when they break, and May tested exactly that.

The implied volatility regime tells the same story. The VIX compressed from a late-March peak of 31.05 to 15.32 at month-end, a fall of roughly 38% from the start of the second quarter, interrupted only by a brief pop on 15 May.

The intraday engine that carried the month is the product of multi-year work on short-dated index flow. The next layer, a systematic liquidity-provision capability, is in build, with a measured, shadow-first rollout planned through the second half of the year. More on that in future editions.

Materials, including the strategy factsheet, are available on request for Professional Clients and Eligible Counterparties.