Goal
The Volatility Opportunity strategy is designed to produce good quality risk adjusted returns by focusing on options markets. Asset classes
include equities, indices, commodities, interest rates and digital assets.
Primary markets to be traded are major US and European markets such as the S&P500, Eurostoxx, DAX, Gold, Silver, Treasury Bond and Treasury Notes. The objective is to generate absolute returns with no benchmark.
Investment Strategy
Positioning will be opportunistic and will depend primarily on analysis of options and option combinations. The objective is to outperform vanilla strategies. Each of the markets traded has deep and liquid options
markets traded on major exchanges. Through options, positions can be delta long through call option combinations or delta short through put option combinations. For each position and for the portfolio, careful analysis of delta, gamma, theta and vega exposures is undertaken.
Portfolio Profile
Risk is well controlled and diversified across markets. The risk margining system of Interactive Brokers is very well developed and robust. The IB system is more conservative than the margin use parameters set by the
exchanges. For most positions, risk is limited to net option premium paid. For carefully selected markets, option ratios are utilized.
Liquidity Management
In addition to the portfolio profile individual positions are managed via stop losses. Also, the portfolio is subject to risk reduction rules and a portfolio stop loss target of 20%. All positions are liquid and can be closed within minutes. Uncovered Short Selling is not allowed. Short positions must be covered by either the underlying or cash, depending on the margin requirements
of the broker.
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Certificate information