The Dynamic S&P Options Writing Program Highlights

  • The Dynamic S&P Options Writing Program uses a discretionary approach to trade US equity index futures and options on their futures contracts. The Program primarily trades uncovered or naked options and is designed to capture the decay of option premiums.

  • From its inception in November 2014 through January 2017, White River Group’s (“WRG”) Dynamic S&P Program has been profitable more than 95% of the time, earning gains in 26 out of the 27 months it has traded.

  • The program’s largest loss was in August 2015.  This occurred during the period of time that the S&P VIX experienced its biggest spike in history. (1)

  • From September 2015 through January 2017, the Dynamic S&P Program was up a total of 34.17%, 56% more than the S&P’s (2) performance of 19.10%

  • From November 2014 through January 2017, the Dynamic S&P Program’s return was 65% more than the S&P’s (28.54% vs. 18.48%)
  • The program has a similar trading strategy to White River Group’s consistently top Ranked Stock Index Option Writing Program (3) (which is the past eight years produced a cumulative return of 154.48% (November 2008 – January 2017). The Program's worst drawdown since inception was -18.73%, which occurred from May 2011 - Aug 2011.

Interview Excerpt

Autumn Gold: How do you feel about the way the Dynamic Program has performed since inception of the program?

Andreas: I believe the Dynamic Program has passed the proverbial “test of fire" through market extremes, and thus far it has produced consistent performance with attractive risk adjusted returns: This is my goal of the program.  My only losing month thus far was in August 2015 when the market experienced one of its largest volatility spikes in history.  During that month, the program composite experienced a loss of 10.81%. Keep in mind that many blue chip stocks and other CTA programs experienced drawdowns over double the size in that same month.

The program recovered from the drawdown to make new highs in equity, and it has been profitable every month since August 2015.  In this period, we have experienced very challenging markets for S&P option writers.  This includes June 2016, which had the biggest plunge in the volatility index (“VIX”) since its inception in 1990. 

Some of the most challenging and difficult trading environments for an option seller are sharp volatility spikes and very low VIX levels. Option writers collect much lower premiums in a low VIX environment, thus limiting returns. Since the program's inception we have experienced a huge range of market conditions, from extremely low levels in the VIX to some of the quickest and most severe volatility spikes in market history.  Thurs far, the program has been able to navigate these turbulent market conditions well and return attractive risk-adjusted returns to clients.  

Read the Complete Interview

Footnotes

  1. On August 24th the VIX spiked to a high of 53.29, which was 90.12% increase from its previous day’s close of 28.03.
  2. The S&P performance is based on the S&P 500 Total Return Index.
  3. The Dynamic S&P Program sells options with a shorter time period until expiration.
  4. PLEASE NOTE THAT THE RANKINGS APPLY ONLY TO THOSE CTAs WHO SUBMIT THEIR TRADING RESULTS. THE RANKINGS IN NO WAY PURPORT TO BE REPRESENTATIVE OF THE ENTIRE UNIVERSE OF COMMODITY TRADING ADVISORS.

Risk Disclosure

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS AND/OR FOREIGN EXCHANGE ("FOREX") IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.

PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.

THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.

AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.