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Trading Strategy: Discretionary / S&P 500 / Futures & Options
Program Description: The Institutional Options Strategy trades the S&P 500 futures and its options. It's a discretionary and
rule-based investing program seeking long-term growth by capturing the premium and time decay of
option contracts. The options traded are any option contracts with the S&P 500 futures contract as an
underlying, e.g. S&P 500 futures options with daily, weekly and monthly expiration. Typically, the time
frame is short to medium term, with an option expiration 1 to 15 days out. Additionally, the Strategy sells
deep out of the money options for relatively low premiums. Therefore, a low commission rate of max.
$3.00 all in per option is the maximum allowed. The Strategy consists of writing deep out of the money
covered and/or uncovered options. The strategy will also use S&P future contracts for hedging purposes
and to minimize risk. In rare instances outright long positions of options can be initiated if current market
situations require it. Both fundamental and technical analysis is incorporated into the trading decision and
frequently adjusted.
Investment Information
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2020 | 0.99% | 0.96% | 1.97% | 2.21% | ||||||||
| 2021 | 2.43% | 1.36% | 1.43% | 1.19% | 1.33% | 1.88% | -0.38% | 1.17% | 1.15% | 1.49% | 0.04% | 1.28% |
| 2022 | 0.42% | 0.21% | 1.56% | 0.37% | 1.84% | 0.97% | 1.44% | 1.31% | 0.98% | 1.54% | -0.22% | 0.66% |
| 2023 | 0.55% | 0.96% | 1.04% | 1.60% | 0.79% | 0.55% | 0.41% | 0.96% | 1.26% | 1.88% | 1.00% | 0.55% |
| 2024 | 0.71% | 0.92% | 1.54% | |||||||||
| 2020 | 2021 | 2022 | 2023 | 2024 YTD | |
|---|---|---|---|---|---|
| ROR | 6.27% | 15.33% | 11.64% | 12.17% | 3.20% |
| Max DD | 0.00% | -0.38% | -0.22% | 0.00% | 0.00% |
Track Record Prepared By:
