Aether Gaviota Options VII Strategy
Aether Gaviota Options VII Strategy
Aether Gaviota Options VII Strategy
Description
Approach
Process
Quantitative - Systematic
Source of Returns
Signal Type
20-30 days
Trade Risk
Capped Risk
This investment strategy is uncorrelated to most other investment strategies. Volatility is a form of risk premium,
higher levels of implied volatility enhance the potential returns. By combining a high probability price DELTA
quantitative signals with options volatility modeling & data mining, the strategy is able to enhance returns
compared to independently trading equity option credit spreads.
The overall portfolio positioning varies from 50% long/ 50% short, to 70%/30% or 30%/70% maximum. The goal of
keeping the portfolio slightly long bias is congruent with historical market data, we can remove the
directional risk of having to be correct in forecasting the overall stocks markets immediate trend. Rather by
only focusing on high probability 20-30 day premium rich option events where the main alpha is through a
mean reversion of option implied volatility not predicting price direction, we can seek better risk adjusted
returns in a alternative space not widely saturated by other managers or funds.
Investors should be aware that trading options involves substantial risk of loss and is not suitable for all investors. Past performance is not necessarily indicative of future results.
Past performance is not necessarily indicative of future results. There is unlimited risk of loss in selling options.
Strategy Specs
- 6-10% max risk per trade
- Capped risk spreads only
- Min 60% POP requirement
- 30-45 day max time premium
- 50% of Capital usage maximum
- 2% to 5% per month return target
- 30/70 70/30 Long short constraints
- Net short options 100% of the time
- Simulated with ThinkorSwim Platform
Closed
Trades
Proven
Probability
Edges