Science

Investment process focused on risk where return is the goal, replicated weekly

Model Inputs

Model Outputs

Volatility as measured by VIX

 

Time to expiration


Mean


Standard Deviation


Current S&P 500 Index level


The 1 year Treasury Interest Rate

Strike prices that meet our probability standards
Put spreads: Generally written at what we believe to be a 99.5% probability of success
Call spreads Generally written at what we believe to be a 90.0% or higher probability of success

 

The Investment Process adjusts to market risk

As risk (volatility) increases, option contracts are written farther out of the money at the same probability of success. In both cases, puts and calls are sold at what we believe are a 99.5% and 90.0% probability of expiring worthless.

 

investment graph

The above graphical illustration is meant to show how the strategy can be utilized and is not meant to represent fund performance. There is no guarantee that this investment strategy will achieve its objectives, goals, generate positive returns, or avoid losses.

 

 

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