Volatility as measured by VIX
Time to expiration
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|
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.
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.