Investment Objective
Long-term capital appreciation and option premiums consistent with reasonable risk to principle.
The team seeks to gain an efficient exposure to the Volatility Risk Premium (VPR), by selling cash-secured put options on the S&P 500 Index.
Our active options selection process is designed to potentially dampen volatility, capture option premium income, balance upside participation with a downside cushion and provide additional diversification to traditional asset allocation. We believe that flexibility inside of mandated parameters may have advantages over systematic strategies.
Key Tenets of Our Approach
Seek to efficiently capture the Volatility Risk Premium on the S&P 500 Index
Designed to seek balance between upside participation and downside cushion
Portfolio designed to use no leverage: 100% of the notional value is invested in S&P 500 Index Options and fully secured
Universe
- Options on the S&P 500 Index that expire in less than 3 months
Benchmark
- CBOE Putwrite TW Index
- CBOE Buywrite Index
Operating Target
- Our underlying equity exposure is the S&P 500
- We are fully invested in cash-secured puts or covered calls on the S&P 500 Index.
Limiting Exposure
- Aims for 100% S&P 500 cash-secured puts or covered calls
- No external leverage
The CBOE Put/Write T-W Index is a benchmark index designed to track the performance of a hypothetical short put strategy. CBOE introduced the CBOE S&P 500 PutWrite T-W Index on July 3, 2014. The PWT Index replicates the methodology used to calculate the PUT Index, with one exception. That is, on each roll date the SPX puts are deemed to be sold at the Ptwap, a price equal to the time-weighted average of reported bid prices, of the selected SPX put option beginning at 11:30 a.m. ET and ending at 12:00 p.m. ET. Accordingly, Ptwap is used in place of the Pvwap on PWT roll dates. CBOE has not calculated a separate series of historical values for the PWT Index prior to July 3, 2014. Rather, historical values for the PWT Index prior to July 3, 2014, may be considered the same as PUT Index values. The Index is unmanaged.
The CBOE S&P 500 Buy-Write Index is an index designed to track the performance of a hypothetical covered call strategy on the S&P 500 Index. The Index is unmanaged.
The S&P 500 Index consists of 500 widely held common stocks. This unmanaged Index is a total return index with dividends reinvested.
One cannot invest directly in an index.
This website is for informational purposes only. GIM products are actively managed and their characteristics will vary. All investment has risk, including the risk of loss of principal. There can be no assurance that efforts to manage risk or to achieve any articulated investment objective will be successful. An investor should consider investment objectives, risks, charges and expenses carefully before investing. For additional information regarding risks and about the firm, please refer to Related Literature and Disclosures.