Stock Index Option Writing
Index Option Writer
The Stock Index Option Writing Strategy writes call and put options on index futures (primarily on the S&P index but occasionally also on other indices). The strategy is designed to capture the decay of option premiums. The program sells deep out-of-the-money options after unusual Stock Market movements. Option contracts are written at a sufficient distance to allow in most cases, for the options to expire worthless. Primarily uncovered or naked options are sold (although spreads are utilized at times). The advisor may also take outright positions in the underlying future contract. The trading strategy is mostly discretionary. Both fundamental and technical analysis are incorporated into the trading decision.
| Program Statistics |
|
| Peak-to-Valley Drawdown (2) | -18.73% |
| From May 2011 to Aug 2011 | |
| Worst Month (Feb 2020) | -17.68% |
| Current Losing Streak | 0% |
| Average Monthly Return | 0.83% |
| Monthly Std. Deviation | 3.08% |
| Gain Deviation (166 months) | 1.29% |
| Loss Deviation (39 months) | 4.12% |
| Gain to Loss Ratio | 0.51 |
| Omega Ratio (5% Threshold) | 1.51 |
| Annualized Performance |
|
| Compound ROR (1) | 9.77% |
| Standard Deviation | 10.68% |
| Downside Deviation | 8.39% |
| Sharpe Ratio (3) 2% RF ROR | 0.89 |
| Sortino Ratio (4) 5% MAR | 1.11 |
| Calmar Ratio (5) | 1.08 |
| Sterling Ratio (6) | 0.98 |
| Gain Deviation | 4.47% |
| Loss Deviation | 14.28% |
| Profit Loss Ratio | 2.16 |
| Investment Information |
|
| Program Start Date | Nov-2008 |
| Percent Discretionary | 100% |
| Currency Denomination - US Dollar | |
| Minimum Investment | $40,000 |
| Management Fee | 2.00% |
| Incentive Fee | 0.00 |
| Margin | 60% |
| Round Turns per Million | 6,000 |
| NFA No: | #0378844 |
| Performance Since November 2008 |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 2.28% | 1.99% | 1.35% | -13.06% | 5.24% | 4.45% | 3.58% | 1.67% | 4.05% | 3.82% | 1.04% | – | 16.13% | -13.06% |
| 2024 | 0.62% | 0.35% | 1.39% | 0.26% | 1.24% | 0.91% | 0.98% | 1.16% | 1.21% | 1.40% | 2.11% | 0.07% | 12.33% | 0.00% |
| 2023 | 1.44% | 0.91% | 0.07% | 1.44% | 0.70% | 0.97% | 1.14% | 1.14% | 0.75% | 1.43% | 1.30% | 0.90% | 12.89% | 0.00% |
| 2022 | -3.41% | -0.52% | 2.98% | -2.12% | 2.81% | -4.66% | 2.03% | 1.50% | 0.82% | 2.86% | 1.69% | 0.80% | 4.51% | -5.07% |
| 2021 | 0.44% | 3.35% | 4.21% | 1.64% | 2.34% | 2.03% | 1.39% | 1.65% | 1.46% | 1.62% | 0.90% | 2.37% | 26.01% | 0.00% |
| 2020 | 0.12% | -17.68% | -0.10% | 1.98% | 3.57% | -3.23% | 1.89% | 0.60% | -3.85% | 0.58% | 1.92% | 3.03% | -12.40% | -17.76% |
| 2019 | 4.37% | 1.52% | 1.40% | 1.44% | -1.53% | 2.05% | 1.52% | -3.29% | 2.42% | 0.53% | 2.78% | 0.43% | 14.27% | -3.29% |
| 2018 | -7.03% | -2.82% | -1.52% | 0.26% | 2.61% | 0.85% | 3.53% | 1.08% | 3.05% | -2.90% | -0.22% | -4.88% | -8.26% | -11.03% |
| 2017 | 2.45% | 0.42% | 0.64% | 2.23% | -0.76% | 2.38% | 2.57% | 0.68% | -0.21% | 0.87% | -2.12% | 0.78% | 10.27% | -2.12% |
| 2016 | -9.86% | -3.71% | -0.31% | 1.56% | 3.13% | 3.46% | -1.69% | 2.79% | 0.79% | 1.89% | 1.67% | -0.44% | -1.49% | -13.47% |
| 2015 | 2.30% | 4.38% | 1.61% | 1.74% | 1.20% | 2.48% | 1.87% | -7.37% | 2.96% | 0.21% | 1.68% | -2.82% | 10.12% | -7.37% |
| 2014 | -1.37% | 2.48% | 2.04% | -2.91% | 4.22% | 0.71% | -3.59% | 5.09% | 1.00% | -2.24% | 3.67% | -3.14% | 5.57% | -3.59% |
| 2013 | 0.77% | 0.50% | 0.56% | -0.41% | 1.34% | -1.95% | 2.60% | 2.62% | 0.20% | 1.73% | 4.70% | 2.86% | 16.49% | -1.95% |
| 2012 | 3.79% | 3.75% | 0.68% | 4.05% | 1.10% | 1.89% | -1.94% | 5.81% | -1.27% | 2.04% | 0.09% | 2.25% | 24.29% | -1.94% |
| 2011 | 2.11% | 2.37% | 0.69% | 2.05% | 1.96% | -3.06% | 0.12% | -16.26% | 1.16% | 8.02% | 4.77% | 3.93% | 5.89% | -18.73% |
| 2010 | 1.24% | 1.10% | 0.85% | 0.63% | -6.73% | 3.16% | 4.16% | 2.05% | 1.59% | 2.14% | 2.24% | 1.94% | 14.91% | -6.73% |
| 2009 | 2.06% | 1.89% | 0.46% | 1.89% | 1.75% | 2.01% | 1.01% | 1.42% | 1.74% | 1.85% | 1.40% | 0.88% | 19.98% | 0.00% |
| 2008 | – | – | – | – | – | – | – | – | – | – | 0.59% | 2.80% | 3.41% | 0.00% |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISOR'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.
311 S. Wacker Drive - Suite 600 * Chicago, IL 60606
Office: 312-283-3350 Email: [email protected] | Web Address: http://www.ascentcm.com
© 1997 - 2025 AutumnGold.com LLC