Institutional Options Strategy
Discretionary / S&P 500 / Futures & Options
The Institutional Options Strategy trades the S&P 500 futures and its options. It's a discretionary and rule-based investing program seeking long-term growth by capturing the premium and time decay of option contracts. The options traded are any option contracts with the S&P 500 futures contract as an underlying, e.g. S&P 500 futures options with daily, weekly and monthly expiration. Typically, the time frame is short to medium term, with an option expiration 1 to 15 days out. Additionally, the Strategy sells deep out of the money options for relatively low premiums. Therefore, a low commission rate of max.
$3.00 all in per option is the maximum allowed. The Strategy consists of writing deep out of the money covered and/or uncovered options. The strategy will also use S&P future contracts for hedging purposes and to minimize risk. In rare instances outright long positions of options can be initiated if current market situations require it. Both fundamental and technical analysis is incorporated into the trading decision and frequently adjusted.
| Program Statistics |
|
| Peak-to-Valley Drawdown (2) | -21.69% |
| From Dec 2024 to Apr 2025 | |
| Worst Month (Apr 2025) | -18.33% |
| Current Losing Streak | -0.97% |
| Average Monthly Return | 0.84% |
| Monthly Std. Deviation | 2.84% |
| Gain Deviation (55 months) | 1.02% |
| Loss Deviation (8 months) | 6.04% |
| Gain to Loss Ratio | 0.4 |
| Omega Ratio (5% Threshold) | 1.79 |
| Annualized Performance |
|
| Compound ROR (1) | 9.94% |
| Standard Deviation | 9.85% |
| Downside Deviation | 8.34% |
| Sharpe Ratio (3) 2% RF ROR | 0.98 |
| Sortino Ratio (4) 5% MAR | 1.13 |
| Calmar Ratio (5) | 0.3 |
| Sterling Ratio (6) | 0.35 |
| Gain Deviation | 3.54% |
| Loss Deviation | 20.92% |
| Profit Loss Ratio | 2.78 |
| Investment Information |
|
| Program Start Date | Sep-2020 |
| Percent Discretionary | 100% |
| Currency Denomination - US Dollar | |
| Minimum Investment | $50,000 |
| Management Fee | 2.00% |
| Incentive Fee | 0.00 |
| NFA No: | #0378844 |
| Performance Since September 2020 |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | -4.21% | 1.59% | -1.47% | -18.33% | 5.60% | 2.95% | 3.76% | 2.24% | 4.12% | 2.62% | 2.63% | – | -0.97% | -21.69% |
| 2024 | 0.71% | 0.92% | 1.54% | -1.09% | 1.93% | 0.40% | -1.82% | -2.13% | 1.63% | 1.09% | 3.48% | 1.40% | 8.21% | -3.91% |
| 2023 | 0.55% | 0.96% | 1.04% | 1.60% | 0.79% | 0.55% | 0.41% | 0.96% | 1.26% | 1.88% | 1.00% | 0.55% | 12.17% | 0.00% |
| 2022 | 0.42% | 0.21% | 1.56% | 0.37% | 1.84% | 0.97% | 1.44% | 1.31% | 0.98% | 1.54% | -0.22% | 0.66% | 11.64% | -0.22% |
| 2021 | 2.43% | 1.36% | 1.43% | 1.19% | 1.33% | 1.88% | -0.38% | 1.17% | 1.15% | 1.49% | 0.04% | 1.28% | 15.33% | -0.38% |
| 2020 | – | – | – | – | – | – | – | – | 0.99% | 0.96% | 1.97% | 2.21% | 6.27% | 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.
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