The Weekly E-mini Program is an options volatility strategy primarily driven by a proprietary option trading model, designed to capitalize the systematic entry signals produced by the system. Base on a number of factors - volatility, price, volume and momentum, the model generates strikes and weights. The strategy typically buys and sells options in a certain ratio - the options the fund sells have higher implied volatility and the options that the fund buys have relatively lower implied volatility. A certain combination of long and short options yields a more attractive return profile than pure option selling strategies.
Uptrend and oscillating markets are the best environments for WEP. A slightly bearish market can also be desirable. WEP's risk management and exit strategy are 100% systematic.
- Year of 2017 BarclayHedge Awards: Ranked #4 in Option Traders Category.
- Year of 2017 BarclayHedge Awards: Ranked #8 in Short Term Category.
- Year of 2016 BarclayHedge Awards: Ranked #6 in Option Traders Category.
- Ranked Top 10 in Net Return for 10 of last 12 months (2016/2017/2018).
Please note that the ranking applies only to those CTAs who submit their trading results. The rankings in no way purport to be representative of the entire universe of commodity trading advisors.
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