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Oxeye Buyback Option Premium Strategy (BOPS 5x) - AlphaMaven Performance Report
November 2024 - Hedge Fund
Oxeye Buyback Option Premium Strategy (BOPS 5x) - AlphaMaven Performance Report
The strategy involves writing ladders of ‘strangles’ on the FTSE 100 Index, selling 3- month Put and Call options up to approximately 5% out-of-the-money with matched expirations. Four strangles will typically be sold each month so that 12 strangles are laddered out over three months, implying synthetic ‘gross leverage’ of 5x (on half FUM). The higher the market volatility, the higher the option prem