Trading Strategy: Option Writer / Stock Indexes / 4.7 Exempt / QEPs Only
Program Description: Global Sigma applies a model-driven, high turn-over, mean-reversion approach to option premium capture in the S&P500 futures market. Global Sigma was formed in late 2009 around the same time the weekly expiry options contract on the S&P500 was launched. Global Sigma is a product focused manager and has become one of the most active managers of the weekly expiry S&P500 options contract in the CTA industry. Strategy In a discretionary manner, the strategy seeks to sell “over-priced” Puts and Calls that have strikes that are two standard deviations away from the current S&P500 price. 90% to 95% of the time, the options expire at $0. The strategy hedges the portfolio’s Delta/Gamma exposures by taking positions in the S&P500 futures market and buying Puts and Calls. The average daily S&P Delta exposure of the portfolio since inception has been (-0.10).