Commodity Trading Advisors

TRADING STRATEGY
The strategy sells out-of-the-money put and call options on the FTSE 100 index, an operation known as selling strangles. The strategy does not take a view on the direction of the market, only that the market tends to stay within a range most of the time. The options are usually granted at selected strike prices above the market for call options and below the market for put options. The option strangles are granted for approximately three months duration. If on expiry the market remains within the selected strike prices plus the premium received, there is a profit. If on expiry the market price is outside those parameters, there is a loss. The strategy is operated on a non-directional basis and hedging techniques are applied at appropriate moments. However these hedging techniques cannot prevent losses if excessive movements occur and this perceived risk is seen as being partiuclarly likely if the market falles dramatically. The strategy will aim to limit this perceived downside risk by buying put options at a pre-determined level.The Portfolio may employ leverage up to a maximum Gross Market Exposure of 7.5 times the Net Asset Value.

TRADING STYLE: Option writing / indices / market neutral