Private Indexes

Options and derivative strategies allow investors to directly customize portfolio objectives including return, risk, and income.

Options Overlay Parameters

Strike Selection

Maturity Selection

Sizing

Hedging & Roll Management

Hedging

Protect the portfolio against market downturns in a capital efficient manner. Volos has developed strategies for significantly reducing the cost of hedging relative to traditional strategies.

  • Collars & Put-Collar Spreads
  • Protective Puts & Put Strips
  • Long Straddles
  • Dynamic Tail Hedging
  • Long Volatility Options
  • Dynamic Replication

Income

Generate additional income from collecting premia. Volos has conducted extensive research on active management techniques for enhancing the performance of income-generating strategies at single security and portfolio levels.

  • Covered Calls (Overwrite)
  • Short Puts (PutWrite)
  • Bull / Bear Spreads
  • Butterfly Spreads
  • Ratio Spreads
  • Iron Condors

Absolute Return

Enhance alpha via uncorrelated return streams. Volos has developed a suite of tactical long and relative value volatility positions. Volos has developed algorithms to identify optimal payoff structures for expressing alpha views.

  • Yield Enhancement
  • Relative Value Volatility
  • Volatility Arbitrage
  • Event-Driven

Volatility Risk Premia

Access volatility as an uncorrelated source of yield. Volos can help quantify the various performance trade-offs across the many implementation styles of VRP strategies.

  • Delta-Hedged Short Straddles
  • Risk Reversals (Volatility Skew)
  • Calendar Spreads (Volatility Carry)
  • Volatility Dispersion