Sensa 500 C: Product Details

Overview

Sensa 500 C writes S&P 500 put options with on average 1 month to expiry at conservative levels of moneyness with a relatively high level of implied leverage on notional (albeit with a collateral level significantly above exchange and broker requirements).

The strategy is expected to outperform the S&P 500 on an absolute basis while providing a level of volatility in line with or slightly below the underlying index.

Collateral is recommended to be invested fully in 30 day T-bills or other conservative fixed rate government backed instrument.

Data Highlights

We do the leg work. We intake, calculate and process more data than humanly possible. This means you have more time and resources to manage your wealth effectively and ultimately do more with less.

We monitor all underlying options (c. 15,500 unique contracts trading at any time) on the S&P 500 in real time and based on our back-tested and AI augmented algorithms we provide you with updated investment recommendations as soon as certain criteria are met.

Performance

Since the beginning of 2004 the strategy has provided more than ten times the cumulative return of the underlying S&P index with a similar level of volatility.

The max drawdown over the period has been below half the max drawdown of the S&P 500 index.