Omni Trading, LLC : S&P 500 Option Overwriting Program

archived programs
Year-to-Date
N / A
Oct Performance
-0.17%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
18.15%
Sharpe (RFR=1%)
0.40
CAROR
6.79%
Assets
$ 6.2M
Worst DD
-35.38
S&P Correlation
0.53

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Oct Qtr YTD 1yr 3yr 5yr 10yr Since
2/2013
S&P 500 Option Overwriting Program -0.17 - - - 1.16 16.76 - 36.62
S&P 500 1.34 - - - 26.32 80.52 - 128.74
+/- S&P 500 -1.51 - - - -25.17 -63.76 - -92.13

Strategy Description

Investment Strategy

The Bayou City Capital Fund was started in 2000 to explore an option-selling strategy utilized with natural gas storage facilities. The Fund began with friends and family assets and originally, the Strategy was utilized over various asset classes, including natural gas,... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements Accredited Investors
Lock-up Period 0

Trading

Trading Frequency 1350 RT/YR/$M
Avg. Margin-to-Equity 25%
Targeted Worst DD
Worst Peak-to-Trough 29.62%
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 100.00%
1-30 Days 0%
Intraday 0%

Decision-Making

Discretionary 30.00%
Systematic 70.00%

Strategy

Fundamental
35.00%
Option-writing
65.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Investment Strategy

The Bayou City Capital Fund was started in 2000 to explore an option-selling strategy utilized with natural gas storage facilities. The Fund began with friends and family assets and originally, the Strategy was utilized over various asset classes, including natural gas, crude oil, and equity markets. Bayou City Capital began focusing solely on the S&P 500 for the Trading Strategy in 2004, which is based upon these premises: 1.) Markets can be Volatile 2.) Markets are Uncertain 3.) Sustained Predictability about Market Direction is Not Possible The Bayou City Capital Fund capitalizes on the premium market by Selling Options (receiving Premiums). Following the sell of an option, Bayou City’s profitability is determined by the extent, or amount, of the premium the Fund is able to retain. Premiums received can be eroded or eliminated due to market fluctuations. Therefore, Bayou City Capital employs strict hedging strategies in an attempt to mitigate this erosion. Over the last 10 years, the Fund has developed risk metrics and parameters to shape its option positions. A 3rd party, Liquid Holdings out of New York, provides real-time daily monitoring of the Fund's positions and ensures compliance with these proprietary risk limits.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
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Risk
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Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
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Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-35.38 16 - 9/1/2014 1/1/2016
-4.87 2 1 4/1/2013 6/1/2013
-3.62 1 1 3/1/2014 4/1/2014
-1.83 1 1 6/1/2014 7/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
42.93 9 7/1/2013 3/1/2014
22.61 15 7/1/2016 9/1/2017
12.81 2 5/1/2014 6/1/2014
9.26 1 2/1/2015 2/1/2015
8.75 3 9/1/2015 11/1/2015
7.91 1 11/1/2014 11/1/2014
7.55 2 8/1/2014 9/1/2014
7.15 4 2/1/2016 5/1/2016
6.81 2 6/1/2015 7/1/2015
6.51 3 2/1/2013 4/1/2013
0.01 1 4/1/2015 4/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-20.68 2 12/1/2014 1/1/2015
-15.98 1 10/1/2014 10/1/2014
-15.58 2 12/1/2015 1/1/2016
-15.15 1 8/1/2015 8/1/2015
-4.87 2 5/1/2013 6/1/2013
-3.62 1 4/1/2014 4/1/2014
-3.03 1 6/1/2016 6/1/2016
-1.83 1 7/1/2014 7/1/2014
-1.11 1 3/1/2015 3/1/2015
-0.17 1 10/1/2017 10/1/2017
-0.07 1 5/1/2015 5/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods57.0055.0052.0046.0040.0034.0022.00
Percent Profitable75.4474.5567.3147.8355.0050.0036.36
Average Period Return0.691.903.835.973.73-1.79-3.87
Average Gain2.866.0211.4425.2020.3113.075.93
Average Loss-5.98-10.17-11.83-11.66-16.53-16.66-9.47
Best Period9.2616.1128.7055.4062.9032.7410.15
Worst Period-15.98-19.74-22.65-29.03-34.61-29.72-18.08
Standard Deviation5.248.1112.9421.4724.0618.399.04
Gain Standard Deviation2.483.506.9213.9219.1611.002.69
Loss Standard Deviation5.915.016.696.859.1510.355.94
Sharpe Ratio (1%)0.120.200.260.230.09-0.21-0.76
Average Gain / Average Loss0.480.590.972.161.230.780.63
Profit / Loss Ratio1.471.731.991.981.500.780.36
Downside Deviation (10%)4.246.258.9912.9817.3320.6621.53
Downside Deviation (5%)4.125.797.9710.3513.4915.0010.97
Downside Deviation (0%)4.095.687.719.7212.5913.758.83
Sortino Ratio (10%)0.070.110.150.07-0.22-0.58-0.91
Sortino Ratio (5%)0.150.290.420.480.17-0.25-0.63
Sortino Ratio (0%)0.170.330.500.610.30-0.13-0.44

Top Performer Badges

Index Award Type Rank Performance Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.