Summa Capital Management, LLC : Options Spread Trading Program

archived programs
Year-to-Date
N / A
Sep Performance
-0.31%
Min Investment
$ 25k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
12.82%
Sharpe (RFR=1%)
1.60
CAROR
22.81%
Assets
$ 3.0M
Worst DD
-9.02
S&P Correlation
0.03

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
6/2006
Options Spread Trading Program -0.31 - - - - - - 61.52
S&P 500 -9.08 - - - - - - 162.03
+/- S&P 500 8.77 - - - - - - -100.51

Strategy Description

Summary

-The OPTIONS SPREAD TRADING PROGAM (OSTP) employs an option spread selling (premium collection) strategy. Using both vertical and diagonal (time) structures for options spreads, OSTP attempts to capitalize on the tendency for the S&P 500 futures (the only underlying market the program... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 25k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $10.00
Available to US Investors Yes

Subscriptions

High Water Mark No
Subscription Frequency
Redemption Frequency
Investor Requirements
Lock-up Period 0

Trading

Trading Frequency 4300 RT/YR/$M
Avg. Margin-to-Equity 60%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Summary

-The OPTIONS SPREAD TRADING PROGAM (OSTP) employs an option spread selling (premium collection) strategy. Using both vertical and diagonal (time) structures for options spreads, OSTP attempts to capitalize on the tendency for the S&P 500 futures (the only underlying market the program trades) to spend a considerable amount of time in definable trading ranges while making significant price moves periodically. Vertical and diagonal option spreads are combined with proprietary position scaling and defensive position adjustment mechanisms to enhance the probability of profit, maximize absolute returns, and maintain minimum equity drawdowns.  A key feature of the program involves time spreading for potential delta and vega inversions. These inversions can produce above average returns and provide a larger degree of risk control. Furthermore, due to the potential for put time spreads to experience delta and vega switching (inversions) during monthly writing cycles, OSTP can provide a significant hedge when equity markets turn bearish. The OSTP has a trading history of over 5 years, with the CTA version reflecting the most recent years of the program's history.  

   

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
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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
-9.02 1 1 12/1/2007 1/1/2008
-3.29 1 1 1/1/2007 2/1/2007
-1.15 1 1 3/1/2007 4/1/2007
-0.68 1 2 6/1/2006 7/1/2006
-0.31 1 - 8/1/2008 9/1/2008
-0.25 1 1 10/1/2006 11/1/2006
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Consecutive Gains

Run-up Length (Mos.) Start End
32.49 7 2/1/2008 8/1/2008
31.89 8 5/1/2007 12/1/2007
4.89 1 3/1/2007 3/1/2007
1.38 3 8/1/2006 10/1/2006
0.78 2 12/1/2006 1/1/2007
0.41 1 6/1/2006 6/1/2006
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.02 1 1/1/2008 1/1/2008
-3.29 1 2/1/2007 2/1/2007
-1.15 1 4/1/2007 4/1/2007
-0.68 1 7/1/2006 7/1/2006
-0.31 1 9/1/2008 9/1/2008
-0.25 1 11/1/2006 11/1/2006
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods28.0026.0023.0017.0011.00
Percent Profitable78.5792.3195.65100.00100.00
Average Period Return1.795.7712.0528.0643.03
Average Gain2.956.4712.6828.0643.03
Average Loss-2.45-2.70-1.89
Best Period11.4416.5829.3546.4964.84
Worst Period-9.02-2.86-1.893.6122.62
Standard Deviation3.705.929.6413.6312.52
Gain Standard Deviation2.885.609.3713.6312.52
Loss Standard Deviation3.410.23
Sharpe Ratio (1%)0.460.931.201.993.32
Average Gain / Average Loss1.202.406.70
Profit / Loss Ratio4.4128.80147.46
Downside Deviation (10%)1.961.151.080.34
Downside Deviation (5%)1.860.820.50
Downside Deviation (0%)1.830.750.39
Sortino Ratio (10%)0.713.938.9168.42
Sortino Ratio (5%)0.926.7423.17
Sortino Ratio (0%)0.987.7030.54

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.