Summa Capital Management, LLC

Options Spread Trading Program

Year-to-Date
N/A
Minimum Investment
$ 25,000
Management Fee 2.00%
Performance Fee 20.00%
Annualized Volatility 12.82%
Sharpe (RFR=1%) 1.60
CAROR 22.81%
Assets $2,952,000
Worst Drawdown -9.02
S&P Correlation 0.03

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.