White River Group

Diversified Option Writing Strategy

Minimum Investment
Management Fee 2.00%
Performance Fee 20.00%
Annualized Volatility 23.19%
Sharpe (RFR=1%) 0.15
CAROR 1.20%
Assets 527,306
Worst Drawdown -67.88
S&P Correlation 0.17


This Program engages primarily on the "selling" or "writing" of options (puts and calls) on futures contracts in a diversified market portfolio. Currently, the targeted markets are: Crude Oil, Corn, Treasury Bonds, Euro Currencies and Gold. However in the future, WhiteRiverGroup (WRG) may also trade a broader portfolio of commodity markets. On some occasions, the Diversified Option Writing Strategy program may also trade commodity futures outright. Many times the futures position will be initiated through the assignment or delivery of the underlying commodity futures of an option. For instance, if WhiteRiverGroup thinks that Gold futures prices are overbought and will decrease in value, WRG may choose to sell a call option on the gold futures contract with a strike price relatively close to the current gold futures price. If the gold option expires in-the-money, the underlying futures contract will be delivered and a short futures position will be held by the WRG client.