Investment Style
Oxeye strategies are designed to trade volatility using a combination of options contracts. All trading is carried out on exchange traded, fully margined, clearing house controlled, transparent and liquid instruments.
The strategy is based on the following concepts:
- Markets make most of their moves on a very small percentage of trading days and spend most of the time in a definable trading range.
- By successfully predicting that range and selling wasting assets (ie options) that straddle the range, profits should accrue as long as the range holds.
- Many investors use options as a form of insurance and write off the cost of this protection. This willingness to pay a premium for risk transfer provides another conceptual advantage to the strategy.
Oxeye currently operate two primary strategies:
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FTSE Options Premium Strategy (OPS)
- Strategy has evolved from FTSE Options Premium Strategy (OPS)
- Aims to produce a consistent monthly return of around 2% per month
- Primarily a short volatility strategy but more value driven than OPS and also, unlike OPS, protection is always in place to limit the effect of a sudden and dramatic fall in the FTSE
This is Oxeye's original strategy that has been traded for the past 12 years annualising at an average profit of 24% to year end 2008.
It is traded by Oxeye via discretionary managed accounts and may carry an unlimited level of liability for the customer.
The strategy adopts a mainly systematic approach and does not try to predict either the direction or volatility of the market. The options are usually sold at selected strike prices above the market for calls and below the market for puts. The options are sold for up to 3 month durations. A combination of Delta control and certain hedging techniques are used to try to manage these short options through to a profitable expiry.
FTSE Option Value Strategy (OVS)A number of refinements have been made to this strategy since its introduction in 2000 but no further changes have been made since the corrective action taken following the loss in January 2008. After exhaustive stress testing and back testing, we are confident that OVS now represents a robust strategy that will produce long term positive results in all market conditions.
This strategy is traded by Oxeye via discretionary managed accounts. It is also the strategy that is applied to the Oxeye Growth Funds.
Please view the Performance page for further details