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White River Group
Stock Index Option Writing
Report Start Date: Jan-2019 - Report End Date: Mar-2024
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Program Description: The Stock Index Option Writing Strategy writes call and put options on index futures (primarily on the
S&P index but occasionally also on other indices). The strategy is designed to capture the decay of
option premiums. The program sells deep out of the money options after unusual Stock Market
movements. Option contracts are written at a sufficient distance, to allow in most cases, for the options to
expire worthless. Primarily uncovered or naked options are sold (although spreads are utilized at times).
The advisor may also take outright positions in the underlying future contract. The trading strategy is
mostly discretionary. Both fundamental and technical analysis is incorporated into the trading decision.
Program Start Date | Nov-2008 | |
Percent Discretionary | 100% | |
Percent Systematic | 0% | |
Minimum Investment | 20,000 | |
Management Fee | 2.00% | |
Incentive Fee | 20.00% | |
Margin | 60% | |
Round Turns per Million | 6,000 | |
Currency | US Dollar | |
NFA No: | #0378844 |
Performance Since January 2019
Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
---|---|---|---|---|---|---|---|---|---|---|---|---|
2019 | 4.37% | 1.52% | 1.40% | 1.44% | -1.53% | 2.05% | 1.52% | -3.29% | 2.42% | 0.53% | 2.78% | 0.43% |
2020 | 0.12% | -17.68% | -0.10% | 1.98% | 3.57% | -3.23% | 1.89% | 0.60% | -3.85% | 0.58% | 1.92% | 3.03% |
2021 | 0.44% | 3.35% | 4.21% | 1.64% | 2.34% | 2.03% | 1.39% | 1.65% | 1.46% | 1.62% | 0.90% | 2.37% |
2022 | -3.41% | -0.52% | 2.98% | -2.12% | 2.81% | -4.66% | 2.03% | 1.50% | 0.82% | 2.86% | 1.69% | 0.80% |
2023 | 1.44% | 0.91% | 0.07% | 1.44% | 0.70% | 0.97% | 1.14% | 1.14% | 0.75% | 1.43% | 1.30% | 0.90% |
2024 | 0.62% | 0.35% | 1.39% |
2019 | 2020 | 2021 | 2022 | 2023 | 2024 YTD | |
---|---|---|---|---|---|---|
ROR | 14.27% | -12.40% | 26.01% | 4.51% | 12.89% | 2.38% |
Max DD | -3.29% | -17.76% | 0.00% | -5.07% | 0.00% | 0.00% |