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Indices Trading Program

  • CTA Name : BC Capital Management
  • Program Name : Indices Trading Program
  • Start Date : 1999-03-01
  • Trading Strategy
  • Systematic : -
  • Discretionary : -
  • Fundamental : Yes
  • Technical : Yes
  • Diversified Market Strategy : -
  • Sector Specific Strategy : Yes
  • Trade Duration
  • Long-Term : -
  • Mid-Term : -
  • Short-Term : -
  • Multi-Term : -
  • Markets Traded
  • Stock Index : Yes
  • Interest Rates : -
  • Currencies : -
  • Metals : -
  • Energy : -
  • Grains : -
  • Meats : -
  • Softs : -

BC Capital Management

Indices Trading Program

There is no performance data for this program

Program Description: BC Capital Management uses a systematic approach to trading. It features a program of selling option spreads on stock index futures. For example, a "short put spread" is comprised of the sale of a put on the S&P 500 stock index futures contract and the purchase of a put on the same index futures contract but at a lower strike, or exercise price. The Advisor may also, from time to time, purchase options on stock index futures and buy or sell stock index futures. The Advisor is an option spread seller. This approach is designed to take advantage of the fact that most buyers of options and option spreads lose money. Because trading in options on futures is a zero sum system, any money lost by option and option spread buyers becomes a profit to option and option spread sellers. The Advisor also sells put option spreads on the S&P 500 stock index futures to take advantage of the long-term upward bias of the stock market. BC Capital Management's option spread program should provide an attractive vehicle for diversifying an investment portfolio, as the trading strategy is an excellent complement to other trading strategies. The returns from an option spread-selling strategy will tend not to be well correlated with most other stock market strategies. Option spread-selling can produce profits during a non-trending period when most other stock market strategies are producing a poor performance. The implementation of this program, including the timing of option spread sales, the selection of how many options, and the selection of strike prices and maturities depends on technical and fundamental considerations. The technical considerations include a variety of short, intermediate, and long-term technical market timing models. These models are based on: A variety of stock indexes including the: Dow Jones Industrial Average S&P 500 Value Line Arithmetic Average NASDAQ Composite Technical stock market indicators including: Daily advancing New York Stock Exchange (NYSE & NASDAQ) issues Daily declining (NYSE & NASDAQ) issues Number of 52 week (NYSE & NASDAQ) new highs Number of 52 week (NYSE & NASDAQ) new lows Weekly advancing (NYSE & NASDAQ) issues Weekly declining (NYSE & NASDAQ) issues The S&P 500 earnings and dividend yield Technical stock market indicators based on fundamental interest rate trends including the: 30 year US treasury bond AAA corporate bond yield US discount rate Stock index volatility indicators including: VIX Proprietary index volatilities Fundamental considerations include economic, political, and business forces that can influence the stock market, and the trend and volatility of the market. The Advisor will not employ a strategy known as "naked selling" or "writing" of options on stock index futures. The Advisor will maintain a "hedged" strategy at any time positions are committed to the market so that the maximum potential loss on the position (not including slippage and commissions) will be known at all times. BC Capital Management employs a multi-stage risk control strategy: First, the number of option spreads to be sold at any one time will be less than the futures exchange would permit under its margin rules. Second, because BC Capital Management is selling option spreads as opposed to naked options, the positions are hedged. Third, all option spreads are sold "out of the money", which means that the stock market must move against the option spread by the amount that it is "out of the money" before a loss will result at option expiration. Fourth, BC Capital Management employs a dynamic stop loss methodology whereby if the market moves against the option spread position by a specific amount over a specific period of time, the position will be liquidated in order to preserve trading capital. Fifth, whenever necessary, BC Capital Management has developed a "rollover" system whereby the current month spread is liquidated in favor of a longer-term spread. Again, this is very useful in the preservation of trading capital.

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