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DELTA NUMERIC TRADING
Option Advisor Program |
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- CTA Name : Delta Numeric Trading
- Program Name : Option Advisor Program
- Start Date : 2005-03-01
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- Trading Strategy
- Systematic : 50%
- Discretionary : 50%
- Fundamental : -
- Technical : Yes
- Diversified Market Strategy : Yes
- Sector Specific Strategy : -
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- Trade Duration
- Long-Term : -
- Mid-Term : Yes
- Short-Term : Yes
- Multi-Term : -
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- Markets Traded
- Stock Index : -
- Interest Rates : Yes
- Currencies : -
- Metals : -
- Energy : -
- Grains : -
- Meats : -
- Softs : -
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Delta Numeric Trading
Option Advisor Program
There is no performance data for this program
Delta Numeric trades option premium along the yield curve. This strategy involves trading option spreads on both sides of the interest rate market to leverage spread inefficiencies between the Two-, Five-, and Ten- year note options and to capitalize on options time decay and pricing anomalies that occur across the curve. Factors that determine the number and type of options and futures in the portfolio include market volatility, the rate at which the options decline in value (time decay) and the directional movement of a market. The trading principal sometimes utilizes futures to adjust the delta of the position and to directionally position the portfolio.
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