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Market Neutral Option Writing

  • CTA Name : SCHWAB Capital Advisors, LLC
  • Program Name : Market Neutral Option Writing
  • Start Date : 2007-08-01
  • Trading Strategy
  • Systematic : 25%
  • Discretionary : 75%
  • Fundamental : Yes
  • Technical : Yes
  • Diversified Market Strategy : -
  • Sector Specific Strategy : Yes
  • Trade Duration
  • Long-Term : -
  • Mid-Term : Yes
  • Short-Term : -
  • Multi-Term : -
  • Markets Traded
  • Stock Index : Yes
  • Interest Rates : Yes
  • Currencies : Yes
  • Metals : -
  • Energy : -
  • Grains : -
  • Meats : -
  • Softs : -

SCHWAB Capital Advisors, LLC

Market Neutral Option Writing


Schwab Capital Advisors, LLC employs a market neutral option investment strategy seeking to achieve substantial capital appreciation selling options on the e-mini S&P 500 index futures contracts. SCA operates a unique trading program that suitable investors may find to be attractive as an alternative investment within a well diversified portfolio. The trading program provides investors the opportunity to potentially capitalize on the S&P 500 regardless of whether the stock market rises, falls or moves sideways. SCA’s trading approach can best be characterized by prudent money management, patience, discipline and a trading style that conservatively balances risks and rewards. SCA’s investment strategy focuses on the writing (selling) of S&P 500 options on futures contracts. We sell call and put options on trades initiated four to six weeks from expiration at far out-of-the-money distances to attempt to allow the options to expire worthless or buy back at a fraction of the original premium. Our fundamental, technical, and statistical analyses are employed to determine the parameters of the trades taking into account the most favorable risk/reward scenario. Our annual profit objective with this program is 24% – 48% or greater. The trading strategy seeks to be flexible enough to profit in rising markets as well as declining markets. The market can move up, down, or sideways within a specific range and still produce profits at, or as it nears, option expiration. Although the strategy primarily trades the e-mini S&P 500 Index, to a lesser extent we may also write options on the 30 year Treasury bond, currencies, or other commodities to capitalize on extreme market opportunities. Our minimum investment is intentionally low to allow a wide range of net worth investors an opportunity to invest in a managed futures program.

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