Investment Overview
Strategy Description
The strategy sells out-of-the-money puts and calls on equities, an operation known as “selling strangles” or “strangle writing”. The options are sold at selected strike prices above the market for call options and below the market for put options. The options are sold for a maximum duration of 3 months. Whilst in the past futures have been used to delta hedge the portfolio Oxeye now focuses on the ability to buy back and scroll positions which are under pressure following market movement. For example, during a significant market drop puts that are under pressure may be bought back to reduce potential downside losses. This put will then be re-written once the market has stabilized with a lower strike.
Please contact Oxeye for more details.
