Investment Overview
Strategy Description
The Oxeye Hedged Income Option Strategy involves writing ladders of ‘strangles’ on the FTSE 100 Index, selling 3- month Put and Call options up to approximately 5% out-of-the-money with matched expirations. Four strangles will typically be sold each month so that 12 strangles are laddered out over three months, implying synthetic ‘gross leverage’ of 5x (on half FUM). The higher the market volatility, the higher the option premiums earned and the wider the break-even range within which the strategy can deliver positive returns. The strangles will normally be closed shortly before expiration and the strategy generates a positive return if the premium received exceeds the cost of closing out the positions.
