Investment Overview
Strategy Description
The strategy sells out-of-the-money put and call spreads on equities, an operation known as “selling strangles” or “strangle writing”. The strategy does not take a view on underlying market direction only that the market usually stays within a definable range during the lifetime of an option. 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 2 months. Oxeye also uses a combination of Delta control, certain hedging techniques and futures to try to manage the short options (which carry unlimited risk exposure to the seller) through to a profitable expiry.
