Global Sigma Group - BondVOL
Trading Strategy: Option Writer / U.S. Treasury Bond & Note Futures and Options / 4.7 Exempt / QEPs Only
Program Description: GSB primarily trades US Treasury Bond and Note futures markets. The program typically will sell options on US Treasury Bond or Note futures and sometimes will also hedge them with US Treasury Bond or Note futures. The trade decision process typically has three steps.
1. Since the markets are not entirely efficient, proprietary quantitative models will identify short-term market conditions based on historical data of price, volatility matrix, option chain and pattern matching techniques. The programs will typically sell puts at local bottom, sells calls at local top or sell strangles during range-bound markets. GSB may trade US Bond or Note futures and options for hedging and speculative purposes.
2. When trading options, the models will find out the best strikes to sell in order to get best risk/reward ratio.
3. The programs will look at current market bid/ask price and compare with historical scenarios to generate an option trade signal.
Generally speaking, the majority of the options traded will expire worthless. However, option selling is not necessarily a winning strategy since the small amount of losing trades by selling options may cost more than the entire premium combined from expired options traded. GSB is not a pure-volatility selling program. It is directional prediction programs combined with a volatility measure. The programs will typically trade options with one week to expiration but may also from time to time trade options with longer time to expiration. The program may also buy back options before expiration in order to reduce risk or wait for better opportunities. GSB continuously monitors the risk/reward ratio on both potential and established positions.
Since GSB usually sells options, a drop in volatility after a position is established is usually more favorable to the program (given all other things unchanged). However, this does not mean the program will lose money when volatility is rising or the market is trending. In certain scenarios, the program will benefit even more in a trending or volatile market when its direction prediction is correct. When the market is more volatile, the programs may adjust with the market conditions and use less leverage to reduce volatility risk.
Notes: The Annual Compound Rate of Return ("Annual CROR") represents the compounded rate of return or each year or portion thereof presented. It is computed by applying successively respective monthly rate of return for each month beginning with the first month of that period. The Worst Peak-to-Valley Drawdown ("Max DD") is defined as the greatest cumulative percentage decline in net asset value due to losses sustained by the trading program during any period in which the initial asset value is not equaled or exceeded by a subsequent asset value.
Qualified Eligible Investors Only. A Qualified Eligible Person must meet the following two requirements: 1) the investor must first be an accredited investor. The most common ways for this are to either have a net worth of $1,000,000 or more OR an annual income of $200,000 or more for the last two years OR, combined with a spouse, $300,000 per year for two years, 2) the investor must meet an additional portfolio requirement, which is having $2,000,000 in securities holdings OR $200,000 in margin on deposit with a Futures Commission Merchant OR a combination of the two (for example, $1,000,000 in securities and $100,000 in margin).
Exemptions: PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH THE ACCOUNTS OF QUALIFIED ELIGIBLE PERSONS, THIS BROCHURE OR ACCOUNT DOCUMENT IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE COMMISSION. THE COMMODITY FUTURES TRADING COMMISSION DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUACY OR ACCURACY OF THE COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS BROCHURE OR ACCOUNT DOCUMENT.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THERE IS AN UNLIMITED RISK OF LOSS IN SELLING OPTIONS. YOU SHOULD CAREFULLY CONSIDER WHETHER COMMODITY FUTURES AND OPTIONS IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. AN INVESTOR MUST READ AND UNDERSTAND THE MANAGER'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING.
You should carefully consider whether such trading is suitable for you in light of your financial condition. The high degree of leverage that is often obtainable in commodity futures and options can work against you as well as for you. The use of leverage can lead to large losses as well as gains. In some cases, managed commodity accounts are subject to substantial charges for management and advisory fees. It may be necessary for those accounts that are subject to these charges to make substantial trading profits to avoid depletion or exhaustion of their assets. The disclosure document contains a complete description of the principal risk factors and each fee to be charged to your account by the Commodity Trading Advisor ("CTA"). The regulations of the Commodity Futures Trading Commission ("CFTC") require that prospective clients of a CTA receive a disclosure document before they enter into an agreement whereby the CTA will direct or guide the client's commodity interest trading and that fees and certain risk factors be highlighted. eFloorTrade will provide you a copy of the disclosure document at no cost. You should review the CTA's disclosure document and study it carefully to determine whether such trading is appropriate for you in light of your financial condition. The CFTC has not passed upon the merits of participating in the trading programs described on this website nor on the adequacy or accuracy of the CTA's disclosure document. The information contained on this website has been prepared by eFloorTrade from sources deemed reliable, but eFloorTrade does not guarantee the adequacy, accuracy or completeness of any information. Neither eFloorTrade nor any of its respective affiliates, officers, directors, agents and employees make any warranty, express or implied, of any kind whatsoever, and none of these parties shall be liable for any losses, damages, or costs, relating to the adequacy, accuracy or completeness of any information on this report.
Testimonials appearing on may not be representative of other clients and is not a guarantee of future performance or success.