It was great to talk with EQ Derivative’s Daniel O’Leary about how our pension fund clients are using options. Here is the link to the interview (requires subscription): Pensions Looking At Call Selling On Single Stock Exposures
ORATS has seen an uptick in backtesting call selling overlays for large institutions and pensions.
The difficulty is to help them create strategies that work in a rising stock market. Typical buywrite strategies do not perform well when the market is rising at 9% a year.
Take the BXM, the CBOE’s S&P500 buy-write index that sells calls on 30 day, 50 delta options. This index has under-performed the S&P500 returns by 44% since 2007 or 4.4% per year. The BXMD is the CBOE’s S&P500 buy-write index that sells more out-of-the-money calls than the BXM, on 30 day, 30 delta options. This index has under-performed the S&P500 returns by 13% since 2007 or 1.3% per year, better.
These indexes sell calls each month based on the their index mandates.
ORATS is able to bring to call selling strategies a more nuanced approach. Utilizing a deep historical database of critical options information, ORATS uses its years of experience to work with clients to determine the best times for various types of call selling based on market realities.
The result of ORATS strategies is returns much better than the BXM and BXMD benchmarks.
To find out more about our services, please contact us here with a description of your investment objectives. https://orats.com/contact