Performance

Options Quant Trading Program is 100% systematic and focuses on collecting premium by trading put ratio spreads on options on S&P 500 e-mini (ES) futures. The strategy is net short puts most of the time, although it may buy puts when necessary. The objective is to take advantage of time decay and retain all the premium collected as profit. The strategy creates a put ratio spread position and dynamically adjusts options positions based on the underlying index price movement.

Options Quant Trading Program uses statistical methodology and not classical fundamental or technical analysis. There are no classical indicators which attempt to forecast market movements, no pattern recognition techniques, no fundamental analysis and no trading rules based on trader's experience. Since the results of these strategies are weakly correlated with other stock or commodity trading strategies, they can be an excellent complement to them.

Options Quant Trading Program buys 5 and sells 10 ES options (5 put ratio spreads) in a $25,000 account. In determining the types of options to sell, the system considers criteria such as the current price and volatility range, probability to stay inside a range, the amount of time to expiration, current index volatility, and volatility plot skewness and smirkness. They give specific trading signals for the strike prices and expiration month of the options, which will generally expire in 35 days or less. The resulting positions are then implemented in the market. The trading system is always in the market, but portfolio can be adjusted at any time by buying to cover some short options positions. Leverage is applied in line with client's preferred risk tolerance level. Read more on the trading strategies in the "Trading System" section of our web site. You can read here about the trading system developer.

Below are given backtesting results of the currently traded Options Quant Trading Program (live trading started December 2008). These results are extrapolation into the past of the currently traded programs (i.e. how would the programs have performed if live traded in the past). Commissions and trading signals fees are not deducted. Please read the hypothetical performance disclaimer first. Hypothetical performance will be no longer tracked after December 2008 and the actual performance report will be updated only.

The test results below of our latest trading program are based on five (5) put ratio spreads on S&P 500 e-mini futures (ES) hold in account of size equal to 40% of the nominal ES e-mini futures contract size (assuming ES=1000, account size = 1000 X 50 X 40% = $20,000).

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Total

VAMI

1990

(1.39%)

1.32%

0.74%

1.65%

0.96%

0.77%

(0.17%)

3.28%

1.44%

1.17%

1.38%

0.56%

12.29%

1,122.9

1991

1.56%

0.91%

0.49%

0.70%

1.06%

0.62%

0.93%

1.02%

0.90%

0.82%

0.91%

11.41%

1,251.0

1992

0.81%

1.15%

0.55%

1.01%

0.86%

1.08%

0.49%

0.90%

0.45%

0.85%

0.83%

0.59%

9.99%

1,376.0

1993

0.34%

0.78%

0.80%

0.34%

0.72%

0.63%

0.39%

0.46%

0.75%

0.35%

0.67%

0.51%

6.95%

1,471.6

1994

0.52%

0.46%

(1.85%)

0.60%

0.69%

0.00%

0.32%

0.51%

0.11%

0.88%

0.47%

0.82%

3.54%

1,523,7

1995

0.63%

0.49%

0.48%

0.50%

0.44%

0.58%

0.43%

0.70%

0.11%

0.67%

0.69%

0.27%

6.16%

1,617.6

1996

0.39%

0.91%

0.65%

0.76%

0.69%

1.13%

0.67%

0.44%

0.99%

0.71%

0.57%

0.64%

8.88%

1,761.2

1997

1.33%

0.99%

1.14%

1.24%

1.27%

0.91%

1.49%

1.03%

1.33%

(2.11%)

1.05%

1.57%

11.78%

1,968.7

1998

0.99%

1.10%

0.48%

1.66%

0.59%

1.62%

(3.10%)

(4.6%)

0.70%

2.44%

1.14%

1.87%

4.71%

2,061.4

1999

1.08%

1.51%

1.78%

1.09%

0.70%

1.89%

(2.06%)

(0.37%)

1.34%

1.23%

0.72%

1.35%

10.70%

2,282.0

2000

(0.60%)

1.30%

0.94%

1.00%

1.53%

1.16%

0.47%

1.54%

0.05%

(0.73%)

0.95%

0.39%

8.27%

2,470.7

2001

2.66%

(0.31%)

1.86%

1.73%

1.36%

1.45%

1.17%

1.00%

10.30%

1.72%

1.31%

1.26%

28.25%

3,168.7

2002

1.64%

1.32%

1.04%

(0.75%)

(1.32%)

0.68%

15.75%

0.03%

2.99%

1.96%

1.05%

1.39%

27.80%

4,049.6

2003

0.28%

1.23%

1.91%

1.59%

0.94%

1.13%

1.10%

0.96%

0.27%

1.61%

1.07%

0.95%

13.84%

4,610.0

2004

0.63%

1.25%

1.15%

0.65%

0.98%

0.91%

0.66%

0.87%

0.91%

0.58%

0.77%

0.55%

10.38%

5,088.6

2005

0.96%

0.46%

0.66%

1.09%

0.76%

0.64%

0.21%

0.67%

0.57%

0.69%

0.52%

0.46%

7.95%

5,493.1

2006

0.72%

0.59%

0.64%

0.40%

1.05%

1.01%

0.68%

0.28%

0.45%

0.48%

0.20%

7.76%

5,919.4

2007

0.38%

(0.18%)

0.84%

0.37%

0.70%

0.31%

(1.89%)

1.43%

1.53%

1.11%

1.32%

0.83%

4.65%

6,328.4

2008

1.83%

1.01%

1.83%

1.47%

0.23%

0.04%

1.05%

0.73%

0.64%

5.45%

15.11%

7,284.7

Monthly rates of return (ROR) have been calculated according to CFTC Regulation 4.25(a)(7)(i)(F), by dividing the monthly net performance by the previous month account equity. To see the calculations, open this Excel table and click on the Ratio Spreads - Hypo. tab. The VAMI (Value Added Monthly Index) charts above shows the hypothetical growth of $1,000, by compounding yearly. At www.fx-quant.com/formulas.htm you can see ROR formulas and read more on reinvesting.

The above tables and charts document Options Quant's historical hypothetical performance based on back testing. Bid/ask spread equal to 10% of option's price is factored into calculations. Please note that performance results reported are before commissions and trading signals fees, which decrease returns, depending on the subscription plan. You can see actual trading results on the Performance page.

The nominal account size on January 1 each year should be close to 1/3 of the ES e-mini futures nominal contract size (currently $50 X ES e-mini price / 3 = $25,000). It is not recommended to trade the Options Quant Trading Program in smaller accounts. Up to 60% of the trading account can be invested in 3 month Treasury Bills, which are acceptable as a collateral (initial margin) for the short options positions. Interest from T-Bills adds to profit, but it is not taken into account in the hypothetical performance reports above.

You can further diversify your trading by trading the Options Quant trading program in combination with the FX Quant 11 trading program - see this hypothetical composite performance record.

Hypothetical Performance Disclaimer:

HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN INHERENT LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT ACTUALLY BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVERCOMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PLATFORMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN.

Risk Disclaimer

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THE PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY BE LOWER OR HIGHER. TRADING IN FOREIGN EXCHANGE IS SPECULATIVE AND MAY INVOLVE THE LOSS OF PRINCIPAL; THEREFORE, FUNDS PLACED UNDER MANAGEMENT SHOULD BE RISK CAPITAL FUNDS THAT IF LOST WILL NOT SIGNIFICANTLY AFFECT ONE'S PERSONAL WELL BEING. THIS IS NOT A SOLICITATION TO INVEST AND YOU SHOULD CAREFULLY CONSIDER YOUR FINANCIAL SITUATION PRIOR TO MAKING ANY INVESTMENT OR ENTERING INTO ANY TRANSACTION. PLEASE SEE THE COMPLETE RISK DISCLOSURE.