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System Performance Summary

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Sample Portfolio

Risk Disclosure



Option/Write Spread Program EC 1-5 OW


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Performance Dates … January 1, 1998 through March 31, 2008

Cumulative Net Profit (Per 50k trading Unit) ... 501,902 CHF (Swiss)
Excluding interest income, prior to incentive. No compounding or pyramiding of positions or reinvestment of profit, deducting 50.00 CHF per round-turn trade for dealer spreads and order execution slippage.

Marked to the market combined performance on daily basis (txt file), monthly or current.

Best year 1999 +144.75%
Worst year 1997 +24.72%
Average +94.87%
Largest drawdown -14.85%

Greatest Net Drawdown on a Series of Trades Marked to Market Daily (Per Unit ) … (-8,177 CHF)
Drawdown calculations based on trading one standardized contract per market, per trade recommendation, from optimal equity peak to lowest low, prior to recovery, including dealer spreads, order execution slippage and unrealized profit or loss. No representation can be made that future drawdowns will be less or equal to historical performance. Drawdowns in this or any program can be larger than those represented by historical performance.

Qualifying risk tolerance 15k CHF per 50k CHF trading unit maximum permissible drawdown prior to program suspension.

For program description click here.

Equity Curve

Option Write/Spread Program EC 1-5 OW
Performance September 1, 1997 - March 31, 2008
Jump to current results.
Period Ending Beginning Equity Additions Withdrawals Net Performance Ending Equity Rate of Return
Sep-97 50000 0 5,908 55908 11.82%
Oct-97 55908 0 0 (2,665) 53243 -4.77%
Nov-97 53243 0 0 2,872 56115 5.39%
Dec-97 56115 0 0 6,245 62360 11.13%
----------- ----------- -----------
12,360 24.72%
 
Jan-98 62360 0 (12,360) 247 50247 0.40%
Feb-98 50247 0 0 5,689 55936 11.32%
Mar-98 55936 0 0 3,795 59731 6.78%
Apr-98 59731 0 0 1,415 61146 2.37%
May-98 61146 0 0 5,048 66194 8.26%
Jun-98 66194 0 0 3,263 69457 4.93%
Jul-98 69457 0 0 3,459 72916 4.98%
Aug-98 72916 0 0 1,745 74661 2.39%
Sep-98 74661 0 0 (206) 74455 -0.28%
Oct-98 74455 0 0 (5,289) 69166 -7.10%
Nov-98 69166 0 0 (753) 68413 -1.09%
Dec-98 68413 0 0 (3,931) 64482 -5.75%
----------- ----------- ----------- -----------
14,482 28.96%
 
Jan-99 64482 0 (14,482) (1,333) 48667 -2.67%
Feb-99 48667 0 0 4,554 53221 9.36%
Mar-99 53221 0 0 6,579 59800 12.36%
Apr-99 59800 0 0 6,962 66762 11.64%
May-99 66762 0 0 4,853 71615 7.27%
Jun-99 71615 0 0 8,278 79893 11.56%
Jul-99 79893 0 0 8,988 88881 11.25%
Aug-99 88881 0 0 8,087 96968 9.10%
Sep-99 96968 0 0 8,157 105125 8.41%
Oct-99 105125 0 0 2,878 108003 2.74%
Nov-99 108003 0 0 5,569 113572 5.16%
Dec-99 113572 0 0 8,803 122375 7.75%
----------- ----------- -----------
72,375 144.75%
   
Jan-00 122375 0 (72,375) 6,972 56972 13.94%
Feb-00 56972 0 0 7,924 64896 13.91%
Mar-00 64896 0 0 3,774 68670 5.82%
Apr-00 68670 0 0 3,977 72647 5.79%
May-00 72647 0 0 (418) 72229 -0.58%
Jun-00 72229 0 0 1,768 73997 2.45%
Jul-00 73997 0 0 4,393 78390 5.94%
Aug-00 78390 0 0 1,278 79668 1.63%
Sep-00 79668 0 0 (1,925) 77743 -2.42%
Oct-00 77743 0 0 917 78660 1.18%
Nov-00 78660 0 0 3,035 81695 3.86%
Dec-00 81695 0 0 2,992 84687 3.66%
----------- ----------- -----------
34,687 69.37%
 
1-Jan 84687 0 (34,687) 2,509 52509 5.02%
1-Feb 52509 0 0 5,095 57604 9.70%
1-Mar 57604 0 0 7,353 64957 12.76%
1-Apr 64957 0 0 4,419 69376 6.80%
1-May 69376 0 0 4,781 74157 6.89%
1-Jun 74157 0 0 4,307 78464 5.81%
1-Jul 78464 0 0 4,742 83206 5.80%
1-Aug 83206 0 0 6,886 90092 8.28%
1-Sep 90092 0 0 (1,917) 88175 -2.13%
1-Oct 88175 0 0 5,024 93199 5.70%
1-Nov 93199 0 0 4,815 98014 5.17%
1-Dec 98014 0 0 2,817 100831 2.87%
----------- ----------- -----------
50,831 101.66%
 
2-Jan 100831 0 (50,831) 5,825 55825 11.65%
2-Feb 55825 0 0 5,858 61683 10.49%
2-Mar 61683 0 0 5,817 67500 9.43%
2-Apr 67500 0 0 7,870 75370 11.66%
2-May 75370 0 0 5,453 80823 -7.23%
2-Jun 80823 0 0 4,400 85223 5.44%
2-Jul 85223 0 0 3,710 88933 4.35%
2-Aug 88933 0 0 5,549 94482 6.24%
2-Sep 94482 0 0 3,553 98035 3.76%
2-Oct 98035 0 0 7,293 105328 7.44%
2-Nov 105328 0 0 6,794 112122 6.45%
2-Dec 112122 0 0 2,925 115047 2.61%
----------- ----------- -----------
65,047 130.09%
 
3-Jan 115047 0 (65,047) 6,897 56897 13.79%
3-Feb 56897 0 0 6,994 63891 12.29%
3-Mar 63891 0 0 5,078 68969 7.95%
3-Apr 68969 0 0 2,690 71659 3.90%
3-May 71659 0 0 4,100 75759 5.72%
3-Jun 75759 0 0 2,395 78154 3.16%
3-Jul 78154 0 0 2,395 80549 3.06%
3-Aug 80549 0 0 2,157 82706 2.68%
3-Sep 82706 0 0 1,322 84028 1.60%
3-Oct 84028 0 0 6,322 90350 7.52%
3-Nov 90350 0 0 (1,264) 89086 -1.40%
3-Dec 89086 0 0 5,238 94324 5.88%
----------- ----------- -----------
44,324 88.65%
 
4-Jan 94324 0 (44,324) 2,213 52213 4.43%
4-Feb 52213 0 0 5,442 57655 10.42%
4-Mar 57655 0 0 (123) 57532 -0.21%
4-Apr 57532 0 0 3,163 60695 5.50%
4-May 60695 0 0 3,276 63971 5.40%
4-Jun 63971 0 0 1,402 65373 2.19%
4-Jul 65373 0 0 4,220 69593 6.46%
4-Aug 69593 0 0 7,347 76940 10.56%
4-Sep 76940 0 0 4,979 81919 6.47%
4-Oct 81919 0 0 3,767 85686 4.60%
4-Nov 85686 0 0 5,962 91648 6.96%
4-Dec 91648 0 0 3,013 94661 3.29%
----------- ----------- -----------
44,661 89.32%
 
5-Jan 94661 0 (44,661) 7,934 57934 15.87%
5-Feb 57934 0 0 1,019 58953 1.76%
5-Mar 58953 0 0 6,595 65548 11.19%
5-Apr 65548 0 0 6,693 72241 10.21%
5-May 72241 0 0 7,198 79439 9.96%
5-Jun 79439 0 0 3,633 83072 4.57%
5-Jul 83072 0 0 5,675 88747 6.83%
5-Aug 88747 0 0 6,927 95674 7.81%
5-Sep 95674 0 0 6,137 101811 6.41%
5-Oct 101811 0 0 5,382 107193 5.29%
5-Nov 107193 0 0 7,151 114344 6.67%
5-Dec 114344 0 0 3,545 117889 3.10%
----------- ----------- -----------
67,889 135.78%
 
6-Jan 117889 (67,889) 4,210 54210 3.57%
6-Feb 54210 0 0 7,416 61626 13.68%
6-Mar 61626 0 0 6,376 68002 10.35%
6-Apr 68002 0 0 2,932 70934 4.31%
6-May 70934 0 0 2,252 73186 3.17%
6-Jun 73186 0 0 4,986 78172 6.81%
6-Jul 78172 0 0 5,546 83718 7.09%
6-Aug 83718 0 0 8,382 92100 10.01%
6-Sep 92100 0 0 4,842 96942 5.26%
6-Oct 96942 0 0 6,675 103617 6.89%
6-Nov 103617 0 0 5,610 109227 5.41%
6-Dec 109227 0 0 5,114 114341 4.68%
----------- ----------- -----------
64,341 128.68%
 
7-Jan 114341 0 (64,341) 6,269 56269 12.54%
7-Feb 56269 0 0 3,545 59814 6.30%
7-Mar 59814 0 0 1,937 61751 3.24%
7-Apr 61751 0 0 3,146 64897 5.09%
7-May 64897 0 0 6,043 70940 9.31%
7-Jun 70940 0 0 3,254 74194 4.59%
7-Jul 74194 0 0 5,434 79628 7.32%
7-Aug 79628 0 0 1,339 80967 1.68%
7-Sep 80967 0 0 3,316 84283 4.10%
7-Oct 84283 0 0 2,318 86601 2.75%
7-Nov 86601 0 0 (1,358) 85243 -1.57%
7-Dec 85243 0 0 1,379 86622 1.62%
----------- ----------- -----------
36,622 73.24%
 
8-Jan 86622 0 (36,622) (5,722) 44278 -6.61%
8-Feb 44278 0 0 3,016 47294 6.81%
8-Mar 47294 0 0 (2,764) 44530 -5.84%
----------- ----------- -----------
(5,470) -10.94%

Program Description

EUR/CHF 1-5 OW is a fully managed account. Recommended minimum per trading unit, 50K CHF or equivalent minimum opening balance for notionally funded accounts 25K CHF , risk tolerance 15K CHF per unit.

This program trades Euro-Swiss ( EUR/CHF ) options. The EUR/CHF cross is statistically one of the least volatile. For live quotes ( no password required ) click here to download a demo for live options quotes click here. For options basics click here published by Saxo Bank, one of several firms we clear through.

In a typical trade the program will sell 1 week at the money options ( amount 75K EUR/CHF ) and buy 5 week 200 point in the money options ( amount 112.5K EUR/CHF ) . One position is done for every day of the week Monday-Friday.

The objective is to capitalize on the accelerated daily depreciation of the one week options sold versus slower daily depreciation of the 5 week options purchased to hedge. In the example below we are collecting +23.6 pips per day on the one week options sold and paying out -3.7 pips per day on the 5 week options to hedge.

Upon expiration of the 7 March options delivered positions are immediately offset. We resell the same strike ( in the example above 15972 ) for expirations 3/14, 3/21, 3/27 and 4/4 collecting a total of 590 pips on 75K or +4,425 Swiss paying out 93 pips on 112,500 or +1046 Swiss for our hedge. If the market stays flat this position will generate 3,379 CHF over the 5 week period. Should the market move outside the 400 point hedge ( in the example above 15772-16172 ) all positions will be liquidated and a new position will be established at the current price level.

Below are examples of potential profit or loss relative to market movement.

unchanged                        
EXP DATE STRIKE CALL or PUT LONG or SHORT AMOUNT PRICE STRIKE In the $ Time Value Mkt. Price at Exp. 7-Mar option Value Profit or loss CHF + or -
4-Apr 15772 CALL LONG 112500 233 15772 200 -33 15972 229 -4 45
7-Mar 15972 CALL SHORT 75000 56 15972 0 56 15972 0 56 420
7-Mar 15972 PUT SHORT 75000 62 15972 0 62 15972 0 62 465
4-Apr 16172 PUT LONG 112500 260 16172 200 -60 15972 246 -14 -157
                        773
plus 25                        
EXP DATE STRIKE CALL or PUT LONG or SHORT AMOUNT PRICE STRIKE In the $ Time Value Mkt. Price at Exp. 7-Mar option Value Profit or loss CHF + or -
4-Apr 15772 CALL LONG 112500 233 15772 200 -33 15997 253 20 225