Common strategy specification

Instruments and venue

All strategies trade exchange-listed, cash-settled, European-style index options on Cboe: Mini-SPX (XSP) options, which reference the S&P 500 at one-tenth of the standard SPX notional, and VIX (Cboe Volatility Index) options. No over-the-counter instruments are used. Strategies 1–3 are operated as overlays on a core long S&P 500 position; Strategy 4 is standalone.

Evaluation cadence and data

The book is evaluated once per trading day from market data. Signals, sizing, entries, and exits are determined on that daily cycle (Strategy 4 additionally settles intraday — see below).

Execution assumptions

Trades are modelled at prevailing market quotes with transaction costs and fees included, using a deliberately conservative convention (sales at the bid, purchases at the ask). The model evaluates once daily; live runs are struck around the market open. It assumes normally functioning liquid-listed markets. Because clients execute independently, their fills, timing, and costs will differ from the model and may not be achievable in stressed or illiquid conditions. Individual trade failures are skipped rather than forced.

Position sizing — VaR engine (Strategies 1–3)

Sizes are risk-budgeted, not fixed. Each prospective structure is sized so that its modelled loss under a forward-looking adverse scenario equals a pre-set stress-loss budget (a small, fixed fraction of NAV). The per-unit stress loss is the worse of two historical-simulation Value-at-Risk scenarios — (i) S&P 500 down with VIX up, and (ii) S&P 500 up with VIX down — estimated at roughly 99% confidence over a 1-day horizon on a multi-year (~3-year) lookback, and applied to each leg through its delta, gamma, and vega. Sizing is on a net-risk basis: long/hedge legs are credited against short-risk legs. The result is then reduced as VIX rises and clamped between a floor of one unit and a hard, NAV-scaled cap, so exposure scales up as NAV compounds and down as risk rises, always within fixed limits. If the VaR input is unavailable, the engine falls back to conservative flat shock assumptions so the book is never sized on missing data.

Position sizing — Strategy 4

Does not use the VaR engine. It trades a fixed number of straddles proportional to NAV, holding nominal risk roughly constant as the book compounds.

Greeks

Portfolio Greeks (beta-weighted delta and gamma, time-weighted vega, theta, and theta- and delta-to-NAV ratios) are computed and reported daily for monitoring. They are not run to fixed targets or tolerance bands. The binding pre-trade risk control is the VaR stress-loss budget (Strategies 1–3) or the fixed NAV-proportional size (Strategy 4); Greeks are an oversight lens, not a control input.