Systematic Surface Capture

Investment objective. Generate low-correlation income by harvesting structural richness across the S&P 500 volatility surface — both upside skew (overpriced "crash-up" calls) and the term structure (short-dated decay) — as an overlay.

Instruments / venue. S&P 500 (XSP) options (listed, cash-settled, European-style; not OTC), in two blocks.

Structure. (a) Short call strip: deep-OTM short calls capturing upside skew. (b) Put ratio (described in the engine as a "calendar"): a net-short put ratio — more nearer-dated puts sold than longer-dated puts bought — combining front-tenor decay with a longer-dated leg. This block is net-short puts, not a fully hedged calendar, and carries directional downside risk accordingly.

Expiry selection. Short calls short-dated; the put ratio pairs a nearer-dated front leg with a longer-dated back leg; positions exited as expiry approaches.

Strike selection. Short calls deep OTM; put ratio short legs nearer-the-money, long leg further OTM.

Position sizing. VaR engine, with a single stress-loss budget shared across both blocks (risk-parity); each block is then sized independently against that shared budget.

Rebalancing triggers. Calendar: on a periodic, rules-based schedule, with entry gated by the trend filter (new positions only while the S&P 500 is above its long-horizon moving average). Event-based: early exit as expiry approaches; a trend-filter breach trims the put exposure.

Greeks / execution. Per Common Framework.

Backtest methodology

(Sample period: 2023-03-08 – 2026-06-30; hypothetical)

• Average outperformance vs benchmark (S&P 500): + 0.13 % per month, + 0.39 % per quarter, + 1.26 % per year
• Average time in trade (holding duration): 44.7 days
• Average trade frequency: 2.11 per week, 9.2 per month