I wanted to note my vision and what I think we will need to achieve this. first the infrastructure.
1) I would like to be able to take a futures only strategy and layer a semi future ( long otm put, short otm call) with constant delta. ( this is an existing type of SmartEXO) this would be required only when an exposure in the futures is present. This concept is based on the observation that many alpha types have more productive swarms when applied to the futures as opposed to the futures plus the short call and long put.
2) the ability to generate a spectrum of similar EXO recipes ( for example ATM call spread 50 delta, otm call spread 25 delta, otm call spread 15 delta) then apply a optunity run to produce a commoditized alpha for each of the defined EXOs. The optunity runs would all be based on a defined objective function. ( this functionality already exist in current notebooks).
These auto generated alphas would then be available to the portfolio optimization notebook so EXOs could be processed into alphas and then shaped into minimum mean variance or risk parity portfolios.
3) the ability to make spreads of two related instruments when options do not exist on one of the component products. examples: construct a collar on hoe or rbe using CL options and rbe futures, same type of position for energy sector futures against Es options.
4) the ability to construct SmartEXOs which target delta and use different expiration in the same spread. These would be used to hedge futures positions or construct Collect type strategies or SmartEXOs. example here include call or put spreads where the longs and expressed in nearer months than shorts for bullish period and the reverse for bearish positions. I also have a series of notebooks outlining a series of premium collection strategies on the CL that could be turned risk limited with the addition of a long OTM call SmartEXO in a deeper month. https://10.0.1.2:8888/tree/strategies/For%20Consideration
With these tools in hand I plan to construct a presentation and use our TMQR website to pitch to fund companies.
The two products i have in mind are :
1) a line of risk limited, high conviction single product commodity exposures. Bullish crude oil as an example. These would be pitched to ETF providers. The construction would be 70% call spread EXOs plus 30% active bidirectional options strategies similar to the existing campaigns. This same notion could be extended to a bearish exposure by replacing the call spread with a put spread component. These could be pitch in CL, NG, ZS, ZC, ES, GC, ZN, CC etc.
2) a diversified, bi directional commodity fund that balanced long volatility and risk limited short volatility strategies to exploit price movements in global commodity markets. The fund would be targeting a $20-40 million initial funding with the goal of expressing a portfolio which utilizes both position sizing and risk parity weighting of the following exposures : energy, agriculture, equity index, interest rates, metals and fx.
The pitch would start with the live accounts that we have been incubating. We would prove the concept of how we can track an index we create successfully and then show the the steps we can follow to expand the products and improve risk management through position sizing and risk parity exposure allocation with more capital available.
I wanted to note my vision and what I think we will need to achieve this. first the infrastructure.
1) I would like to be able to take a futures only strategy and layer a semi future ( long otm put, short otm call) with constant delta. ( this is an existing type of SmartEXO) this would be required only when an exposure in the futures is present. This concept is based on the observation that many alpha types have more productive swarms when applied to the futures as opposed to the futures plus the short call and long put.
2) the ability to generate a spectrum of similar EXO recipes ( for example ATM call spread 50 delta, otm call spread 25 delta, otm call spread 15 delta) then apply a optunity run to produce a commoditized alpha for each of the defined EXOs. The optunity runs would all be based on a defined objective function. ( this functionality already exist in current notebooks). These auto generated alphas would then be available to the portfolio optimization notebook so EXOs could be processed into alphas and then shaped into minimum mean variance or risk parity portfolios.
3) the ability to make spreads of two related instruments when options do not exist on one of the component products. examples: construct a collar on hoe or rbe using CL options and rbe futures, same type of position for energy sector futures against Es options.
4) the ability to construct SmartEXOs which target delta and use different expiration in the same spread. These would be used to hedge futures positions or construct Collect type strategies or SmartEXOs. example here include call or put spreads where the longs and expressed in nearer months than shorts for bullish period and the reverse for bearish positions. I also have a series of notebooks outlining a series of premium collection strategies on the CL that could be turned risk limited with the addition of a long OTM call SmartEXO in a deeper month. https://10.0.1.2:8888/tree/strategies/For%20Consideration
With these tools in hand I plan to construct a presentation and use our TMQR website to pitch to fund companies.
The two products i have in mind are : 1) a line of risk limited, high conviction single product commodity exposures. Bullish crude oil as an example. These would be pitched to ETF providers. The construction would be 70% call spread EXOs plus 30% active bidirectional options strategies similar to the existing campaigns. This same notion could be extended to a bearish exposure by replacing the call spread with a put spread component. These could be pitch in CL, NG, ZS, ZC, ES, GC, ZN, CC etc.
2) a diversified, bi directional commodity fund that balanced long volatility and risk limited short volatility strategies to exploit price movements in global commodity markets. The fund would be targeting a $20-40 million initial funding with the goal of expressing a portfolio which utilizes both position sizing and risk parity weighting of the following exposures : energy, agriculture, equity index, interest rates, metals and fx.
The pitch would start with the live accounts that we have been incubating. We would prove the concept of how we can track an index we create successfully and then show the the steps we can follow to expand the products and improve risk management through position sizing and risk parity exposure allocation with more capital available.
any comments or guidance?