Elite Wealth Management

Dynamic Option Strategy



  • Strategy Options
Dynamic Option Strategy targets capital appreciation along with income generation by strategically selling options on the broad market index and large cap stocks.  We seek to generate positive portfolio cash flow through careful risk management in all market environments.
The goal is to generate consistent cash flow by selling options regardless of market volatility.  We conduct rigorous macro, fundamental and technical analyses in order to gauge optimal strike price selection for the options contracts sold in the portfolio.  Since all options have an expiration, new exposure is staggered each week to better mitigate against market volatility.
We use a series of screeners to scan the universe of options chains and run our analysis of the theoretical probabilities across the market to test the various options strike prices being targeted.  This is complemented by further fundamental analysis utilizing a wide range of sources, including company filings, analyst reports, financial publications and data aggregators.
The portfolio typically has between 10 – 30 total positions with greater than 90% exposure focused in options on the broad market and less than 10% in options on individual stocks.
Positions are opened through the selling of options contracts.  All positions are either closed by: 1) strategically rolling a position by buying back contracts and selling new contracts at different expirations/strike price levels during a volatile market, or 2) expiration of the contracts.  The strategy seeks to maintain a consistent buffer between the underlying index and the options strike price and will take action to maintain the buffer through a moving market or if the underlying starts testing the respective options position.
None.

Performance

1.1%

Month to date

MTD

1.1%

Quarter to date

QTD

1.1%

Year to date

YTD

Quarterly vs S&P500

Quarterly vs S&P500

Risk score

  • 6.0%

    Best quarter

  • 2.6%

    Worst quarter

    • 1.25% fee
    • $130,000 min
  • Required: Portfolio margin account
  • Required: Options trading permission

Performance detail

Performance Portfolio inception July 23, 2015

as of January 17, 2017 Manager (net of fees ) U.S. Aggregate Bond ETF S&P 500
Month-to-date 1.1% 0.7% 1.3%
Quarter-to-date 1.1% 0.7% 1.3%
Last 365 Days 25.6% -0.1% 20.6%
Since inception (Annualized) 17.8% -0.2% 5.2%
2017 (YTD) 1.1% 0.7% 1.3%
2016 19.2% 0.0% 9.5%

Risk metrics Last 365 days

as of January 17, 2017 Manager (net of fees ) U.S. Aggregate Bond ETF S&P 500
Volatility 8.1% 3.3% 12.2%
Sharpe Ratio 3.10 -0.20 1.65
Sortino Ratio 3.64 -0.28 2.29
Maximum Drawdown -3.1% -5.4% -5.7%
Value-at-risk (95%, 1 week) -1.9% -0.8% -2.8%
U.S. Aggregate Bond ETF vs. S&P 500
Information Ratio 2.86 0.54
Alpha 23.1% 14.6%
Beta -0.20 0.44
R-Squared 0.01 0.44

Exposure

-0.7%
  • Index Option

Holdings are only visible to invested clients.

If you'd like to discuss this portfolio, contact client relations at 1.866.825.3005.

Portfolio commentary

  1. Profile Picture Why we’re still market bears May 24, 2016

    The earnings recession continues to weigh on stocks

  2. Profile Picture Why our 2016 outlook still remains bearish March 23, 2016
  3. Profile Picture China, oil and earnings = stock correction January 13, 2016
  4. Profile Picture Dark clouds hover over the stock market December 10, 2015
  5. Profile Picture Behind Janet Yellen’s slow walk on rate hikes November 11, 2015
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Transactions are only visible to invested clients.

If you'd like to discuss this portfolio,
contact client relations at 1.866.825.3005.

Important Information

  1. Past performance is no guarantee of future results.
  2. Performance of the Portfolio Manager's account is calculated by Covestor on a daily time-weighted basis, including cash, dividends and earnings distributions and reflects the deduction of broker commissions. Manager returns include trades and positions that fail Covestor's trading rules, as a result, actual client returns will differ. Covestor advisory fees are simulated and applied retroactively to present the portfolio return "net-of-fees".
  3. Average client returns are calculated by Covestor and are composed of the asset-weighted daily average returns of all active client investments (some of which may contain investment restrictions) to the underlying portfolio. These daily average returns are then linked together for the timeframe presented. These returns include cash, dividends, and earnings distributions, and reflect the deduction of Covestor advisory fees, brokerage and other commissions and expenses actually paid by clients.
  4. All graph data is as of the end of day for the referenced period, unless otherwise specified. The investment minimum is the minimum investment required to follow a particular portfolio. The minimum amount is determined by Covestor, based on the characteristics of the underlying portfolio. It should not be considered as specific investment advice for your investment situation.
  5. The performance charts are provided for informational purposes only, and should not be used as the basis for making an investment decision. We rely on mathematical formulas, computer programs, and pricing information from third-party vendors to provide these returns. Neither Covestor nor any of its data or content providers shall be liable for any errors in this information or any actions taken by you in reliance upon this information.
  6. Benchmark returns displayed have been calculated by Covestor using daily benchmark prices and do not include dividend income. More information here. For certain portfolios Covestor uses an index as a benchmark, while for others it uses an investable exchange traded fund (ETF) as a benchmark. Index returns do not reflect the deduction of any management fees, transaction costs or expenses. Individuals cannot invest directly in an index. Investable ETF returns reflect the deduction of (i.e., are net of) management fees, transaction costs and expenses.
  7. Leverage indicates the level of margin utilized and is calculated by dividing gross exposure by portfolio net liquidation value.
  8. All Portfolio Manager information including personal data, profiles, strategies, monthly investment reports, and historical results outside of Covestor has been provided by the Portfolio Manager. Covestor makes no representation or warranty of its accuracy, completeness or relevance and it does not represent the opinions of Covestor. Transaction history of Portfolio Managers is available upon request. Portfolio classifications are provided by Covestor, and are intended to serve as a general guide.
  9. Not all transactions listed will appear in accounts due to Covestor's trading rules and individual client constraints. Eligibility of these securities is monitored periodically, and may change over time. Actual client investment holdings may vary.
  10. This portfolio contains options. Options trading involves a high degree of risk, is highly speculative, and is not suitable for all investors. You should only select a portfolio with options trading if you are comfortable with the level of risk involved in trading options.
  11. This portfolio uses short selling. Short selling is more complex than simply owning securities, involves a high degree of risk, is highly speculative, and is not suitable for all investors. The risk of loss associated with short selling is virtually unlimited. Short selling may also involve additional expenses and risks, including hard-to-borrow stock charges and buy-in risk. You should only select a portfolio using short selling if you are comfortable with the level of risk involved in short selling.
  12. This portfolio uses borrowed funds or leverage to fund investments. Leverage involves a high degree of risk, is highly speculative, and is not suitable for all investors. Leverage increases both the amount you may lose and the amount you may make in a portfolio, leading to higher returns in the case of favorable market movements but also larger losses under adverse market conditions. You may also incur additional expenses associated with borrowing funds. You should only select a portfolio using leverage if you are comfortable with the level of risk involved in using leverage.