Trading

Overlay Portfolio

The overlay portfolio implements ideas and conclusion through derivatives. Resulting positions may be long, short, or delta neutral. Speculative positions are based on technical analysis of the respective markets. Stop/loss levels aim to limit losses for incorrect decisions.

The approach has a long-term focus. Technical analysis and fundamental investing are subject to uncertain outcomes. Subjective high-odd scenarios are therefore chosen for the implementation. These are likely to cancel mathematical noise and low odds outcomes over the course of a longer investment horizon.

The overlay portfolio is highly leveraged. Its margin requirement is almost always below 10% of investment capital. It is intended to be a complement to a fixed-income portfolio. Instruments and positions are shown for information purposes only. Past results do not project future results. An implementation is explicitly not recommended. The accounting currency is in US Dollar. Forex exposure is hedged at each EoM.

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2017 19% 22% -11% 9%
2018 12% 22% -10%  9%

16th May 2018

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close
GBPUSD 180618 1.24 Put -20%^ 1.07 06.11.17 Option
GBPUSD 210918 1.32 Put -25%^ 0.95 17.01.18 Option
Nasdaq Jun18 Future 33% 6592 24.04.18 SPX Put
SX5E Jun18 Future 33% 3394 17.04.18 11.05.18 3536
CL1 Future 10% 67.65 02.05.18 03.05.18 67.65
GCM18 10% 1309.6 02.05.18 1285
SPX 180518 2575 Put -66%* mkt opn. 03.05.18
DAX Jun18 Future 17% 13013.5 11.05.18 SPX Put
Nikkei Jun18 Future 16% 22718 11.05.18 SPX Put
Nifty May18 Future 8% 10802 11.05.18 10600
EURUSD -33% 1.199 14.05.18 16.05.18  1.18
SPX 150618 2735 Put -66%**

^ Delta at position opening

* 66% notional value of total assets opened at USD 15.00

** 66% notional value of total assets opened at USD 34.40

30th April 2018

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
GBPUSD 180618 1.24 Put -20% 1.07 06.11.17 Option  0.04
GBPUSD 210918 1.32 Put -25% 0.95 17.01.18 Option  0.93
ZN Jun18 Future 60% 120-10 01.03.18 12.04.18   120-145
FDAX Jun18 Future 33% 11905 23.03.18 10.04.18 12391
SPX Jun18 Future 17% 2638 26.03.18 02.04.18 2634
CL1 Future -15% 63.48 04.04.18 09.04.18 63.45
Nasdaq Jun18 Future 33% 6592* 24.04.18 6162  6613
CL1 Future -20% 64.76 10.04.18   11.04.18   66.52
SX5E Jun18 Future 33% 3394 17.04.18 3415 cash  3462
CL1 Future 15% 66.89 18.04.18  25.04.18  67.70
CL1 Future 15% 68.16 23.04.18  25.04.18   67.70

*increased position

31st March 2018

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
GBPUSD 180618 1.24 Put -20% 1.07 06.11.17 Option 0.05
GBPUSD 210918 1.32 Put -25% 0.95 17.01.18 Option 0.77
ZN Mar18 Future 60% 121% 05.02.18 01.03.18 120-285
ZN Jun18 Future 60% 120-10 01.03.18 2.96%ir 121-01
Kospi 200 Mar18 Future 17% 304.35 09.02.18 07.03.18 310
Kospi 200 Jun18 Future 17% 311 07.03.18 19.03.18 321
Nikkei Mar18 Future 16% 21430 09.02.18 02.03.18 21302
FDAX Mar18 Future 17% 12074 09.02.18 02.03.18 12000
EURUSD -33% 1.241 20.02.18 19.03.18 1.235
FDAX Mar18 Future 66% 12030 02.03.18 02.03.18 12000
FDAX Mar18 Future 66% 11911 02.03.18 05.03.18 11869
EURCHF -33% 1.171 08.03.18 15.03.18 1.171
FDAX Jun18 Future 16% 12191 08.03.18 19.03.18 12340
CAC 160318 Future 16% 5200 08.03.18 15.03.18 5270
CAC Apr 18 Future 16% 5249 15.03.18 19.03.18 5235
Nifty50 28318 Future 16% 10235 08.03.18 19.03.18 10140
Nasdaq Mar18 Future 16% 7020 09.03.18 15.03.18 7050
Nasdaq Jun18 Future 16% 7074.5 15.03.18 19.03.18 6950
SPX Mar 18 Future 16% 2758 09.03.18 15.03.18 2754
SPX Jun18 Future 16% 2758.5 15.03.18 19.03.18 2738.5
SPX Jun18 Future 33% 2677 22.03.18 22.03.18 2663
FDAX Jun18 Future 33% 11905 23.03.18 11680 12115.5
SPX Jun18 Future 17% 2638 23.03.18 23.03.18 2625
Nasdaq Jun18 Future 17% 6650 23.03.18 23.03.18 6620
SPX Jun18 Future 17% 2638 26.03.18 2585 2637.25

28th February 2018

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
GBPUSD 180618 1.24 Put -20% 1.07 06.11.17 Option 0.15
EURCHF -25% 1.1672 06.12.17 20.02.18 1.1515
GBPUSD 210918 1.32 Put -25% 0.95 17.01.18 Option 1.10
Nifty50 220218 Future 15% 10992 22.01.18 06.02.18 10342
SX5E 160318 Future 30% 3649 22.01.18 01.02.18 3587
ZN Mar18 Future 60% 121% 05.02.18 3%ir 120-210
FDAX Mar18 Future 16% 12290 06.02.18 08.02.18 12442
Nikkei Mar18 Future 16% 21706 06.02.18 08.02.18 21755
SPX Mar18 Future 16% 2618 06.02.18 08.02.18 2662
FDAX Mar18 Future 16% 12495 06.02.18 08.02.18 12442
Nikkei Mar18 Future 16% 21990 06.02.18 08.02.18 21755
SPX Mar18 Future 16% 2661 06.02.18 08.02.18 2662
Kospi 200 Mar18 Future 17% 304.35 09.02.18 303.5 312.95
Nikkei Mar18 Future 16% 21430 09.02.18 20950 22100
CAC 160318 Future 16% 5115 09.02.18 16.02.18 5266
FDAX Mar18 Future 17% 12074 09.02.18 12000 12432.5
SX5E Mar18 Future 33% 3386 14.02.18 16.02.18 3420
EURUSD -33% 1.241 20.02.18 1.2556 1.2193

31st January 2018

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
Nikkei Mar18 Future 15% 22150 06.12.17 10.01.18 23730
GBPUSD 180618 1.24 Put -20% 1.07 06.11.17 0.05
CL G18 Future 10% 57.81 22.11.17 10.01.18 63.45
Nifty50 250118 Future 15% 10548 27.12.17 22.01.18 10964
EURCHF -25% 1.1672 06.12.17 1.19 1.1559
Bovespa INDG18 15% 78280 02.01.18 11.01.18 79035
FDAX 160318 15% 13105 04.01.18 11.01.18 13263
CAC 160318 Future 15% 5372 04.01.18 11.01.18 5505
Kospi 200 KSH18 15% 331.85 10.01.18 11.01.18 327.35
EURUSD -25% 1.2127 12.01.18 15.01.18 1.2288
GBPUSD 210918 1.32 Put -25% 0.95 17.01.18 0.78
Nifty50 220218 Future 15% 10992 22.01.18 10500 11058
CAC 160318 Future 30% 5536 22.01.18 25.01.18 5477
SX5E 160318 Future 30% 3649 22.01.18 3587 3600
CLH18 Future 10% 64.86 24.01.18 30.01.18 64.90

31st December 2017

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
RSX 151217 20 Call 15% 2.30 13.11.17 06.12.17 1.70
Nikkei Dec17 Future 15% 20830 26.10.17 06.12.17 22155
Nikkei Mar18 Future 15% 22150 06.12.17 20830 22703
GBPUSD 180618 1.24 Put -20% 1.07 06.11.17 0.32
CL Jan18 Future 10% 57.77 22.11.17 54.50 60.09
Nifty50 281217 Future 15% 10081 06.12.17 27.12.17 10506
Nifty50 250118 Future 15% 10548 27.12.17 9722 10552.25
EURCHF -25% 1.1672 06.12.17 1.18 1.1683

30th November 2017

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
RSX 171117 20 Call 15% 1.86 26.10.17 13.11.17 2.25
RSX 151217 20 Call 15% 2.30 13.11.17 1.77
Nikkei Dec17 Future 15% 20830 26.10.17 20830 22620
EUR/USD -15% 1.161 30.10.17 14.11.17 1.1775
CL Dec17 Future -15% 56 06.11.17 09.11.17 56.73
GBPUSD 180618 1.24 Put -20% 1.07 06.11.17 0.48
Dax Dec17 Future 15% 13073 17.11.17 17.11.17 13022
CL Jan18 Future 10% 57.77 22.11.17 54.50 57.4

31st October 2017

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
Nifty50 261017 Future 15% 9932 04.10.17 17.10.17 10235
Kospi200 Dec12 Future 15% 307.5 01.09.17 18.10.17 329.2
RSX 201017 21 Call 10% 1.37 04.10.17 17.10.17 1.31
CHF Dec17 Future -25% 1.023 06.10.17 09.10.17 1.0269
CL Nov17 Future -10% 50.62 13.10.17 14.10.17 51.25
Nifty50 301117 Future 15% 10272 17.10.17 30.10.17 10396
Dax Dec17 Future 30% 13099 26.10.17 30.10.17 13208
RSX 171117 20 Call 15% 1.86 26.10.17 1.85
Nikkei Dec17 Future 15% 20830 26.10.17 20750 21950
Kospi200 Dec12 Future 10% 327.2 27.10.17 30.10.17 330.45
EUR/USD -15% 1.161 30.10.17 1.1775 1.1646

30th September 2017

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
Nifty50 290917 Future 15% 9952.0 01.09.17 22.09.17 9952.0
Kospi200 Dec12 Future 15% 307.5 01.09.17 302.0 317.65
EWZ 201017 37 Call 15% 4.25 01.09.17 21.09.17 6.00
SX5E Dec12 Future 45% 3495 12.09.17 29.09.17 3557