Overlay Portfolio

The overlay model portfolio implements cyclically-driven ideas with derivatives. Its positions may be long, short, or delta neutral.

Margin requirements are almost always below 10% of investment capital. The overlay model portfolio is portable to other portfolios. Institutional clients receive e-mails regarding changes immediately. 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. All information is based on unaudited e-mail signals excluding fees.

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2017 19% 22% -11% 9%
2018 12% 22% -10% 9% 33% 8% 10% 30% -6% -3% 13% 20%
2019 -37% -28% -19% -37% 50% -34% 24% 33% -49% -21%

The overlay had a negative (-46) correlation with the S&P 500 TR index for the past couple of years. Some typical overlay combinations are displayed on the example page.

Recent History / Overlay Model Portfolio (EoM)

July 2019

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
CHF/CAD 30% 1.3307 29.11.18 1.2945 12.07.19 1.3225
SIc1 15% 15.29 20.06.19 15.3 16.19
PLc1 15% 814.47 20.06.19 815 856
GBPUSD Sep19Put1.23 -23% 0.54 20.06.19 Option 2.13
USD/JPY -20% 107.7 20.06.19 111.45 108.71
CHF/CAD 15% 1.3225 12.07.19 1.2945 1.3265
CHF/NZD 15% 1.5206 12.07.19 1.475 1.534
NDX Sep19 -20% 7946 12.07.19 26.07.19 8025
SPX Sep19 -20% 3009 12.07.19 26.07.19 3021
SX5E Sep19 -20% 3462 31.07.19 3573cash 3444
Nikkei Sep19 -20% 21512 31.07.19 21825cash 21500
NDX Sep19 -20% 7945 31.07.19 8030cash 7867
SPX Sep19 -20% 2980 31.07.19 3028cash 2982

June 2019

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
GBPUSD Jun19Put1.25 -25% 1.9295 09.11.18 Option 0
CHF/CAD 30% 1.3307 29.11.18 1.2945 1.3407
AUD/JPY -20% 78.73 21.12.18 81 20.06.19 74.38
TN Jun 19 30% 122-075 07.02.19 3.05% ir 20.06.19 128-04
FESX Jun 19 -15% 3342 16.05.19 3410 18.06.19 3410
FDX Jun 19 -15% 12066 16.05.19 12340 18.06.19 12340
SPX Jun 19 -15% 2810 23.05.19 2900 10.06.19 2900
NDX Jun 19 -15% 7285 23.05.19 7640 18.06.19 7640
SilverC1 15% 15.29 20.06.19 14.5 15.31
PlatinumC1 15% 814.47 20.06.19 775 834.57
GBPUSD Sep19Put1.23 -23% 0.54 20.06.19 Option 0.49
USD/JPY -20% 107.7 20.06.19 111.45 107.82

May 2019

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
GBPUSD Jun19Put1.25 -25% 1.9295 09.11.18 Option 0.33
CHF/CAD 30% 1.3307 29.11.18 1.2945 1.3538
AUD/JPY -20% 78.73 21.12.18 81 75.15
TN Jun 19 30% 122-075 07.02.19 3.05% ir 126-14
FESX Jun 19 -15% 3342 16.05.19 3410 3272
FDX Jun 19 -15% 12066 16.05.19 12340 11704
SPX Jun 19 -15% 2810 23.05.19 2900 2752
NDX Jun 19 -15% 7285 23.05.19 7640 7137

 April 2019

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
GBPUSD Jun19Put1.25 -25% 1.9295 09.11.18 Option 0.15
CHF/CAD 30% 1.3307 29.11.18 1.2945 1.3125
AUD/JPY -20% 78.73 21.12.18 81 78.4
TN Jun 19 30% 122-075 07.02.19 3.05% ir 123-21
FDX Jun 19 -20% 11367 25.03.19 11821.68 03.04.19 11822
SPX Jun 19 -20% 2810 25.03.19 2922.4 23.04.19 2922.4
CL1 -15% 62.08 03.04.19 64.1 08.04.19 64.1

March 2019

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
GBPUSD Jun19Put1.25 -25% 1.9295 09.11.18 Option 1.06
CHF/CAD 30% 1.3307 29.11.18 1.2945 1.3395
AUD/JPY -20% 78.73 21.12.18 81 78.67
SPX Mar 19 -40% 2710 07.02.19 04.03.19 2815
TN Jun 19 30% 122-075 07.02.19 3.05% ir 124-08
FDX Jun 19 -20% 11591 06.03.19 11680 15.03.19 11680
CL1 -15% 55.4 06.03.19 57.62 13.03.19 57.62
SPX Jun 19 -20% 2767 07.03.19 2819 13.03.19 2819
NDX Jun 19 -20% 7099 07.03.19 7206 12.03.19 7206
FDX Jun 19 -20% 11367 25.03.19 11821.68 11565.5
SPX Jun 19 -20% 2810 25.03.19 2922.4 2839.75

February 2019

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
GBPUSD Jun19Put1.25 -25% 1.9295 09.11.18 Option 0.7752
CHF/CAD 30% 1.3307 29.11.18 1.2945 1.3188
AUD/JPY -20% 78.73 21.12.18 81 79.05
USD/JPY -15% 108.75 31.01.19 04.02.19 110
SPX Mar 19 -40% 2710 07.02.19 2815 2784.75
SX5E Mar 19 -40% 3165 07.02.19 14.02.19 3215
TN Mar 19 30% 122-075 07.02.19 3.05% ir 121-24

January 2019

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
GBPUSD Jun19Put1.25 -25% 1.9295 09.11.18 Option 1.38
Silver 15% 13.97 14.11.18 29.01.19 15.86
EUR/USD -20% 1.1334 16.11.18 14.01.19 1.1456
CHF/CAD 30% 1.3307 29.11.18 1.2945 1.3219
AUD/JPY -20% 78.73 21.12.18 81 78.99
SX5E Mar18 Future -15% 3040 10.01.19 18.01.19 3088
SPX Mar18 Future -15% 2564 10.01.19 15.01.19 2603
USD/JPY -15% 108.75 31.01.19 110 108.86

December 2018

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
GBPUSD Jun19Put1.25 -25% 1.9295 09.11.18 Option 3.08
Silver 15% 13.97 14.11.18 13.86 15.47
EUR/USD -20% 1.1334 16.11.18 1.1622 1.1466
CHF/CAD 30% 1.3307 29.11.18 1.2945 1.3892
CL1 15% 52.33 11.12.18 17.12.18 49.39
AUD/JPY -20% 78.73 21.12.18 81 77.29

November 2018

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
GBPUSD 211218 1.28 Put -22%^ 0.94 14.06.18 Option 09.11.18 1.04
TN Dec18 Future 25% 118-06 15.10.18 08.11.18 117-26
Nifty 50 Nov 18 15% 10230 30.10.18 16.11.18 10689
FXI 15% 38.43 30.10.18 07.11.18 41.86
NDX 100 Dec18 15% 6740 30.10.18 07.11.18 7181
EUR/USD -30% 1.156 11.10.18 01.11.18 1.1355
CL1 15% 63.46 05.11.18 06.11.18 62.5
GBPUSD Jun19Put1.25 -25% 1.9295 09.11.18 Option 3.06
Silver 15% 14.3 09.11.18 14.11.18 13.91
Silver 15% 13.97 14.11.18 13.63 14.15
EUR/USD -20% 1.1334 16.11.18 1.1622 1.1319
CHF/CAD 30% 1.3307 29.11.18 1.258 1.3299

October 2018

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
GBPUSD 211218 1.28 Put -22%^ 0.94 14.06.18 Option 2.01
TN Dec18 Future 25% 119-08 13.06.18 03.10.18 118-10
USDCHF 25% 0.9686 10.09.18 11.10.18 0.989
Taiex Oct18 Future 15% 10858 14.09.18 05.10.18 10500
CL1 Future 20% 72.07 24.09.18 18.10.18 69
NDX 100 Dec18 15% 7376 09.10.18 10.10.18 7180
SPX Dec18 15% 2885 09.10.18 10.10.18 2800
EUR/USD -30% 1.156 11.10.18 01.11.18 1.1322
TN Dec18 Future 25% 118-06 15.10.18 3.25%ir 118-15
Nifty 50 Nov 18 15% 10230 30.10.18 10030 10416
FXI 15% 38.43 30.10.18 2520ssec 39.29
NDX 100 Dec18 15% 6740 30.10.18 6574 6965

September 2018

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
GBPUSD 211218 1.28 Put -22%^ 0.94 14.06.18 Option 1.47
TN Dec18 Future 25% 119-08 13.06.18 3.13%ir 118-23-5
CAC 40 Sep 18 Future 20%° 5446 26.07.18 05.09.18 5286
Nikkei Sep18 Future 20% 21885 13.08.18 06.09.18 22503
Nikkei Sep18 Future -5% 22250 20.08.18 06.09.18 22503
NDX Sep 18 Future 20% 7388 17.08.18 14.09.18 7608
Nifty Sep18 Future 10% 11585 20.08.18 06.09.18 11530
Taiex Sep18 Future 15% 10710 20.08.18 06.09.18 10924
FDAX Sep18 Future 10% 12333 20.08.18 05.09.18 12122
USDJPY -25% 111.45 04.09.18 11.09.18 111.58
USDCHF 25% 0.9686 10.09.18 0.9512 0.9817
Taiex Oct18 Future 15% 10858 14.09.18 10530 10948
CL1 Future 20% 72.07 24.09.18 67 73.53

August 2018

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
GBPUSD 211218 1.28 Put -22%^ 0.94 14.06.18 Option 1.21
TN Sep18 Future 25% 119-13 13.06.18 3.13%ir 120-11
Nifty Aug18 Future 20% 10904 09.07.18 20.08.18 11578
CL1 Future 25% 67.29 17.07.18 15.08.18 66.66
CAC 40 Sep 18 Future 20%° 5446 26.07.18 5286 cash 5406
Nikkei Sep18 Future 20% 21885 13.08.18 21800 cash 22823
PLV18 10% 764 15.08.18 22.08.18 793
PAU18 10% 838 15.08.18 22.08.18 902
GCV18 10% 1186 15.08.18 22.08.18 1196
NDX Sep 18 Future 20% 7388 17.08.18 7230 cash 7672.25
Nikkei Sep18 Future -5% 22250 20.08.18 closing 22823
Nifty Sep18 Future 10% 11585 20.08.18 11050 11748.5
Taiex Sep18 Future 15% 10710 20.08.18 10480 cash 11023
FDAX Sep18 Future 10% 12333 20.08.18 12135 cash 12360

^ Delta at position opening

° Rolled into next expiry

July 2018

Underlying Delta Price Open Date Open Stop / Loss Date Close Price Close Price EoM
GBPUSD 211218 1.28 Put -22%^ 0.94 14.06.18 Option 1.07
TN Sep18 Future 25% 119-13 13.06.18 3.13%ir 119-13-5
SI Sep18 Future -15% 16.22 26.06.18 04.07.18 16.15
BZ Sep18 Future 15% 77.30 28.06.18 04.07.18 78
Nikkei Sep18 Future 15% 22265 29.06.18 02.07.18 22000
Nifty Aug18 Future 20% 10904 09.07.18 10740cash 11415
EURUSD -25% 1.175 09.07.18 30.07.18 1.171
SPX Sep18 Future 25% 2791 10.07.18 17.07.18 2796
CL1 Future 25% 67.29 17.07.18 65.50 68.38
Nikkei Sep18 Future 20% 22533 24.07.18 31.07.18 22539
CAC 40 Aug 18 Future 20% 5449 26.07.18 5320 5511

June 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
GBPUSD 210918 1.32 Put -25%^ 0.95 17.01.18 14.06.18 1.22
GBPUSD 211218 1.28 Put -22%^ 0.94 14.06.18 Option 1.3
Nasdaq Sep18 Future 33%° 6619 24.04.18 19.06.19 7207
DAX Sep18 Future 17%° 12995.5 11.05.18 18.06.18 12961
Nikkei Sep18 Future 16%° 22718 11.05.18 18.06.18 22643
SPX 150618 2735 Put -66%* 34.4 14.05.18 15.06.18 0
Nifty 280618 Future 9% 10471 24.05.18 19.06.19 10725
Nasdaq Sep18 Future -16%° 6996 24.05.18 19.06.19 7207
SPX Sep18 Future 16%° 2738 24.05.18 19.06.19 2756
CL1 Future 15% 65.55 06.06.18 18.06.18 64.20
EURCHF 150618 1.13P 300%* 0.022% 07.06.18 15.06.18 0
TN Sep18 Future 25% 119-13 13.06.18 3.13%ir 120-02
SI Sep18 Future -15% 16.22 26.06.18 16.50 16.20
BZ Sep18 Future 15% 77.30 28.06.18 73 79.23
Nikkei Sep18 Future 15% 22265 29.06.18 22038 cash 22290

^ Delta at position opening

*  notional value

°  rolled into next contract

May 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 0.01
GBPUSD 210918 1.32 Put -25%^ 0.95 17.01.18 Option 1.62
Nasdaq Jun18 Future 33% 6592 24.04.18 SPX Put 6977
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 21.05.18 1285
SPX 180518 2575 Put -66%* mkt opn. 03.05.18 0
DAX Jun18 Future 17% 13013.5 11.05.18 SPX Put 12612
Nikkei Jun18 Future 16% 22718 11.05.18 SPX Put 22190
Nifty May18 Future 8% 10802 11.05.18 18.05.18 10631
EURUSD -33% 1.199 14.05.18 16.05.18 1.18
SPX 150618 2735 Put -66%** 34.4 14.05.18 41.5
CL1 Future -10% 72 23.05.18 73.60 25.05.18 68.52
TN1 Future 25% 119-03 23.05.18 29.05.18 120-24
Nifty Jun18 Future 9% 10471 24.05.18 SPX Put 10703,5
DAX Jun18 Future -9% 12995 24.05.18 29.05.18 12669
Nasdaq Jun18 Future -16% 6969 24.05.18 Closing 6977
SPX Jun18 Future 16% 2731 24.05.18 SPX Put 2705,5
EURUSD 25% 1.1615 28.05.18 1.1544 29.05.18 1.1544

^ 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

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

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

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

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

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

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

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

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