The macro overlay index aims to deliver positive returns in all market environments. It can take long, short, or delta neutral exposure and has an emphasis on the most liquid equity indices, currencies, interest rates, and commodities. The portfolio includes asymmetric risk/reward positions according to an evidence-based approach. It consists of multidisciplinary components that combine long-term cycle statistics with behavioral economics and technical analysis.
The overlay index has a long-term focus and consists of derivatives. Only margin capital is required for its calculation. It can be overlaid at various exposure levels to other benchmarks/portfolios because the underlying overlay model portfolio is portable.
| |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
| 2017 |
|
|
|
|
|
|
|
|
19% |
22% |
-12% |
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% |
-23% |
-5% |
| 2020 |
52% |
152% |
27% |
-22% |
-68% |
-23% |
|
|
|
|
|
|
All illustrations on this webpage show the macro overlay index and its components before costs. Detailed examples of the decision-making process are publicly accessible at scienceinvesting.com
Recent History / Overlay Model Portfolio (EoM)
All deltas at the position opening
June 2020
| Underlying |
Delta |
Price Open |
Date Open |
Stop / Loss |
Date Close |
Price Close |
Price EoM |
| EUR/USD |
-25% |
1.0910 |
15.04.20 |
1.1200 |
03.06.20 |
1.1200 |
|
| GBP/USD |
-25% |
1.2500 |
15.04.20 |
1.2660 |
05.06.20 |
1.266 |
|
| NDXc1 |
-20% |
9,330 |
19.05.20 |
9,797 |
05.06.20 |
9,797 |
|
| DAX_Sep20_10.2kPut |
-20% |
277 |
02.06.20 |
Option |
09.06.20 |
194 |
|
| SPX_Sep20_2.6kPut |
-20% |
61 |
02.06.20 |
Option |
09.06.20 |
38.50 |
|
| NKYc1 |
-20% |
22,523.00 |
02.06.20 |
23,500.0 |
09.06.20 |
22735 |
|
| FTSEc1 |
-20% |
6,230 |
02.06.20 |
6,600 |
09.06.20 |
6,318 |
|
| GBP/USD |
-25% |
1.2667 |
16.06.20 |
1.3515 |
|
|
1.2396 |
| FDAXc1 |
-25% |
12,290 |
16.06.20 |
12,912 |
|
|
12330 |
| ESc1 |
-25% |
3104.9 |
16.06.20 |
3232 |
|
|
3090 |
| NKYc1 |
-25% |
22,423 |
16.06.20 |
23,200 |
|
|
22270 |
| FTSEc1 |
-25% |
6182 |
16.06.20 |
6413 |
|
|
6149 |
May 2020
| Underlying |
Delta |
Price Open |
Date Open |
Stop / Loss |
Date Close |
Price Close |
Price EoM |
| EUR/USD |
-25% |
1.0910 |
15.04.20 |
1.1200 |
|
|
1.1169 |
| GBP/USD |
-25% |
1.2500 |
15.04.20 |
1.2660 |
|
|
1.2348 |
| Gold |
-25% |
1,677 |
21.04.20 |
1,748 |
15.05.20 |
1,748 |
|
| WTI July20 Future |
25% |
23.7 |
21.04.20 |
11 |
01.05.20 |
21.94 |
|
| NDXc1 |
-20% |
8,770.0 |
01.05.20 |
|
18.05.20 |
9,346 |
|
| NKYc1 |
-20% |
19,523.00 |
01.05.20 |
|
18.05.20 |
20575 |
|
| FTSE 100 |
-20% |
5,743 |
01.05.20 |
|
18.05.20 |
6,052 |
|
| NDXc1 |
-20% |
9,330 |
19.05.20 |
9,796.5 |
|
|
9560 |
| NKYc1 |
-20% |
20,485 |
19.05.20 |
21,509 |
28.05.20 |
21,509 |
|
| FDAX |
-20% |
11,035.00 |
19.05.20 |
11,586.8 |
27.05.20 |
11586 |
|
April 2020
| Underlying |
Delta |
Price Open |
Date Open |
Stop / Loss |
Date Close |
Price Close |
Price EoM |
| Goldc1 |
-15% |
1,490 |
16.03.20 |
1,666 |
06.04.20 |
1,666 |
|
| GBP/USD |
-15% |
1.1930 |
25.03.20 |
1.2500 |
13.04.20 |
1.2500 |
|
| NDXc1 |
-15% |
7,650.0 |
27.03.20 |
8,005 |
06.04.20 |
8,005 |
|
| NKYc1 |
-10% |
18,623.0 |
27.03.20 |
19,200 |
06.04.20 |
19,200 |
|
| DAXc1 |
-10% |
9,600.0 |
27.03.20 |
10,400 |
07.04.20 |
10,400 |
|
| WTIc1 |
25% |
21.4 |
31.03.20 |
|
02.04.20 |
26.86 |
|
| EUR/USD |
-25% |
1.0910 |
15.04.20 |
1.1200 |
|
|
1.095 |
| GBP/USD |
-25% |
1.2500 |
15.04.20 |
1.2660 |
|
|
1.2593 |
| NDXc1 |
-35% |
8,592 |
15.04.20 |
9,011 |
29.04.20 |
9,011 |
|
| USO Jun20Call2.0 |
25% |
1.95 |
20.04.20 |
Option |
21.04.20 |
1.6 |
|
| Gold |
-25% |
1,677 |
21.04.20 |
1,748 |
|
|
1686 |
| WTI July20 Future |
25% |
23.7 |
21.04.20 |
11 |
01.05.20 |
|
21.85 |
March 2020
| Underlying |
Delta |
Price Open |
Date Open |
Stop / Loss |
Date Close |
Price Close |
Price EoM |
| CHF/CAD |
15% |
1.3225 |
12.07.19 |
|
09.03.20 |
1.4675 |
|
| CHF/NZD |
15% |
1.5206 |
12.07.19 |
|
02.03.20 |
1.6663 |
|
| EURGBP 130320Call0.83 |
30% |
3.58 |
16.01.20 |
|
13.03.20 |
8.13 |
|
| SPX 190620P3000 |
-54% |
38.85 |
22.01.20 |
|
02.03.20 |
199 |
|
| NDX 190620P8200 |
-57% |
128.76 |
22.01.20 |
|
02.03.20 |
482 |
|
| DAX 190620P12200 |
-51% |
154.29 |
22.01.20 |
|
02.03.20 |
1028 |
|
| NKY 12062020P21500 |
-63% |
3.21 |
22.01.20 |
|
02.03.20 |
18.4 |
|
| Kospi200c1 |
-20% |
303 |
24.01.20 |
|
02.03.20 |
267 |
|
| Kospi200c1 |
-10% |
267 |
02.03.20 |
|
17.03.20 |
221.05 |
|
| NKYc1 |
-10% |
20835 |
02.03.20 |
|
09.03.20 |
19000 |
|
| DAXc1 |
-10% |
11728 |
02.03.20 |
|
09.03.20 |
10761 |
|
| NDXc1 |
-10% |
8424 |
02.03.20 |
|
25.03.20 |
7737 |
|
| SPXc1 |
-10% |
2929 |
02.03.20 |
|
25.03.20 |
2485 |
|
| Goldc1 |
-20% |
1605.5 |
02.03.20 |
1666 |
05.03.20 |
1666 |
|
| EUR/USD |
-30% |
1.1111 |
02.03.20 |
1.1242 |
05.03.20 |
1.1242 |
|
| EUR/USD |
-30% |
1.1275 |
11.03.20 |
|
25.03.20 |
1.0834 |
|
| Goldc1 |
-15% |
1490 |
16.03.20 |
1666 |
|
|
1575 |
| GBP/JPY |
-15% |
130.35 |
16.03.20 |
|
25.03.20 |
132.72 |
|
| NDXc1 |
-10% |
7171 |
17.03.20 |
|
25.03.20 |
7737 |
|
| GBP/USD |
-15% |
1.193 |
25.03.20 |
1.25 |
|
|
1.2423 |
| SX5Ec1 |
-25% |
2690 |
26.03.20 |
|
26.03.20 |
2770 |
|
| NDXc1 |
-15% |
7650 |
27.03.20 |
8080 |
|
|
7786 |
| NKYc1 |
-10% |
18623 |
27.03.20 |
19750 |
|
|
18920 |
| DAXc1 |
-10% |
9600 |
27.03.20 |
10400 |
|
|
9791 |
| WTIc1 |
25% |
21.4 |
31.03.20 |
19.2 |
|
|
20.1 |
February 2020
| Underlying |
Delta |
Price Open |
Date Open |
Stop / Loss |
Date Close |
Price Close |
Price EoM |
| USD/JPY |
-20% |
107.7 |
20.06.19 |
111.45 |
|
111.45 |
|
| CHF/CAD |
15% |
1.3225 |
12.07.19 |
1.2945 |
|
|
1.39 |
| CHF/NZD |
15% |
1.5206 |
12.07.19 |
1.475 |
|
|
1.66 |
| EURGBP 130320Call0.83 |
30% |
3.58 |
16.01.20 |
Option |
|
|
4.08 |
| SPX 190620P3000 |
-54% |
38.85 |
22.01.20 |
Option |
|
|
206 |
| NDX 190620P8200 |
-57% |
128.76 |
22.01.20 |
Option |
|
|
472 |
| DAX 190620P12200 |
-51% |
154.29 |
22.01.20 |
Option |
|
|
904 |
| NKY 12062020P21500 |
-63% |
3.21 |
22.01.20 |
Option |
|
|
20.63 |
| SX5Ec1 |
-20% |
3770 |
24.01.20 |
3815 |
11.02.20 |
3815 |
|
| Kospi200c1 |
-20% |
303 |
24.01.20 |
310 |
|
|
268 |
January 2020
| Underlying |
Delta |
Price Open |
Date Open |
Stop / Loss |
Date Close |
Price Close |
Price EoM |
| USD/JPY |
-20% |
107.7 |
20.06.19 |
111.45 |
|
|
108.35 |
| CHF/CAD |
15% |
1.3225 |
12.07.19 |
1.2945 |
|
|
1.37 |
| CHF/NZD |
15% |
1.5206 |
12.07.19 |
1.475 |
|
|
1.61 |
| EURGBP 170120Call0.83 |
30% |
2.67 |
12.12.19 |
|
16.01.20 |
3.19 |
|
| CL1 |
-20% |
60.38 |
18.12.19 |
63.36 |
03.01.20 |
63.36 |
|
| EURGBP 130320Call0.83 |
30% |
3.58 |
16.01.20 |
Option |
|
|
1.80 |
| SPX 190620P3000 |
-54% |
38.85 |
22.01.20 |
Option |
|
|
66.54 |
| NDX 190620P8200 |
-57% |
128.76 |
22.01.20 |
Option |
|
|
196 |
| DAX 190620P12200 |
-51% |
154.29 |
22.01.20 |
Option |
|
|
298 |
| NKY 12062020P21500 |
-63% |
3.21 |
22.01.20 |
Option |
|
|
6.21 |
| SX5Ec1 |
-20% |
3770 |
24.01.20 |
3815 |
|
|
3616 |
| Kospi200c1 |
-20% |
303 |
24.01.20 |
310 |
|
|
285.7 |
December 2019
| Underlying |
Delta |
Price Open |
Date Open |
Stop / Loss |
Date Close |
Price Close |
Price EoM |
| USD/JPY |
-20% |
107.7 |
20.06.19 |
111.45 |
|
|
108.62 |
| CHF/CAD |
15% |
1.3225 |
12.07.19 |
1.2945 |
|
|
1.3414 |
| CHF/NZD |
15% |
1.5206 |
12.07.19 |
1.475 |
|
|
1.5343 |
| GBPUSD |
-30% |
1.2891 |
06.11.19 |
1.32 |
11.12.19 |
1.32 |
|
| EURGBP 170120Call0.83 |
30% |
2.67 |
12.12.19 |
Option |
|
|
3 |
| CL1 |
-20% |
60.38 |
18.12.19 |
63.36 |
|
|
61.23 |
November 2019
| Underlying |
Delta |
Price Open |
Date Open |
Stop / Loss |
Date Close |
Price Close |
Price EoM |
| USD/JPY |
-20% |
107.7 |
20.06.19 |
111.45 |
|
|
109.48 |
| CHF/CAD |
15% |
1.3225 |
12.07.19 |
1.2945 |
|
|
1.3267 |
| CHF/NZD |
15% |
1.5206 |
12.07.19 |
1.475 |
|
|
1.5567 |
| GBPUSD Nov19Put1.20 |
-15% |
0.9 |
27.09.19 |
Option |
|
|
0 |
| SX5E Dec19 |
-20% |
3529 |
27.09.19 |
3629cash |
04.11.19 |
3652 |
|
| SIc1 |
10% |
17.6 |
06.11.19 |
16.85 |
08.11.19 |
16.85 |
|
| GBPUSD |
-30% |
1.2891 |
06.11.19 |
1.32 |
|
|
1.2928 |
| EUR/USD |
30% |
1.1012 |
25.11.19 |
1.0987 |
29.11.19 |
1.0987 |
|
October 2019
| Underlying |
Delta |
Price Open |
Date Open |
Stop / Loss |
Date Close |
Price Close |
Price EoM |
| USD/JPY |
-20% |
107.7 |
20.06.19 |
111.45 |
|
|
108.02 |
| CHF/CAD |
15% |
1.3225 |
12.07.19 |
1.2945 |
|
|
1.3338 |
| CHF/NZD |
15% |
1.5206 |
12.07.19 |
1.475 |
|
|
1.58 |
| NDX Dec19 |
-20% |
7945 |
31.07.19 |
8030cash |
25.10.19 |
8034 |
|
| SPXDec19 |
-20% |
2980 |
31.07.19 |
3028cash |
28.10.19 |
3029 |
|
| GBPUSD Nov19Put1.20 |
-15% |
0.9 |
27.09.19 |
Option |
|
|
0 |
| SX5E Dec19 |
-20% |
3529 |
27.09.19 |
3629cash |
|
|
3606 |
September 2019
| Underlying |
Delta |
Price Open |
Date Open |
Stop / Loss |
Date Close |
Price Close |
Price EoM |
| GBPUSD Sep19Put1.23 |
-23% |
0.54 |
20.06.19 |
Option |
|
|
0 |
| USD/JPY |
-20% |
107.7 |
20.06.19 |
111.45 |
|
|
107.75 |
| CHF/CAD |
15% |
1.3225 |
12.07.19 |
1.2945 |
|
|
1.3261 |
| CHF/NZD |
15% |
1.5206 |
12.07.19 |
1.475 |
|
|
1.598 |
| SX5E Sep19 |
-20% |
3462 |
31.07.19 |
3573cash |
20.09.19 |
3570 |
|
| Nikkei Sep19 |
-20% |
21512 |
31.07.19 |
21825cash |
12.09.19 |
21610 |
|
| NDX Dec19 |
-20% |
7945 |
31.07.19 |
8030cash |
|
|
7770 |
| SPXDec19 |
-20% |
2980 |
31.07.19 |
3028cash |
|
|
2978 |
| GBPUSD Nov19Put1.20 |
-15% |
0.9 |
27.09.19 |
Option |
|
|
0.9 |
| SX5E Dec19 |
-20% |
3529 |
27.09.19 |
3629cash |
|
|
3560 |
August 2019
| Underlying |
Delta |
Price Open |
Date Open |
Stop / Loss |
Date Close |
Price Close |
Price EoM |
| SIc1 |
15% |
15.29 |
20.06.19 |
15.3 |
07.08.19 |
16.94 |
|
| PLc1 |
15% |
814.47 |
20.06.19 |
815 |
07.08.19 |
859.21 |
|
| GBPUSD Sep19Put1.23 |
-23% |
0.54 |
20.06.19 |
Option |
|
|
2.11 |
| USD/JPY |
-20% |
107.7 |
20.06.19 |
111.45 |
|
|
106.28 |
| CHF/CAD |
15% |
1.3225 |
12.07.19 |
1.2945 |
|
|
1.3442 |
| CHF/NZD |
15% |
1.5206 |
12.07.19 |
1.475 |
|
|
1.6025 |
| SX5E Sep19 |
-20% |
3462 |
31.07.19 |
3573cash |
|
|
3430 |
| Nikkei Sep19 |
-20% |
21512 |
31.07.19 |
21825cash |
|
|
20678 |
| NDX Sep19 |
-20% |
7945 |
31.07.19 |
8030cash |
|
|
7680 |
| SPX Sep19 |
-20% |
2980 |
31.07.19 |
3028cash |
|
|
2920 |
| WTIc1 |
-10% |
53.19 |
07.08.19 |
55.8495 |
13.08.19 |
55.85 |
|
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 |
|
Detailed examples of the decision-making process are publicly accessible at scienceinvesting.com
Warning: Past performance is not a reliable guide to future performance.
This webpage content is not intended to be comprehensive and is designed to provide summary interim information. IT IS INTENDED FOR QUALIFIED ELIGIBLE PERSONS ONLY. It is not a recommendation or investment research and is classified as a marketing communication in accordance with the European Union (Markets in Financial Instruments) Regulations 2017. It does not constitute an offer or solicitation for the purchase or sale of any financial instrument, trading strategy, product or service and does not take into account the investment objectives, knowledge and experience or financial situation of any particular person. Investors should obtain advice based on their own individual circumstances from their own client adviser, where applicable, investment intermediary or other legal or tax advisor before making an investment decision. Further information in relation to the management of potential conflicts of interest is available upon request. These documents are available from ESI Analytics Limited, Merchants House, 27-30 Merchants Quay, Dublin 8, Ireland.
All performance figures are based on the overlay model portfolio displayed and updated on website scienceinvesting.com. The accounting currency for all calculations on this webpage is in US Dollar. Forex exposure is hedged at each EoM. All information is based on unaudited signals excluding fees. Margin requirements are almost always below 10% of total capital. This data should not be reproduced, published or disseminated in any manner. Although ESI Analytics Limited considers the data to be reliable, no warranty is given as to its accuracy or completeness. Any comparisons against indices are for illustrative purposes only.
Macro Overlay
