The short volatility strategies of 7orca offer their investors access to volatility, an economically substantiated and empirically proven source of return. The volatility risk premium exists on the equity, bond and currency markets.
A rule-based and non-predictive investment process provides the basis for the investment funds. Only exchange-traded options are used to implement a favourable and efficient allocation.
The implementation takes place using a short strangle in which out-of-the-money call and put options are sold simultaneously.
The foundation of the investment process is our proprietary risk management. The focus is on the intelligent limitation of the delta within a defined deviation band. A stop loss mechanism ensures that downside risks are limited.
Due to the low correlation of the volatility risk premiums to the traditional asset classes, these strategies can help investors to improve their risk-adjusted returns on a sustainable basis.
February 2018 has remained a lasting memory for many volatility investors: within one day, equity volatility recorded a massive jump; as a result, short volatility strategies recorded significant losses.
Is this situation likely to repeat now?