Z22 Smart CP
Smart CP consists of a core position in a S&P 500 ETF (SPY) combined with a systematic and machine learning driven option overlay. This product is optimal for the conservative investor looking for minimal downside risk and capital protection.
On the put side, our algorithm is buying long running contracts at different strikes and expiration dates ensuring a maximal downside risk of around 5% at all times.
On the call side, the algorithm is selling contracts with short expiration times, optimizing for maximal cash flow while leaving open an upside of 1% to 2% per month.
The selling of calls completely finances the put protection and even creates a net positive cash flow of around 1% p.a. Additionally, our models are pricing the option chains for all available expiration dates looking for pricing anomalies further enhancing total return and estimating optimal roll-over opportunities for put contracts.