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Volatility Capture

The Volatility Capture strategy is an all-weather investment approach that combines the benefits of option writing with strategies designed to protect downside risk.

Sophisticated investors have recognized the value of covered call and naked put-strategies for some time in terms of reducing portfolio volatility and improving risk-adjusted returns, particularly as compared to long only portfolios.

Through intensive research and experience, we have identified an approach to managing risk around short option strategies without cannibalizing return.


Investment Programs

McMillan Asset Management currently offers four different versions of the Volatility Capture strategy. Each program and its objectives are listed below*:

Volatility Capture Equity

CONSERVATIVE

  • Capital preservation and conservative capital appreciation with significantly lower volatility than the broad market.

  • Emphasis on out-performance in down markets and high volatility environments.

  • Protect against Black Swan events.

  • Trades SPY Options and VIX Options

Volatility Capture Futures

MODERATE

  • Moderate capital appreciation with lower volatility than the broad market.

  • Emphasis on out-performance in down markets and high volatility environments.

  • Protect against Black Swan events.

  • Trades E-mini S&P 500 Futures Options and VIX Index Options

Volatility Capture
CTA

AGGRESSIVE

  • Greater capital appreciation with lower volatility than the broad market.

  • Emphasis on out-performance in down markets and high volatility environments.

  • Trades E-mini S&P 500 Futures Options and VIX Futures

Volatility Capture Overlay

YIELD

  • Generate additional income on top of an existing portfolio.

  • Enhance the risk-adjusted returns of existing equity portfolio.

  • Limit downside participation of overall portfolio without capping upside profit potential.

  • Trades SPX or SPY Options and VIX Options


Request More Information

Please fill out the contact form below and a representative will reach out to you shortly to provide more information, including strategy variations, performance statistics, and historical returns.

 

*There is an unlimited risk of loss associated with selling options. The Volatility Capture strategy involves the selling of naked put options or put option credit spreads. There is considerable risk in such transactions if the underlying should fall by a large amount in a short period of time. The premium from the written options will most likely not be able to completely compensate for that risk. Risk management strategies in the form of long volatility derivatives are employed, but there is no guarantee that the risk protection will actually work. In other words, the ownership of volatility is designed to protect the naked puts in the case of a sharp, sudden drop in the stock market. However, there is no guarantee that volatility will, in fact, increase when the stock market drops.

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