Investment philosophy

Markets are generally efficient but systematic gaps appear more often than predicted

These value gaps result from the consistent mis-estimation of future volatility. In turn, this has a direct effect on asset valuations and their derivatives, leading to opportunities. These assets can become mis-valued due to model assumption flaws, structural flaws in the way options are marked to market and incentive biases.

The counter-intuitive pricing behaviour of these deriviatives provides an opportunity for alpha

The obvious bet is the wrong bet. Volatility is mean reverting around an unstable mean and therefore should be relatively predictable. In fact The OPPOSITE is true! Market participants accumulate belief based on time and experience. The longer the market is quiet and volatility is low, the more market expectation is for it to stay that way or go even lower. Conversely when volatility is high the vividness heuristic dicates that participants see continued high volatility and will be buyers.

Expertise gives us an edge

Jerry Haworth and Richard Hollington have combined experience of over 40 years managing both long volatility and short volatility option books and have acquired an in-depth knowledge of how to extract value from these assets while managing portfolios at minimum risk.

Insistence on quality not only through generating true uncorrelated alpha but also excellent risk management and robust infrastructure

We focus on finding innovative option strategies that will generate true alpha in all market environments in an uncorrelated fashion to volatility, traditional and non-traditional asset classes. Our robust risk management methodology sits at the centre of the investment process.

Wealth creation has asymmetric payoff 

Our circle of competence is in markets in general and more specifically in options. Options are basically generic across all asset classes so their scope is global in nature. We operate in a niche; long dated out-of-the-money options, which has both barriers to entry and high potential for repeatable alpha.