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Aquantum Active Range - U.S. Equity Options (AAR) Program

A systematic option trading program on the S&P 500 with the aim of exploiting market fluctuations


Investment Strategy

The AAR Program systematically trades option combinations on the S&P 500 with the aim of exploiting market fluctuations and achieving an absolute positive return that is uncorrelated to the underlying. Through the simultaneous purchase and sale of exchange-traded options (spreads) with different maturities, a profitable range is established in which the underlying asset must move during the term of the respective spreads in order to generate positive returns. If this market fluctuation does not occur during the term of the options, the respective spread expires worthless.

The individual spreads are built up systematically over the course of a month, with the aim of achieving returns in short investment cycles (usually monthly). Three to four overlapping maturities are traded in order to be able to profit from several market movements within a month.

The AAR Program is managed in compliance with strict risk specifications at spread and portfolio level. Thus, each position is already opened considering certain risk limits (=anticipatory risk management approach). Within the framework of continuous risk management, a so-called "one-shot position management" determines at which price level the range and thus the risk will be changed. For this purpose, only a single option has to be traded. At the same time, the fat tail risk is reduced by hedging spreads, which are always delta negative and vega positive due to an overhang of purchased put options.

The live date (LD) of the AAR Program was May 14, 2021.

The AAR Program is offered in managed account and fund format.

Customers interested in investing in the AAR Program in UCITS format can get more information here.

Basic risks: The risk of loss in trading options is substantial. Therefore, it is mandatory to carefully consider whether such trading is suitable in the light of interested investor’s financial conditions. A potential loss cannot be determined in advance and can exceed any collateral (margin) posted. In considering whether to trade or to authorize someone to trade, interested investors should be aware of all risk factors as described in our Disclosure Document which is available upon request.