CTA Option Writer
A CTA that is structurally short implied volatility — harvesting VRP with futures options, and owning a jump left tail.
Definition
Sell straddles, strangles, or covered structures on futures. Carry is theta; risk is a gap through the short strikes. This is a risk-premia business that happens to be CFTC-wrapped. It is negatively related to crisis alpha.
Why it matters
It prints in quiet years when trend looks broken — which is why it gets smuggled into multi-strategy CTAs. It is the opposite of why most LPs bought CTAs.
Case
Feb 2018 vol spike and Mar 2020. Short-premium CTAs did not ‘fail to trend’; they sold the insurance the allocator thought they owned.
How to read it
If the monthly return distribution is positive 10 months and a hole in month 11, you found the writer. Do not average it with SG Trend.