CTA · Core
CTA Options Strategy
Express views with listed options on futures — defined-risk directional, calendars, or vol — still a CTA if the underlying is a commodity interest.
Definition
Calls/puts on ES, CL, TY, FX futures. Can be long convexity (crisis-friendly) or structured (risk reversals, calendars). Greeks replace the simple futures stop. Margin and assignment are the operations problem.
Why it matters
It can refine a trend (long calls instead of futures) or replace it (long vol). Mixing short options into a ‘trend CTA’ changes the left tail.
Case
A ‘CTA’ that financed trend longs by selling puts. 2020 the puts were the book. The trend sleeve never got the chance.
How to read it
Net vega and whether options are a hedge or the engine. Demand a stress with a 1987-shaped jump.
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