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PLEASE NOTE: ALTAVRA does NOT charge a load, upfront or initial fee on any account. 

 

Reynoso Asset Management is currently offering clients the opportunity to have their accounts traded pursuant to its Reynoso Options Arbitrage Program.  The financial instruments that are traded in connection with the Reynoso Options Arbitrage Program are options on the S&P 500 futures and the underlying S&P 500 futures.

 

Reynoso Asset Management's Reynoso Options Arbitrage Program employs options strategies with the objective of achieving high positive returns in a wide range of market conditions - rising, falling stagnant and volatile.  The Reynoso Options Arbitrage Program, in general, has little or no correlation with the underlying financial markets.

 

The Reynoso Options Arbitrage Program takes only slight directional biases in the market, seeking to profit mostly from option time decay and changes in overall volatility and in the relationship of volatilities of different strike prices and expiration dates for options on the same underlying instrument.  Positions are dynamically hedged to maintain a market neutral position through tactical trades in the underlying financial instruments and/or shorter-term options.

 

The program's base strategy is a compilation of individual options strategies that have been developed over the past 20+ years of trading options.  These strategies have been further refined through extensive back-testing.  Risk management is essential to these strategies. In addition to dynamic delta hedging, risk controls are built into each position through the use of option spreads to protect from large movement in the underlying.  Also, to increase liquidity, the program generally trades near-term options, typically with less than 90 days to expiration and does not sell long-term options as part of its base strategy.

 

The size of the position is a function of the implied volatility and the amount of time decay needed to provide a targeted return assuming that all options expire worthless, knowing that a portfolio of this profit will be lost due to dynamic hedging.  Once an initial position has been established, the positions are hedged to maintain "delta neutrality" (i.e., no directional bias to moves in the price of the underlying) and then rolled at expiration or when the position's remaining profit potential falls below a predetermined amount.

 

Delta hedging is accomplished through trades in the underlying financial instruments and trades in delta-generating options.  As part of the Reynoso Options Arbitrage Program, Reynoso Asset Management employees a proprietary hedging algorithm that establishes hedging price levels and amounts.  In addition, separate limits are set for end-of-day position levels in an effort to minimize losses from an adverse move during non-regular trading hours.

 

If certain technical indicators are breached, Reynoso Asset Management will modify the base strategy of the Reynoso Options Arbitrage Program to reflect anomalies in the options market.  The Reynoso Options Arbitrage Program capitalizes on these market anomalies through tactical trades, including calendar and "skew" spreads as well as "vega" and "gamma" positions.

 

 

On average, approximately 30% of the equity in an account will be needed for margin requirements. The margin to equity ratio, however, will vary due to the overlay of tactical trades and has ranged from 8% to 40%.

 

The minimum investment is $1 million (including notional funds) for managed accounts. 

 

Reynoso Asset Management is also offering clients the opportunity to have their accounts traded pursuant to its Reynoso Options Arbitrage Small Accounts Program.  The financial instruments that are traded in connection with this program are options on the S&P 500 futures and the underlying S&P 500 futures contract.

 

The trading strategy of the Reynoso Options Arbitrage Small Accounts Program is very similar to that of the Reynoso Options Arbitrage Program.  Differences in the trading strategy of the two programs exists in the following areas:

 

 

The minimum investment is $100,000 (including notional funds) for a managed account.  All investments must be made in increments of $100,000.

 

Mr. Reynoso has been a Principal of RAM LLC since May 1999 and is the investment manager for The Reynoso Options Arbitrage Fund.  Mr. Reynoso has managed operations on the Chicago Mercantile Exchange, the Chicago Board Options Exchange, the London International Financial Futures and Options Exchange, the Chicago Board of Trade, the American Stock Exchange, the New York Mercantile Exchange and Eurex.  He is a graduate of San Francisco State and received a Master of Business Administration degree from the University of Chicago, with concentration in finance.  Mr. Reynoso has been trading options since December 1985, joining Chicago Research and Trading Group ("CRT," now a division of Bank of America) while attending the University of Chicago.  In February 1989, he left CRT and began trading for his own account.  In January 1993, he and his partners formed a proprietary trading group to trade their own capital, named Appolo Derivatives Group LLC and later knows as The Helios Group LLC and Anteros Capital Markets LLC.  During this time, Mr. Reynoso was also the principal of Anteros' CPO and CTA from April 1997 through June 2001.  In February 2003, Mr Reynoso gave up his day-to-day managerial responsibilities to focus on RAM LLC>  Anteros Capital Markets ceased operations in November 2005.  Mr. Reynoso withdrew his floor broker registration in February 2007 and became and Associated Person of RAM LLC on May 31, 2007.  Additionally, from August 1997 through October 2001, Mr. Reynoso was the Principal of a Commodity Trading Advisor and Commodity Pool Operator for his own sole proprietorship.  Mr. Reynoso's other business ventures include a vineyard in Sonoma County, California.

 

Mr. Hanebutt is a principal of RAM LLC.  Mr. Hanebutt assists Mr. Reynoso in implementing the firm's trading programs and is responsible for administration and marketing.  Mr. Hanebutt was also the investment manager of The RAM Fund LP which ceased trading on December 31, 2002.  He is a graduate of the University of Illinois with a B.S. in Mechanical Engineering.  He started his business career in July 1981 as a process engineer in Shell Oil's offshore division, where he was employed until he began business school in June 1984.  Mr. Hanebutt received a Master of Business Administration degree from the University of Chicago, with concentrations in finance and operations management in March 1986.  Upon completion of his MBA, Mr. Hanebutt embarked on a 12-year career in the paper and forest products industry, where he held managerial positions in strategic planning, operations and logistics, and sales and marketing while working for Packaging Corporation of America from April 1984 through September 1992, Riverwood International from September 1992 through March 1994, and International Paper from June 1994 through  December 1997.  In January 1998, he joined Anteros Capital Markets LLC to develop new business opportunities which led to the formation of RAM LLC.  Mr. Hanebutt has been registered as an Associated Person and a Principal of RAM LLC since May 1999.

 

The descriptions above are from the manager’s disclosure document.

 

THE RISK OF LOSS IN TRADING FUTURES, OPTIONS AND OFF-EXCHANGE FOREX CAN BE SUBSTANTIAL.  PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.  PLEASE READ THE CTA'S RISK DISCLOSURE DOCUMENT CAREFULLY BEFORE INVESTING MONEY. 

 

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