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Indicator Overview

OWL

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Capital Protection

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Rates & Volatility

The OWL Index tracks the relationship between interest rates and volatility. The daily OWL value is derived by taking the prevailing 30 day interest rate and determining how many deltas of exposure can be bought with 30 day options. 

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GULL

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Market Participation

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Protection

The GULL Index tracks the relative cost of an out of the money put spread, compared to the out of the money call (X%) of the same price. The put spread collar as an overlay to equity allows for buffered participation

OWL
GULL

FALC

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Leverage

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Skew

The FALC Index tracks the relationship between out of the money calls and puts. This measure of skew is chosen because of its second order greek importance, and demonstrates a way to synthetically get long equities with positive skew premium.

COND

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Yield Enhancement

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Volatility

The COND Index tracks the price of an iron condor, using out of the money call and put spreads. It represents a risk managed way for investors to get long or short volatility.

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FALC
COND

HRON

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Market Participation

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Cross Term Skew

The HRON Index tracks the relative value of an out of the money call in the near term, against an out of the money put in the far term. By spreading across the term structure protection can become more affordable.

RAVN

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Yield Enhancement

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Term Structure

The RAVN Index tracks the relationship across different expirations of at the money time spreads. It subtracts front month volatility from back month volatility, so it varies around 0 depending on whether the term structure is in contango or backwardation. 

HRON
RAVN
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