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. Changes in both interest rates and volatility effect the value. Interest payments can be used for either bullish or bearish strategies, all with a secured cash principal.
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. This cash neutral strategy reflects changes in the cost of protection to deliver buffered market exposure.
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 with respect to vanna. It can highlight opportunties to get long equities with positive skew premium, or afford cheap protective collars. Skew is the market's measure of kurtosis, or potential for a non-normal distribution.
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. Condors are a market neutral strategy used on the short side to capture VRP, and on the long side as a portfolio hedge.
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. This is the benchmark for a dynamically managed strategy where short term calls are sold periodically to offset the cheaper long term put.
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. Shifts here indicate upcoming announcements or events, and lets investors compare relative value of different expirations.