The document provides an overview of Harvest Volatility Management, LLC's Collateral Yield Enhancement Strategy (CYES), which is an investment strategy designed to exploit the volatility risk premium and time decay properties of option premium. The strategy involves actively managing a portfolio of short-dated index option spreads on the S&P 500 index (SPX) to generate premium while containing risk. The document includes historical performance data, key benefits, and features of the strategy.
doj/DataSet10/EFTA01387901.pdf
{"title":"Collateral Yield Enhancement Strategy (CYES)","key_people":["Investment professionals"],"document_type":"tabular","key_locations":["New York, NY"],"document_subtype":"Investment Strategy Overview","key_organizations":["Harvest Volatility Management, LLC"]}