The document provides an overview of the Collateral Yield Enhancement Strategy (CYES) by Harvest Volatility Management, LLC. It details the firm's investment approach, historical performance, and risk management strategies. CYES is an overlay strategy that exploits volatility risk premium and time decay properties of option premiums by managing short-dated index option spreads on the S&P500 index. The document includes performance metrics, risk assessments, and disclaimers about the speculative nature of the investment.
doj/DataSet10/EFTA01436030.pdf
{"title":"Collateral Yield Enhancement Strategy (CYES) Overview","key_people":["Harvest Volatility Management, LLC"],"document_date":"2023","document_type":"tabular","key_locations":["420 Lexington Avenue, Suite 2620, New York, NY 10170"],"document_subtype":"investment strategy overview","key_organizations":["Harvest Volatility Management, LLC","Options Clearing Corporation (OCC)"],"reference_numbers":["EFTA01436030","EFTA01436031","EFTA01436032","EFTA01436033","EFTA01436034","EFTA01436035","EFTA01436036","EFTA01436037","EFTA01436038"]}