Summary

The Reynoso Alpha Volatility strategy is a model-informed discretionary options trading strategy. Managed since inception in Jan.2002 by PM Joe Reynoso, the strategy can be long or short volatility, with only slight directional biases in the market. The strategy seeks to profit from option time decay, changes in overall option volatility, as well as changes in the relationship of volatilities of different strike prices and expiration dates of options on the same underlying instrument. Positions are dynamically hedged to maintain a market neutral position through tactical trades in the underlying security and/or delta-generating options. Trading is concentrated in options on the S&P 500 futures.