Summary

The system involves two phases. Phase one of the trade involves the selling of the high premium option straddle (Put and Call option at the same strike price). These tend to be the highest premium and most liquid options available for that particular commodity. With Phase two the program then places stop orders in the underlying futures contract to cover one side of the option trade should the market move decidely in one direction. The system is designed to become Delta Neutral once the underlying futures contract moves/trends in a direction. The system will lose month on Whips and Gaps. Here is a link to the article I wrote about the system in Futures Magazine - http://www.futuresmagdigital.com/futuresmag/201101#pg40