Detailed Methodology
- Identify Sustainable Names [Stance ESG LCC ESG Pass List]
- Estimate Expected Price Range over 30 market days
- Compute and Adjust options premia based on days to maturity with holiday adjustments
- Compute Daily Yield relative to Expected Price Range
- Filter for Out of Money Calls ONLY
- Identify Lot size minimums for optimizer
- Feed into optimizer Max Portfolio E[Yield By Day] / E[Risk]
Current Model Portfolio Snapshot*
| Number of Equities | 110 |
|---|---|
| Target Annualized Option Yield | 12.74% |
| Average Distance to Money | 7.63% |
| Average Market Days to Expiry | 47.3 |
| Maximum Weight | 1.51% |
| Median Weight | 1.27% |
Current Model Portfolio Snapshot*
*As of Jan 21, 2025