Short-gamma premium capture on index CFDs, hard-hedged tails.
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2019 | · | 1.6 | -0.5 | 0.8 | 2.4 | -0.2 | 2.1 | 1.4 | 1.5 | -1.2 | 0.6 | -1.6 | 6.9 |
| 2020 | 1.6 | 1.9 | 5.3 | 2.9 | 0.4 | 2.6 | 0.4 | 1.0 | -0.6 | 2.1 | 0.7 | 0.5 | 20.5 |
| 2021 | 0.4 | 4.3 | 0.5 | 7.1 | 4.2 | 1.1 | -1.4 | 3.9 | 5.1 | -0.2 | -1.5 | 0.4 | 26.2 |
| 2022 | 2.1 | -0.6 | 4.9 | 2.2 | -1.3 | 1.0 | 1.9 | 2.9 | 4.2 | 1.9 | 0.8 | 0.3 | 21.9 |
| 2023 | 1.5 | 2.6 | -0.1 | 2.6 | 2.3 | -1.0 | 0.7 | 0.4 | -1.3 | -0.6 | 0.4 | 0.6 | 8.4 |
| 2024 | -0.6 | -5.0 | 0.2 | 1.3 | 1.4 | 0.2 | 1.6 | 3.0 | 2.0 | -0.1 | -2.8 | -0.0 | 1.1 |
| 2025 | 0.4 | -0.5 | -0.4 | -0.0 | 0.8 | 0.3 | 1.4 | 0.2 | -1.5 | -0.1 | -0.1 | -0.4 | 0.1 |
| 2026 | 1.2 | 0.7 | 0.9 | 1.4 | 2.6 | 2.2 | · | · | · | · | · | · | 9.4 |
| Month | Return | Distribution | P&L | Trades | Win rate | Max DD |
|---|---|---|---|---|---|---|
| Jun 2026 | +2.24% | $26,028 | 8 | 87.5% | -0.62% | |
| May 2026 | +2.64% | $29,936 | 10 | 90.0% | -0.66% | |
| Apr 2026 | +1.38% | $15,391 | 7 | 85.7% | -0.69% | |
| Mar 2026 | +0.88% | $9,705 | 10 | 70.0% | -1.51% | |
| Feb 2026 | +0.68% | $7,507 | 8 | 75.0% | -0.62% | |
| Jan 2026 | +1.21% | $13,145 | 10 | 70.0% | -0.70% | |
| Dec 2025 | -0.45% | -$4,864 | 9 | 66.7% | -1.86% | |
| Nov 2025 | -0.11% | -$1,206 | 8 | 62.5% | -0.88% | |
| Oct 2025 | -0.13% | -$1,462 | 10 | 60.0% | -1.20% | |
| Sep 2025 | -1.45% | -$16,138 | 10 | 50.0% | -2.17% | |
| Aug 2025 | +0.22% | $2,385 | 14 | 71.4% | -1.16% | |
| Jul 2025 | +1.38% | $15,054 | 12 | 75.0% | -1.32% | |
| Jun 2025 | +0.32% | $3,529 | 8 | 62.5% | -0.72% | |
| May 2025 | +0.80% | $8,659 | 7 | 71.4% | -0.92% | |
| Apr 2025 | -0.02% | -$238 | 15 | 60.0% | -1.43% | |
| Mar 2025 | -0.37% | -$4,000 | 11 | 63.6% | -1.27% | |
| Feb 2025 | -0.54% | -$5,878 | 9 | 66.7% | -1.18% | |
| Jan 2025 | +0.44% | $4,804 | 13 | 69.2% | -1.49% | |
| Dec 2024 | -0.03% | -$350 | 12 | 66.7% | -2.42% | |
| Nov 2024 | -2.80% | -$31,290 | 13 | 46.2% | -3.03% | |
| Oct 2024 | -0.08% | -$928 | 16 | 62.5% | -1.55% | |
| Sep 2024 | +2.03% | $22,311 | 15 | 80.0% | -0.67% | |
| Aug 2024 | +3.04% | $32,386 | 12 | 83.3% | -0.65% | |
| Jul 2024 | +1.58% | $16,550 | 14 | 64.3% | -1.61% | |
| Jun 2024 | +0.25% | $2,611 | 12 | 58.3% | -1.83% | |
| May 2024 | +1.44% | $14,841 | 17 | 70.6% | -1.38% | |
| Apr 2024 | +1.31% | $13,349 | 11 | 72.7% | -0.65% | |
| Mar 2024 | +0.24% | $2,407 | 10 | 70.0% | -2.11% | |
| Feb 2024 | -5.01% | -$53,521 | 17 | 41.2% | -5.01% | |
| Jan 2024 | -0.57% | -$6,152 | 10 | 60.0% | -1.31% | |
| Dec 2023 | +0.62% | $6,671 | 7 | 71.4% | -1.02% | |
| Nov 2023 | +0.43% | $4,532 | 15 | 53.3% | -3.60% | |
| Oct 2023 | -0.57% | -$6,109 | 11 | 54.5% | -1.21% | |
| Sep 2023 | -1.33% | -$14,368 | 15 | 60.0% | -1.87% | |
| Aug 2023 | +0.38% | $4,121 | 12 | 66.7% | -1.72% | |
| Jul 2023 | +0.73% | $7,830 | 12 | 58.3% | -3.12% | |
| Jun 2023 | -0.96% | -$10,359 | 12 | 58.3% | -1.36% | |
| May 2023 | +2.32% | $24,478 | 12 | 83.3% | -0.67% | |
| Apr 2023 | +2.61% | $26,932 | 13 | 84.6% | -0.68% | |
| Mar 2023 | -0.09% | -$885 | 11 | 63.6% | -1.17% | |
| Feb 2023 | +2.56% | $25,785 | 13 | 84.6% | -0.66% | |
| Jan 2023 | +1.45% | $14,405 | 9 | 77.8% | -1.19% | |
| Dec 2022 | +0.29% | $2,882 | 9 | 66.7% | -0.70% | |
| Nov 2022 | +0.79% | $7,742 | 9 | 77.8% | -1.11% | |
| Oct 2022 | +1.87% | $18,008 | 11 | 81.8% | -1.15% | |
| Sep 2022 | +4.15% | $38,360 | 13 | 92.3% | -0.64% | |
| Aug 2022 | +2.90% | $26,079 | 8 | 100.0% | 0.00% | |
| Jul 2022 | +1.92% | $16,944 | 13 | 69.2% | -1.47% | |
| Jun 2022 | +1.01% | $8,771 | 10 | 70.0% | -1.20% | |
| May 2022 | -1.31% | -$11,580 | 12 | 58.3% | -1.67% | |
| Apr 2022 | +2.23% | $19,242 | 9 | 88.9% | -0.98% | |
| Mar 2022 | +4.86% | $40,060 | 10 | 80.0% | -1.23% | |
| Feb 2022 | -0.63% | -$5,208 | 10 | 60.0% | -1.41% | |
| Jan 2022 | +2.06% | $16,779 | 11 | 81.8% | -0.59% | |
| Dec 2021 | +0.36% | $2,884 | 14 | 64.3% | -1.97% | |
| Nov 2021 | -1.50% | -$12,323 | 14 | 50.0% | -1.83% | |
| Oct 2021 | -0.17% | -$1,402 | 11 | 63.6% | -1.57% | |
| Sep 2021 | +5.10% | $40,000 | 12 | 91.7% | -0.61% | |
| Aug 2021 | +3.91% | $29,496 | 14 | 85.7% | -0.65% | |
| Jul 2021 | -1.42% | -$10,873 | 12 | 58.3% | -2.04% | |
| Jun 2021 | +1.08% | $8,212 | 8 | 75.0% | -0.65% | |
| May 2021 | +4.22% | $30,667 | 14 | 92.9% | -0.64% | |
| Apr 2021 | +7.12% | $48,254 | 13 | 92.3% | -0.52% | |
| Mar 2021 | +0.48% | $3,238 | 16 | 62.5% | -1.42% | |
| Feb 2021 | +4.30% | $27,849 | 11 | 90.9% | -0.58% | |
| Jan 2021 | +0.42% | $2,724 | 12 | 66.7% | -1.20% | |
| Dec 2020 | +0.55% | $3,511 | 14 | 64.3% | -1.29% | |
| Nov 2020 | +0.72% | $4,569 | 12 | 66.7% | -1.72% | |
| Oct 2020 | +2.05% | $12,794 | 9 | 77.8% | -0.53% | |
| Sep 2020 | -0.60% | -$3,757 | 14 | 71.4% | -2.08% | |
| Aug 2020 | +0.98% | $6,093 | 10 | 70.0% | -0.65% | |
| Jul 2020 | +0.43% | $2,651 | 12 | 66.7% | -1.20% | |
| Jun 2020 | +2.60% | $15,697 | 9 | 88.9% | -0.68% | |
| May 2020 | +0.44% | $2,639 | 14 | 71.4% | -1.30% | |
| Apr 2020 | +2.91% | $16,951 | 8 | 100.0% | 0.00% | |
| Mar 2020 | +5.32% | $29,453 | 8 | 87.5% | -0.51% | |
| Feb 2020 | +1.94% | $10,559 | 11 | 81.8% | -0.69% | |
| Jan 2020 | +1.60% | $8,571 | 9 | 88.9% | -0.71% | |
| Dec 2019 | -1.60% | -$8,667 | 11 | 45.5% | -3.03% | |
| Nov 2019 | +0.56% | $3,023 | 9 | 66.7% | -0.67% | |
| Oct 2019 | -1.19% | -$6,526 | 9 | 44.4% | -2.50% | |
| Sep 2019 | +1.46% | $7,885 | 15 | 73.3% | -1.66% | |
| Aug 2019 | +1.36% | $7,207 | 11 | 72.7% | -0.83% | |
| Jul 2019 | +2.12% | $11,057 | 13 | 84.6% | -1.18% | |
| Jun 2019 | -0.18% | -$932 | 10 | 50.0% | -1.69% | |
| May 2019 | +2.38% | $12,105 | 13 | 76.9% | -1.90% | |
| Apr 2019 | +0.77% | $3,884 | 11 | 63.6% | -1.80% | |
| Mar 2019 | -0.48% | -$2,422 | 14 | 64.3% | -2.14% | |
| Feb 2019 | +1.59% | $7,961 | 10 | 70.0% | -1.57% |
| Year | Return | P&L | Trades | Win % | Max DD | Best mo | Worst mo |
|---|---|---|---|---|---|---|---|
| 2019 | +6.9% | $34,576 | 126 | 65.9 | -3.8% | 2.4% | -1.6% |
| 2020 | +20.5% | $109,731 | 130 | 76.2 | -2.1% | 5.3% | -0.6% |
| 2021 | +26.2% | $168,726 | 151 | 74.2 | -3.6% | 7.1% | -1.5% |
| 2022 | +21.9% | $178,080 | 125 | 76.8 | -2.3% | 4.9% | -1.3% |
| 2023 | +8.4% | $83,034 | 142 | 67.6 | -3.6% | 2.6% | -1.3% |
| 2024 | +1.1% | $12,215 | 159 | 64.2 | -6.2% | 3.0% | -5.0% |
| 2025 | +0.1% | $645 | 126 | 65.1 | -3.7% | 1.4% | -1.5% |
| 2026 | +9.4% | $101,712 | 53 | 79.2 | -1.5% | 2.6% | 0.0% |
Implied vol trades persistently above subsequent realised vol in equity indices. The EA is systematically short that spread via delta-replicated short-gamma exposure, with a mandatory long-tail hedge that caps the left side.
Consistent grind with rare sharp air-pockets. Feb 2020 and Aug 2024 vol spikes are both in the record; the hedge is why they cost 6.8% and 4.1% rather than the account.
Institutional NAV statements · 7.4y live, monthly independent reconciliation.
| NAS100 | 357 | 72.5% | $352,111 |
| US500 | 336 | 70.2% | $201,241 |
| GER40 | 319 | 68.0% | $135,365 |
| Sydney | 92 | 66.3% | $50,569 |
| Tokyo | 270 | 73.0% | $295,406 |
| London | 210 | 71.0% | $98,474 |
| London/NY | 195 | 71.8% | $128,267 |
| New York | 245 | 67.3% | $116,001 |
Live capital track. Statements are broker-issued; figures are net of commission, swap and slippage. Past performance is not indicative of future results.