Download - Levitas presentation
• Leading Managers of Volatility as an Asset Class.
• Quantitatively Driven Investment Process.
• Advanced Risk Management System.
• Proven Superior Risk Adjusted Returns.
• A Strong 3 Member Investment Management Team combining Market Experience with
Technical Knowledge.
• Based in Sydney and Established in 2013 by the Founder David O’Halloran.
• Servicing Clients in Australia, Singapore and Hong Kong.
ABOUT LEVITAS CAPITAL
Segregated Cash Account Segregated Securities Account
Legend
Cashflow
Investment Management
Capital (Investment)
Capital (Withdrawals)
IB audited Fees Trades
Profit & Loss
Client
Complete Segregation of Investment ownership and management
Securities Flow
IB audited Portfolio Reporting
Trade Execution, Custody & Portfolio Reporting
SECURITY OF CLIENT ASSETS
Clients Managed Account assets are held in the client’s name at Interactive Brokers. Clients have access to daily and monthly position statements for full transparency of their investment. There are no fees to open or close a managed account. There are no set time frames with managed accounts.
FINANCIAL & PERFORMANCE REPORTING
Monthly performance reports received by email and/or mail.
Online access to view live portfolio value and holdings.
Annual financial and performance reports received by email and/or mail.
HOW TO INVEST
Review the Fact Sheet, Information Memorandum & the Financial Services Guide. Available on our website.
Complete the Application and send to Levitas Capital along with required documents. Available on our website.
You will receive deposit instructions to fund your account. Take these to your bank to arrange the transfer. Funds are transferred in AUD into the Bank of America Sydney Branch for benefit of your account.
Your Account
CBOE 6
WHAT IS THE VIX?
A “pure play” on implied volatility, independent of the direction and level of the underlying assets price.
Derived from S&P 500 Index option prices.
Underlying Asset Price Strike Price Time Until Expiration Interest Rates Implied Volatility
= Option Premium
Calculated from nearby expirations for constant 30 – day volatility measure.
Implied Volatility is the expected movement of an underlying asset over the next 30 day period, which is then annualized.
Variables of Option Pricing based on the Black Scholes Model
OR
Underlying Asset Price Strike Price Time Until Expiration Interest Rates Option Premium
= Implied Volatility
Variables of Option Pricing based on the Black Scholes Model:
Term Structure & Pricing Characteristics
53% premium, annualised 70%
Source: CBOE and Bloomberg
UNIQUE CHARACTERISTICS OF VOLATILITY
Negatively correlated to equities
The VIX (Implied Volatility) trades at a premium to Realised Volatility, one sign of the “insurance premium” built into the pricing.
Volatility is Mean Reverting. Spikes are quickly followed by moves to the longer term base.
Source: Bloomberg & Levitas Capital
Term Structure & Pricing Characteristics
53% premium, annualised 70%
Source: CBOE and Bloomberg
UNIQUE CHARACTERISTICS OF VOLATILITY
The spot VIX is only a measurement, it can’t be traded. You can only access the VIX through futures or options that generally trade at significant premiums to the spot. Adding a further complexity to an investment decision.