This strategy consists of a combination of a portfolio of bull spreads
with optimal risk-return ratios and a zero coupon bond.
Source of performance
Accurate pricing of options to exploit inefficiencies in volatility
pricing on underlying due to short term catalysts and a high yield
zero coupon bond.

Process

1. Identifying implied volatilities of options.
2. Identifying options with skewed volatilities.
3. Identifying option pairs with optimal risk- return ratios.
4. Allocating a part of the funds in the portfolio of bull spreads.
5. Allocating the balance portion of the funds in high yielding zero
coupon bonds.
6. Monitoring the mark-to-market portfolio value to take advantage of
optimal square-off opportunities.

Main sources of risks
Regulation, Illiquidity, Pricing.