Moray Capital Management, LLC


    

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Our Model and Approach

•  We believe that volatility is an asset that should be part of your portfolio,
   and in this environment it is especially crucial to manage your exposure

•  Our proprietary models are built to identify opportunities in equity options
   where we believe volatility is trading significantly above or below its expected
   value for the future

•  The model is long/short neutral, we have no preference in being either long
   or short volatility and believe that to be consistently successful you must do both

•  Models for expected volatility are not perfect (we do not expect them to be),
   which is why you cannot rely on them completely, and will limit your profitability
   if you do

•  We overlay the belief in volatility as an asset with the statistical arbitrage skills
   most commonly used in market making

    → This is why our traders have a strong background and knowledge of both
        quantitative option pricing and the arbitrage relationships in the options market

    → This combination allows alpha and omega to be generated no matter what
        the level of volatility or market environment

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Telephone: 312-432-5070