using market-neutral options trading strategies
Lanzes is a Hedge Fund. In 2005 we started with regular options trading strategies but the risks proved to be a lot larger than the return on our investments. This started our search for a low risk – high return investment strategy.
We are dedicated to develop market neutral options trading strategies by adhering mathematical and statistical methods. Besides that we develop our own trading tools and we occasionally give lectures (in the Netherlands) on market neutral trading strategies.
ROI of 18% Annually
Our flagship program employs a market-neutral strategy designed to generate low-volatility, positive returns in both up and down markets by selling out-of-the-money S&P 500 put and call options. Our goal is to produce a return on investment of 18% annually.
Options Analysis ExcelLanzes Options Excel - The next generation option analysis platform for Excel
Learning a new skill is never easy, but the right tool can often help. If you were learning to fly an aeroplane then you would significantly increase your chances of success (and survival rate!) if you could practise in a flight simulator first. Trading options is no different – it’s about learning the key skills and practising to perfect them under different market conditions. That’s where Lanzes Options Excel can help. Design and backtest options trading strategies.
Lanzes Options Excel keeps track of all adjustments throughout the life of each position giving you the cummulative profit and loss figure, allowing you to concentrate on developing and then executing the best trading decisions. Monitor all your option positions in real-time (data feed required) from a single window. All the information you need to make timely adjustment decisions is presented to you on a single window.
Lanzes Options Excel is developed with simplicity in mind so you can focus on trading instead of learning how to use the software. Lanzes Options Excel requires Microsoft Excel running under Microsoft Windows or Mac OS X. If you want to purchase Lanzes Options Excel or if you want more information. Please sent us an e-mail.
To use the software you have to install the Microsoft Rights Management (RMS) sharing application.
Option Chain DataWe offer end-of-day option chain data going back to January 2001
We offer end-of-day options data going back to January 2001.
Our database covers both North American and European markets – publicly traded options on equities, ETFs and Indexes. Our datasets allow for most advanced historical analysis and comprise both standard and several unique indicators. Earliest options data start January 2001. We usually have options data since the very first day they appear in the market.
We charge €4.00 for a year of data for the full option chain for a stock or index).
For example: for a year of data for the AEX index (IB-symbol “EOE”) we charge €4.00.
You can download a sample file here.
These datasets can be used perfectly with Lanzes Options Excel.
If you want to obtain an option chain data set. Please sent us an e-mail.
BlogHere you will find our publications
The following is an example of how to protect your portfolio against a black swan event. Look back to the flash crash of May 2010. A fund had entered a May OEX butterfly that had been doing reasonably well, until the first week of May. The market began to fall away from the short strikes. At one point the trade was down almost 10% on the butterfly, even after all the hedging and adjusting had been done. Then on May 6, the flash crash happened, and the position made a killing. Why? Because the fund was long what most market makers call “units.” These units enabled the butterfly position, which by itself got killed by the crash, to be protected by the options.read more
VIX is a measure of expected volatility calculated as 100 times the square root of the expected 30-day variance (var) of the S&P 500 rate of return. The variance is annualized and VIX expresses volatility in percentage points. This manner of calculating the VIX...read more
In 1973 Fischer Black and Myron Scholes published the seminal paper for what has become known as Black-Scholes option-pricing theory. Black-Scholes option-pricing theory provided a new way to value stock options, but more importantly it started a revolution in how...read more
When you think back to the analogy of the horse race, you find a number of variables that affect the value of the bet before the end of the race. Time is a major consideration. Position during the race is crucial. But there are other elements of the race that affect the nature of the bet as well.
For example, acceleration changes everything. What if the horse bolts out of the gate far ahead of the pack? Suddenly the odds change dramatically in his favor. So you have to also keep track of acceleration. How about other conditions that could change during the race? A sudden trip could break the horse’s leg. It could start to rain. Lightning could spook the horses. The jockey could fall off. The possibilities go on and on. Depending on the severity of the change, you want some idea of how it affects your trade for better or worse.read more
Some traders believe that good risk management means imposing stop loss on every trade; that is, if a position incurs a certain percent loss, the trader will exit the position. It is a common fallacy to believe that imposing stop loss will prevent the portfolio from suffering catastrophic losses. When a catastrophic event occurs, securities prices will drop discontinuously, so the stop loss orders to exit the positions will only be filled at prices much worse than those before the event. So, by exiting the positions, we are actually realizing the catastrophic loss and not avoiding it. For stop loss to be beneficial, we must believe that we are in a momentum, or trending, regime. In other words, we must believe that the prices will get worse within the expected lifetime of our trade. Otherwise, if the market is mean reverting within that lifetime, we will eventually recoup our losses if we didn’t exit the position too quickly.read more
An option style refers to whether the option contract can be exercised before the expiration date or not. European options cannot be exercised before the expiration date of the option contract. American options can be exercised by the option holder (the option buyer) any time during the life of the contract.
American-style options are options that can be exercised at the strike price anytime before or on the date of expiration. European-style options, on the other hand, are options that can only be exercised at the time of expiration.read more
Simply stated, we can define volatility as a 1 standard deviation (StdDev) price change over the course of one trading year. The value is ￼￼￼￼￼￼￼￼￼￼￼￼￼￼￼￼￼￼￼￼￼￼￼￼￼￼￼￼￼￼￼￼￼￼￼￼￼￼￼￼normally expressed as a percentage of the security price. If a stock trades at $100 with a volatility of 30%, a 1 standard deviation change in a 1 year time frame will raise the price to $130 or lower the price to $70. Using the normal distribution, we can assume a 68% chance that the final price will fall within this range. Some adjustment for interest rates is also necessary. If the risk-free rate of return during this time frame is 5%, a 1 standard deviation price change at year end would be $105 × 30% = $31.50. We would expect the stock to trade between $73.50 and $136.50 68% of the time. This view, however, is somewhat simplistic. A more precise definition of volatility is the standard deviation of the return provided over one year when the return is expressed using continuous compounding.read more
VaR is an estimate of an amount of money. It is based on probabilities, so cannot be relied on with certainty, but is rather a level of confidence which is selected by the user in advance. VaR measures the volatility of a company’s assets, and so the greater the volatility, the higher the probability of loss.read more
Why do most traders lose and wash out of the markets? Emotional and thoughtless trading are two reasons, but there is another. Markets are actually set up so that most traders must lose money. The trading industry kills traders with commissions and slippage. Most amateurs cannot believe this, just as medieval peasants could not believe that tiny invisible germs could kill them. If you ignore slippage and deal with a broker who charges high commissions, you are acting like a peasant who drinks from a communal pool during a cholera epidemic.read more
Treating your trading as a business means accepting the fact that it is just business and you should not take it personally. When you lose money on a trade, it is not a personal attack on your character or a conspiracy by the underlying security to ruin you. Losses are a part of trading and no matter how successful you become, you will always experience losses. That is why we focus so much attention on risk and trade management, so that those inevitable losses will not hurt you.read more
You must test each indicator, rule, and method before including them in your trading system. Many traders do this by dumping historical data into testing software and obtaining a printout of their system’s param- eters. The profit-loss ratio, the biggest and the smallest profit or loss, the average profit and loss, the longest winning and losing streaks, the average profit, and the average or the maximum drawdowns give the appearance of objectivity and solidity. Those printouts provide a false sense of security.read more
About UsWho we are and what we do
Lanzes, which was founded in july 2007, is a Hedge Fund dedicated to producing superior returns for its owners by adhering mathematical and statistical methods in options trading. Our mission is to generate (additional) income with options trading. We do this by using a unique strategy for trading index options which is opposite of the buy and sell method of trading options. What we do is sell options using our market-neutral strategy which is based on mathematical and statistical methods.
About market-neutral option trading strategies
A Market-neutral option strategy is a strategy where the market direction is of no importance. A position is set-up by the actual level of the market index. The position will only be adjusted if market movements break the pre-defined control variables. Predictions and forecasts are strictly forbidden and not used to make adjustments. Our market-neutral strategy is based on the fact that nobody can predict market movements and therefore its best to maintain a market independent (delta-neutral) position. Also we do not believe in fundamental and technical analysis, however, we do believe in quantitative finance. Our Market-neutral strategy consists of the combination of written options, whether or not combined with futures, and purchased options to reduce the risk. We use time in our advantage and watch the options premium evaporate. This system is, without knowledge and experience, not without risk and can be seen as a profession what needs to be learned. If you master the profession a nice income, between 16% and 24% annually, can be generated.
About the founders
The people behind Lanzes are Mr. Jean-Paul Lansdaal and Mr. Hans Verbruggen both Master in Economics and “Registeraccountant” which is the Dutch equivalent of Certified Public Accountant. Mr. Jean-Paul Lansdaal is working as a Manager Risk and Control for a large Dutch financial institution and Mr. Hans Verbruggen is the CFO of a Dutch telecom company. In 2005 we started with regular share and option trading strategies but the stress and risks proved to be a lot larger than the return on our investments. This started our search for a low risk – high return investment strategy. The market-neutral strategy we are now using since 2007 is relatively unknown and as a result we had to develop our own mathematical and statistical models.
Contact UsIf you have questions, we would love to help.
You can contact us by email.
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We are located in the Netherlands.
Address: A Gaudipark
4382 KD, Vlissingen
Hours of Operation
We are trading when the NYSE is open.
Mon–Fri: 9.30 am to 4:00 p.m. ET