Innovation in volatility trading
Themis Trading, established in 2010, is a company dedicated to proprietary volatility trading in listed options and futures in European Blue Chips and Equity Indices. The company’s main portfolio strategy consists in selling put and call spreads to take advantage of the time decay of these options, meanwhile limiting the non-linear exposure risks by specific hedging techniques, a.o. buying wings and systematic management of the delta and vega risks. Other minor strategies are also implemented on a risk on/risk off basis. The portfolio is managed by a company board member, comprising 3 licensed senior traders with a strong and long track record in equity derivatives trading, combining complementary skills and a trading experience of more than 25 years. Saffelberg Investments holds a majority stake in Themis Trading.
In 2015, the fund has been liquidated.