Advising the Affluent: Building High Net Worth Relationships With SMA Option Income
Advising the Affluent: Building High Net Worth Relationships With SMA Option Income
Guest Author: Rob Emrich III, Founder, Managing Partner, Acruence Capital
客座作者:Acruence Capital創始人、管理合夥人Rob Emrich III
Make no mistake about it: option income is here to stay. The proliferation of option strategies to generate income (risk premia) and the growth of Exchange-Traded Funds (ETFs) have been remarkable in the last five years with AUM growing from approximately $2 billion in 2019 to over $77.7 billion as of March 28, 2024 (see chart 1). ETFs are highly attractive vehicles for option strategies for various reasons, including tax efficiency, exchange listings for easy purchase and daily transparency.
毫無疑問:期權收入已經來臨。過去五年中,以產生收入(風險溢價)的期權策略的泛濫和交易基金(ETF)的增長令人矚目,資產管理規模從2019年的約20億美元增長到2024年3月28日的超過777億美元(見圖表1)。ETF由於具有許多優勢而成爲期權策略的極具吸引力的工具,其中包括稅收效率、易於購買的交易所上市和每日透明度。
Chart 1
圖1
![](https://news-test.futunn.com/public/MM-PersistNewsContentImage/7781/20240606/1-8cc6c5e4ced32da68f090708b1192fc9-0-5d54340f9713eede889609a50f890926.png/big)
Source: Cboe Global Markets
來源:芝加哥期權交易所
Undoubtedly, the landscape of investment income is undergoing a transformation that is both dynamic and enduring. The integration of option strategies as a means to generate income has seen a significant surge in the last five years, marking a particularly notable expansion. Exchange-Traded Funds (ETFs), in this context, stand out as highly appealing instruments for implementing these option strategies. Their allure can be attributed to a host of advantages: they offer tax efficiency, are readily available on exchanges for convenient trading and boast a high degree of transparency. We have found that high net worth individuals, particularly those with a liquid net worth exceeding $5 million, often opt for separately managed accounts.
毫無疑問,投資收入的投資環境正在經歷一場既動態又持久的轉型。過去五年中,利用期權策略產生收入的整合已經出現了顯著的增長,標誌着一種特別引人注目的擴張。在這種情況下,交易基金(ETF)尤其突出,成爲實施這些期權策略的極具吸引力的工具。它們的吸引力歸因於許多優勢:它們提供稅收效率,方便交易所交易,並具有高度的透明度。我們發現,高淨值個人,特別是那些流動淨值超過500萬美元的個人,經常選擇分開管理的帳户。
This article will discuss several reasons for this preference, including customization and the ability to use leverage. We'll also discuss the favorable tax treatment of the preferred contracts, and some lesser-known tax benefits, of which many advisors and even CPAs may not be aware.
本文將討論這種偏好的幾個原因,包括定製和使用槓桿的能力。我們還將討論優先合同的有利稅收待遇,以及一些很少被人知道的稅收好處,其中許多顧問甚至註冊會計師可能不知道。
Most put-write strategies in the marketplace share common features: a fixed tenor, a fixed strike distance, and the potential for significant drawdowns, as the sold puts are typically uncapped. Using these strategies within a separately managed account allows for extensive customization. However, we advise exercising caution, as excessive complexity can adversely affect the strategy's resilience and consistency. We have identified several areas where customization can enhance robustness.
市場上的大多數看跌策略具有共同點:固定的限期、固定的行權價距離,以及潛在的重大回撤,因爲出售的看跌期權通常是無上限的。在分開管理的帳户中使用這些策略可以進行廣泛的定製。然而,我們建議行使謹慎,因爲過度的複雜性可能會對策略的彈性和一致性產生不利影響。我們已經確定了幾個可以增強韌性的領域。
Distance of Sold Put from Spot
距離現價的看跌期權的距離
One approach is to dynamically adjust the sold put's distance from the current spot price (percent out-of-the-money). Unlike the Cboe PutWrite Index, which always writes put options at the money; varying the distance based on volatility or variance parameters provides a cushion. This adjustment produces a buffer zone which allows some market downturn without immediately affecting capital. However, there is a trade-off: while it may better preserve capital, it could result in lower premiums, as the distance from spot increases, premiums tend to decrease (see chart 2). This strategy can also potentially reduce variability and drawdowns, which could improve client retention by encouraging continued investment and potentially lead to better outcomes.
一種方法是根據當前現價(超出當前價格的百分比)動態調整看跌期權的距離。與Cboe PutWrite Index不同,Cboe PutWrite Index總是在當前的買賣價格(ATM)寫入看跌期權。根據波動性或方差參數變化的距離提供了一個緩衝區。這種調整產生一個緩衝區,允許市場下跌一定程度而不立即影響資本。然而,存在一個權衡:雖然它可能更好地維護資本,但隨着離現價的距離增加,保費 tend to 減少。這種策略還可以潛在地降低變化性和回撤,從而通過鼓勵繼續投資來提高客戶保留率,從而潛在地帶來更好的結果。
Chart 2
圖表2
![](https://news-test.futunn.com/public/MM-PersistNewsContentImage/7781/20240606/1-8cc6c5e4ced32da68f090708b1192fc9-1-b7c9ac5a1238fa33a05e877c8db3e9b1.png/big)
Source: Bloomberg Professional and WallachBeth Capital LLC
來源:Bloomberg Professional和WallachBeth Capital LLC
Customization
定製
Use a Put-Spread
使用看跌期權價差
Use of a put spread can significantly reduce downside exposure. Instead of selling a single leg (put) and exposing the client to undefined loss, a put spread with a clearly defined maximum loss, tailored to the client's risk tolerance, is often more attractive to investors. It allows them to remain invested with reduced risk, although it typically generates slightly lower income due to the cost of the purchased put that serves to cap the downside.
使用看跌期權價差可以顯著降低下行風險。與出售單個腿(看跌期權)並使客戶面臨無限損失的方法相比,使用具有明確定義的最大損失的適合客戶風險承受力的看跌期權價差對投資者更具吸引力。這使他們可以減少風險而保持投資,儘管由於購買的看跌期權成本導致其通常產生稍低的收入而限制了其收益下限。
Sell Puts Within a Desired Income Range
在所需收入範圍內出售看跌期權
This parameter can have the benefit of reducing risk. A hypothetical example: In a low volatility regime (VIX 25) it may be possible to sell the put 10% OTM and still achieve the 7% annualized income target and reduce the probability of the sold put expiring ITM (in-the-money). This approach helps clients understand the associated risks: a strategy aiming for a 20% option premium inherently carries more risk than one aiming for 5%. While income targets offer no guarantees, they guide investors on the potential risk involved in option placements. The goal is to clearly communicate risk, not to promote the "income". Be mindful of industry regulations that prevent targeting specific returns.
該參數可以有助於降低風險。一個假想的例子:在低波動率的環境中(VIX25),則可能會將看跌期權賣出至超出當前價格的10% out-of-the-money 並仍能實現7%的年化收入目標,從而降低看跌期權到期時處於內在價值(in-the-money)的概率。該方法有助於客戶理解相關風險:旨在獲得20%期權溢價的策略固有地承擔更多的風險,而旨在獲得5%溢價的策略則固有地承擔更少的風險。儘管收入目標沒有任何保證,但它們以應對風險的方式引導投資者進行期權考慮。目標是明確傳達風險,而不是促進“收入”。請注意,行業法規禁止針對特定回報的定位。
Add an On/Off Switch
添加一個開關
Based on our experience with put selling strategies during periods of high volatility (such as those in 2008 and 2020), we have observed that some clients prefer to move to cash which has significant implications for reentry. Consequently, it may be beneficial to devise a signal within your strategy that either diminishes exposure or deactivates the strategy entirely during times of increased volatility. While it is recognized that some of the richest premiums can be found during these tumultuous periods, such volatility may not be suitable for all investors. Implementing an on/off switch could effectively alleviate their concerns.
根據我們對看跌策略在高波動性期間(例如2008年和2020年)的經驗,我們觀察到,某些客戶更喜歡轉移到現金,這會對重新進入市場產生重大影響。因此,在增加波動性時,在你的策略中設計一個信號,要麼減少敞口,要麼完全停用該策略,可能會有利。雖然我們認識到在這些動盪時期可以找到一些最豐厚的保費,但這些波動可能不適合所有投資者。實施on/off開關可以有效緩解他們的擔憂。
Staggered Strikes and Tenor
錯開的行權價和期限
Staggering the strikes when selling put options can diminish the probability of those options expiring in the money. For instance, instead of selling the entire strategy's options 2% out of the money, one could distribute the strikes more diversely—1%, 2%, and 3% out of the money—allocating approximately 33% of the capital evenly across these strikes. This approach might be more appealing to certain investors who are prone to fixating on a single strike price each month, and it could also alleviate client anxiety at the time of option expiration. Moreover, the integration of staggered expirations may contribute to a reduction in client stress and aid in moderating volatility. For example, clients might opt for an assortment of expiration periods, such as 2, 3, and 4 weeks, or 30, 60, and 90 days, as opposed to adhering to the conventional "30-day standard." However, the trade-off for employing staggered strikes and expirations may make it more challenging to understand for both clients and advisors.
錯開看跌期權的行權價可以降低這些期權到期時變爲內在價值的概率。例如,與其將整個策略的選項從錢外2%賣出,不妨更加分散地分配這些行權價,向錢外1%、2%和3%分散分配,以大約均勻地將33%的資本分配到這些行權價上。這種方法對某些傾向於每個月盯住一個單一行權價的投資者更有吸引力,它還可以在期權到期時減輕客戶的焦慮。此外,錯開的到期期限可能有助於降低客戶的壓力,並有助於調節波動性。例如,客戶可以選擇不同的到期週期,例如2、3和4周,或30、60和90天,而不是堅持常規的“30天標準”。然而,採用錯版行權價和到期期限的權衡可能會使客戶和顧問都更難理解。
Add a "Grace Period"
添加一個“寬限期”
Allow a few trading days for expiration before a new option is required to be placed. For instance, the Cboe PutWrite Index typically writes puts the next immediate trading session after expiry. This can be problematic when there is a binary event with the potential to significantly move the markets. For example, it may be preferable to wait until after a non-farm payroll report, the outcome of a Federal Reserve meeting, or an election, rather than unnecessarily exposing the client to a significant event with an unpredictable outcome akin to a coin toss.
在到期前幾個交易日,需要進行新期權投資。比如,Cboe PutWrite指數通常會在到期後的下一個交易日寫空認購期權。當市場存在一個可能會顯著影響市場的二元事件時,這可能會成爲問題。例如,如果非農就業報告、聯邦儲備會議或選舉的結果需要等待,那麼最好等到這些事件結束後再進行交易,而不是讓客戶暴露在像拋硬幣一樣不可預測的重大風險中。
Use of "Smart" Leverage
使用“聰明的”槓桿
When an investor uses options to leverage their position, they amplify the potential returns on their investment. However, leverage is a double-edged sword. While it can magnify gains, it can magnify losses, using put spreads allows for the "dialing-in" of risk to the exact levels suitable for the investor. Smart Leverage in options is using option spreads to exactly define maximum loss and NEVER exceeding those levels.
當投資者使用期權加槓桿時,他們可以放大其投資的潛在回報。然而,槓桿是一把雙刃劍。雖然它可以放大收益,但它也可以放大虧損。使用看跌期權套戥可以將風險精確地調到適合投資者的水平。期權中的“聰明槓杆”是指使用期權套戥來準確定義最大虧損並永遠不超過這些級別。
Let's walk through an example of using leverage with defined risk: (see chart 3)
讓我們通過一個槓桿使用的定義風險的例子來理解:(見圖3)
The advisor has determined suitability and decided to implement a put-spread strategy to potentially increase risk-adjusted returns. The investor has a $10 million portfolio, with $6 million allocated to equities and $4 million to bonds. The advisor aims to generate approximately $200,000 in annual income (risk premia), which is equivalent to 5% of the $4 million. Therefore, she allocates a notional value of $4 million to the 30-day put spread strategy and opts to cap the maximum loss of the put-spread strategy at 6% of the total portfolio value; 6% of $10 million equals $600,000. Consequently, the maximum loss on the spread amounts to 15% of the $4 million, which will occur only if the S&P 500 falls by 15% or more. The investor uses the bonds in the portfolio as "collateral" for the $600,000.
顧問已確定適宜性並決定實施看跌期權套戥策略以潛在地增加風險調整後的回報。投資者有1000萬美元的投資組合,其中600萬美元用於股票,400萬美元用於債券。顧問旨在產生約20萬美元的年收入(風險溢價),相當於400萬美元的5%。因此,她將400萬美元的名義價值分配給30天期的看跌期權套戥策略,並決定將看跌期權套戥策略的最大虧損限制在總投資組合價值的6%以下;1000萬美元的6%等於600000美元。因此,她的套戥策略的最大虧損只佔400萬美元的15%,這隻會在標普500指數下跌15%或以上的情況下出現。投資者使用投資組合中的債券作爲交納600,000美元的擔保。
At present, XSP (1/10 of SPX) is trading at 504. The advisor determines that selling the 488 strike in 30 days (premiums omitted for simplicity) will satisfy the 5% income target she has set. She divides $4 million (notional value to layer on the portfolio) by $48,800 (488 x 100) to arrive at 82 contracts. To cap the downside at 15%, she selects 415 as the other "leg" of her trade (415 is 15% below 488). The spread, selling 82 XSP Put 488 and buying 82 XSP Put 415, is sold for a "credit" with the options expiring in 30 days. XSP options are European style, meaning they can only be exercised at expiration (although they can be sold in the secondary market at any time). If the XSP is trading above the sold strike of 488, the proceeds from the spread will be booked as profit (income). If XSP trades below 488 at expiration, resulting in a loss, the investor can choose to:
目前,XSP( 1/10 of SPX)交易價格爲504。顧問確定在30天內賣出488行權價格的期權(簡化起見,不考慮保費)可滿足她設定的5%收入目標。她將400萬美元(投資組合的名義價值)除以48,800美元(488 x 100)得出82個合同。爲了將下行風險限制在15%以下,她選擇另一個腿爲415(比488低15%)。擔保使用放空認購期權,即賣出82份 XSP Put 488,買入82份 XSP Put 415,以期權價值的“信貸”出售期權,並在30天后到期。XSP期權是歐式期權,意味着只有在到期時才可以行權(儘管它們可以在二級市場上隨時出售)。如果XSP行權價格高於488,則收益將被列爲利潤(收入)。如果在到期日時XSP交易價格低於488,導致虧損,投資者可以選擇:
Use margin to cover loss with hopes to pay off margin with future gains
Sell the collateral
Use funds from another source
使用按金承擔損失,希望用未來的收益抵消按金
出售擔保物
使用其他資金
Chart 3
圖表3
![](https://news-test.futunn.com/public/MM-PersistNewsContentImage/7781/20240606/1-8cc6c5e4ced32da68f090708b1192fc9-2-bba56990b63daf5464f3bc60cb8db83d.png/big)
Tax Advantages
稅務優勢
The benefits of 1256 contracts are not well-known in the retail advisory space by either advisors or clients. Our recommendation is for advisors to educate themselves on both options, 1256 contracts, and the potential tax advantages afforded to their clients. Index options that qualify as Section 1256 contracts benefit from the 60/40 rule. * According to IRS Publication 550 "Under the marked-to -market system 60% of your capital gain or loss will be treated as a long-term capital gain or loss and 40% will be treated as a short-term capital gain or loss. This is true regardless of how long you actually held the property."
1256合同的好處在零售顧問領域內很少爲顧問或客戶所知。我們建議顧問了解這兩種期權,了解160合同所帶來的潛在稅務優勢。可以作爲1256合同的參考標準的指數期權可從60/40法則中受益。 * 根據IRS550號出版物“根據市場標記制度,你的資本收益或損失的60%將被視爲長期資本收益或損失,40%將被視爲短期資本收益或損失。這適用於無論你實際持有財產多長時間。”
As previously mentioned, there is one potential tax benefit of 1256 contracts that is rarely discussed. *The loss carryback election afforded to 1256 contracts is, in my opinion, a game-changer. From IRS Publication 550: "An individual having a net section 1256 contracts loss can generally elect to carry this loss back three years instead of over to the next year the laws carried back to any year under this election cannot be more than the net section 1256 contracts gained in that year."
正如先前提到的,1256合同有一個潛在的少有人談及的稅收優惠。 *我們認爲1256合同擁有的虧損結轉權是一個改變遊戲規則的因素。根據IRS 550號出版物:“持有淨1256合同虧損的個人通常可以選擇將此損失往前推三年,而不是將此損失延遲到下一年。藉助此選項往前移的任何年度的1256合同淨收益總和不能超過該年度所獲得的1256合同淨收益總和。
In our experience, advisors with knowledge of this domain tend to experience enhanced client retention and benefit from increased referral rates from CPAs. These referrals are based on merit rather than the anticipation of reciprocal actions, indicating that CPAs recognize and trust the advisor's expertise to provide superior counsel to their clients.
根據我們的經驗,了解這一領域的顧問往往會提高客戶保留率,並從註冊會計師那裏獲得增加的推薦率。這些引薦是基於卓越表現而非預期的相互行動,表明會計師認識和信任顧問在爲客戶提供超級諮詢方面的專業知識。
Cboe Global Markets offers an impressive array of resources that can significantly enhance your ability to serve your clients effectively. By leveraging these tools, you may even enhance client outcomes. I firmly believe that the most effective advisors are those who consistently push beyond their comfort zones, committing to continuous learning for the ultimate benefit of their clients.
芝加哥期權交易所提供了一系列令人印象深刻的資源,可以顯著增強您有效服務客戶的能力。通過利用這些工具,您甚至可以提高客戶的業績。我堅信,最有效的顧問是那些始終超越自己的舒適區,致力於持續學習,以實現客戶的最終效益。
*Please consult a tax attorney or CPA, as I am not a tax expert or CPA
*請諮詢稅務律師或會計師,因爲我不是稅務專家或會計師
About the Author
關於作者
Rob Emrich has over 20 years of investment experience. Rob began his financial services career in 2000 as a financial advisor with Morgan Stanley. He has since worked in the fields of consulting services and money management, including his work as Vice President with Alliance Bernstein and Director with Janus Capital, where he raised over $1 billion for these investment managers.
羅布·艾默裏奇具有20年的投資經驗。2000年,羅布以摩根士丹利的財務顧問身份開始了他的金融服務生涯。此後,他曾在諮詢服務和資產管理領域工作,包括擔任Alliance Bernstein的副總裁和Janus Capital的董事,爲這些投資管理公司籌集了10億美元以上的資金。
In 2010, he developed an algorithmic commodity trading system and ran a portfolio for four years, trading over $4 billion in notional value of oil and gas, interest rate and foreign currency futures. Rob is currently involved in developing and managing investment strategies, including the use of index options for hedging market risk and volatility. Rob has been quoted extensively on his market insight by Forbes, CNN Business, Business Insider, Wharton Business Radio and Yahoo Finance.
2010年,他開發了一種算法商品交易系統,併爲四年統計了交易量超過40億美元的油氣、利率和外匯期貨。羅布目前正在開發和管理投資策略,包括使用指數期權來對沖市場風險和波動性。羅布的市場見解被《福布斯》、CNN商業、商業內幕、沃頓商業廣播和雅虎金融廣泛引用。
This article is part of Cboe's Guest Author Series, where firms and individuals share their insights, strategies and ideas with the broader Cboe community. Interested in contributing? Email [email protected] or contact your Cboe representative to learn more.
本文是芝加哥期權交易所客座作者系列的一部分,其中公司和個人與更廣泛的芝加哥期權交易所社區分享他們的見解、策略和思想。有興趣貢獻文章嗎?請電子郵件聯繫 [email protected] 或聯繫您的芝加哥期權交易所代表,以了解更多信息。
Disclaimer: There are important risks associated with transacting in any of the Cboe Company products or any digital assets discussed here. Before engaging in any transactions in those products or digital assets, it is important for market participants to carefully review the disclosures and disclaimers contained at: . These products and digital assets are complex and are suitable only for sophisticated market participants. These products involve the risk of loss, which can be substantial and, depending on the type of product, can exceed the amount of money deposited in establishing the position. Market participants should put at risk only funds that they can afford to lose without affecting their lifestyle. The views of any third-party speakers or third-party materials are their own and do not necessarily represent the views of any Cboe Company. That content should not be construed as an endorsement or an indication by Cboe of the value of any non-Cboe financial product or service described.
免責聲明:交易Cboe公司的產品或數字資產存在重要風險,對此進行任何交易之前,市場參與者應仔細查閱以下網站中包含的披露和免責聲明:。這些產品和數字資產非常複雜,僅適合複雜的市場參與者。這些產品涉及損失風險,該風險可能很大,具體取決於產品類型,可能超過建立頭寸時存入的金額。市場參與者只應將他們能夠承受的不會影響其生活方式的資金放在風險中。任何第三方的發言或第三方材料的觀點皆歸其所有人所有,不代表Cboe公司的觀點。這些內容不應被視爲Cboe對所描述的任何非Cboe金融產品或服務價值的認可或指示。