ICON TrueNAV
Proprietary options system engineered to capture short-term mean reversion while maintaining net-long premium exposure.
Strategy Overview
ICON TrueNAV is a systematic options strategy designed to capture short-term mean-reversion opportunities in equity index options markets while managing downside risk through model-driven hedging protocols. The strategy maintains a net-long premium exposure, benefiting from time decay while systematically selling options when they trade above fair value and buying when they trade below.
By focusing exclusively on near-expiry index options (typically less than 60 days to expiration), ICON TrueNAV exploits short-term pricing inefficiencies that arise from investor sentiment shifts, volatility clustering, and temporary supply-demand imbalances.
Investment Approach
Systematic Entry & Exit
Proprietary valuation models identify options trading above or below fair value. The system buys undervalued options and sells overvalued options, with positions held until reversion to fair value or expiration.
Dynamic Hedging
Model-driven hedge ratios protect against momentum-driven moves that could overwhelm mean-reversion signals. Hedges are adjusted daily based on market conditions and portfolio exposure.
Strategy Combination
Multiple sub-strategies operating across different strike prices, expirations, and delta levels are combined to smooth returns and reduce reliance on any single market regime.
Cumulative Performance (Backtest + Live)
Index: 100 = January 2015. Past performance is not indicative of future results.
Strategy Team
Beno Blass
Quantitative options specialist with extensive experience in systematic volatility trading. Beno developed the core TrueNAV algorithms and oversees daily portfolio management, risk controls, and strategy refinement.
Omer Naveh
Expert in derivatives pricing and statistical arbitrage. Omer leads ongoing research initiatives, backtesting new sub-strategies, and implementing enhancements to the valuation and hedging frameworks.
Risk Disclosures
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