CAF GROUP
 

 

 

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CAF GROUP is a systematic options-underwriting manager. We collect the volatility risk premium that institutions pay to hedge, structured with the capital discipline of a catastrophe reinsurer — capital preservation first.

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WHAT WE DO

Every professional institution must hedge the risk it holds. It is not optional — it is the standard of competent portfolio management. So every trading day, institutions pay a premium to transfer risk they are not permitted to keep.

 

CAF stands on the other side of that transfer. We underwrite that hedging demand and collect the premium. We do not forecast markets and we do not take directional views; we position where the demand is structural and the capital is compelled to move.

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Our instruments are listed and OTC options across FX, equity-index and commodity markets. Our economics are those of an underwriter, not a speculator.

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THE STRATEGY, IN UNDERWRITING TERMS

CAF prices and reserves the way a catastrophe reinsurer approaches low-frequency, high-severity risk.

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Rating basis. We price from the volatility risk premium — the long-documented tendency for implied volatility to sit above realised volatility across FX, index and commodity options. This is our "book rate," the way a new insurer prices from industry loss tables before it has its own claims history.

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Claim frequency. Each position is written at a target band of roughly double-digit-delta, an outcome we price at about a 10% probability of paying out. Most positions expire with the premium retained in full; a minority do not. That is expected, and it is priced for.

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Portfolio-level judgement. Performance is measured across the whole book over a full cycle, the combined ratio of premium collected against losses paid and never evaluated position by position. A single loss is not a failure of the book, any more than a single paid claim is a failure of an insurer.

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Term discipline. Once a position is written, we hold it to expiry rather than trading around it daily. Terms are set, and the premium is allowed to earn out.

It is an underwriting business that happens to use options as its instrument.

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CAPITAL DISCIPLINE

The majority of capital is never at risk. At any time only a minor portion of assets is deployed; the balance is held as solvency capital — reserved, not traded.

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That reserve is not a margin cushion. It is sized the way a reinsurer sizes capital under a solvency framework: for the correlated tail event in which markets move together and diversification fails, rather than for an average trading day.

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WHAT WE DESIGN FOR

Capital preservation is the first constraint; everything else follows from it.

The strategy is engineered for a steady, direction-agnostic return while the large majority of capital sits outside the risk at all times. We do not pursue returns that require the possibility of permanent capital loss. That is a different business, and not ours.

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WHO THIS IS FOR

Family offices, foundations and institutions that prefer insurance-style economics, premium collection, solvency capital, portfolio-level discipline  over directional speculation, and who understand that durable returns often come from standing on the other side of compulsory demand rather than from predicting the future.

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PHILANTHROPY

The founder personally commits to donating his profit share to education and social-impact work. This is a personal allocation by the manager; it does not affect investor returns or the fee structure.

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For qualified and professional investors only. This site is for information and discussion; it is not an offer or solicitation to invest. Options strategies carry risk, including loss of capital; capital preservation is a design objective, not a guarantee. © CAF Group · Blackwell House, Guildhall Yard, London EC2V 5AE