REOP Index Arbitrage Fund

We sell call options on the case shiller index while quoting and buying individual property call options (REOPs). When there’s a significant price difference Between the two we can lock in the difference as profits. See diagram attached. We borrow capital to satisfy minimum margin requirements for the trade. Because interest rates are high, there’s a strong consumer need for the liquidity generated by selling an option, which has no monthly cost. Typically these are owners in foreclosure. The property owner typically was about to lose their house. Selling off the appreciation and some equity at a discount is better than losing the whole house, especially if they’re getting significant utility out of homeownership at their current low interest rate.