Bayou City

Capital, LP

Fund Investment Objectives

The trading strategy employed by BAYOU CITY CAPITAL is based upon two primary premises (i) that the overall direction of the stock market, as represented by the S&P 500 Index, is positive in the long term, and (ii) options traded on the S&P 500 Index are statistically over-priced over time, relative to the actual underlying realized movement of the Index itself. Bayou City Capital trades in the S&P 500 futures markets at the Chicago Mercantile Exchange. Using a thoughtful and systematic methodology, Bayou City Capital sells option premium at or close to where the market is currently trading while simultaneously maintaining a slightly long market bias.