KraneShares Mount Lucas Managed Futures Index Strategy ETF (KMLM) Straddle

Trading a KMLM straddle lets you take a pure volatility position on KraneShares Mount Lucas Managed Futures Index Strategy ETF without committing to a direction. KraneShares Mount Lucas Managed Futures Index Strategy ETF's straddle involves buying (or selling) a call and a put at the same strike and expiration, profiting when the stock moves more (or less) than the combined premium implies. Use our scanner to evaluate KMLM straddle pricing in real time and find the moments when expected moves are mispriced.

A long straddle on KMLM profits from large moves in either direction and is a classic play into binary events like earnings, product announcements, or macro releases. A short straddle profits when KraneShares Mount Lucas Managed Futures Index Strategy ETF stays range-bound and implied volatility contracts. The breakeven points are simple: strike plus total premium on the upside, strike minus total premium on the downside. Comparing the KMLM straddle price to historical realized moves helps you judge whether the market is overpaying or underpaying for volatility.

KMLM focuses on total return using long and short positions, as determined by daily trading signals, in commodity, currency, and global fixed income futures. For tax purposes, KMLM does not hold futures but gets exposure through a wholly-owned Cayman Island subsidiary. On an annual basis, an index committee selects 22 different futures contracts from the three broad categories. Weighting to the three categories is based on historical volatility. The contracts within each category are equally weighted. The portfolio is rebalanced monthly and contracts are rolled on a market-by-market basis as contracts near their expiration.

The fund may also invest in instruments not included in the index such as equities or derivatives including swaps, forwards, structured notes, and options. Before April 1, 2022, the fund was actively managed. It traded as KFA Mount Lucas Index Strategy ETF until November 10, 2022. On August 1, 2024, KFA was replaced with KraneShares in the fund name.

Earnings, product cycles, macro prints — any time volatility itself is the trade, the KMLM straddle is the cleanest expression of that view. Our scanner prices every KMLM straddle against historical realized moves, flags expirations where the market is overpaying or underpaying for vol, and ranks setups by breakeven width and IV rank. Whether you're long a KMLM straddle into a catalyst or short a KMLM straddle to harvest decay, the options straddle setups that matter are all in one place.