We locked in another winning trade last week. Our IWM iron condor had pushed to $0.24 so we decided to lock in over 50% of the original premium sold for an 11.4% return. The trade marked the 15th out of 16 winning trades for the service since we started Quant Trader back in June. If all goes well this week, we should be able to add to our winners by locking in our December bear call spread.
As for adding new positions, nothing has changed from last week. If we see a decent pullback this week, I’ll follow our recent January expiration bear call trade with a bull put spread in January.
Current Portfolio
Open Trades | |||||||
| Open Date | Ticker | Strategy | Trade | Open Price | Current Price | Current Probability | Delta |
| 11/10/2022 | SPY | Bear Call Spread | December 16, 2022 420/425 | $0.65 | $0.77 | 82.49% | 0.08 |
| 12/1/2022 | SPY | Bear Call Spread | January 20, 2023 435/440 | $0.67 | $0.57 | 88.04% | 0.04 |
| Open Date | Closed Date | Ticker | Strategy | Trade | Open Price | Closing Price | Return |
| 6/2/2022 | 6/13/2022 | SPY | Bear Call Spread | July 15, 2022 440/445 | $0.70 | $0.05 | 14.94% |
| 6/8/2022 | 6/17/2022 | XOP | Bear Call Spread | July 15, 2022 190/195 | $0.70 | $0.04 | 15.21% |
| 6/22/2022 | 7/13/2022 | SPY | Bear Call Spread | July 29, 2022 405/410 | $0.75 | $0.35 | 8.70% |
| 6/30/2022 | 7/25/2022 | IWM | Iron Condor | August 19, 2022 195/200 - 145/140 | $0.70 | $0.34 | 7.76% |
| 7/8/2022 | 7/28/2022 | GLD | Bull Put Spread | August 19, 2022 155/150 | $0.60 | $0.16 | 9.65% |
| 7/14/2022 | 8/11/2022 | SPY | Iron Condor | August 19, 2022 417/412 - 335/330 | $0.70 | $4.10 | -68.00% |
| 8/1/2022 | 8/29/2022 | SPY | Bear Call Spread | September 16, 2022 439/444 | $0.70 | $0.07 | 14.42% |
| 8/11/2022 | 8/29/2022 | DIA | Bear Call Spread | September 23, 2022 350/325 | $0.75 | $0.08 | 15.47% |
| 8/11/2022 | 9/8/2022 | IWM | Iron Condor | September 23, 2022 220/215 - 173/168 | $0.77 | $0.57 | 4.17% |
| 9/7/2022 | 9/9/2022 | QQQ | Bull Put Spread | October 21, 2022 260/255 | $0.62 | $0.30 | 6.84% |
| 9/9/2022 | 9/15/2022 | SPY | Bear Call Spread | October 21, 2022 430/435 | $0.75 | $0.25 | 11.11% |
| 9/13/2022 | 10/17/2022 | IWM | Iron Condor | October 21, 2022 208/203 - 163/158 | $0.77 | $0.30 | 10.40% |
| 10/3/2022 | 10/25/2022 | SPY | Bull Put Spread | November 18, 2022 325/320 | $0.54 | $0.09 | 9.89% |
| 10/4/2022 | 11/2/2022 | IWM | Iron Condor | November 18, 2022 198/203 - 143/138 | $0.64 | $0.32 | 6.84% |
| 10/6/2022 | 11/2/2022 | SPY | Bear Call Spread | November 18, 2022 412/416 | $0.43 | $0.28 | 3.90% |
| 11/16/2022 | 11/28/2022 | IWM | Iron Condor | December 16, 2022 205/200 - 162/157 | $0.75 | $0.24 | 11.36% |
Volatility Talk
Well, the VIX finally pushed down to the 20 level and is now at levels last seen back in the middle of August. The next few weeks should give us a good idea where the market is headed over the next few months. As it stands, we have the VIX in a short-term oversold state, sitting in an area of strong support, while simultaneously the S&P 500 is sitting at an area of strong overhead resistance, the 200-day moving average. What breaks? Will we see another push lower or can investors muster up some more bullishness to help pull the market higher as we move towards the end of the year?
Weekly High-Probability Mean Reversion Indicator
Below is my watch list of ETFs and stocks with the most liquid options headed into the week of December 5, 2022.
Here are the various levels I use to determine if an ETF is in an oversold or overbought state.
| Very Overbought | greater than or equal to 80.1 |
| Overbought | 60.1 to 80.0 |
| Neutral | 40.1 to 60 |
| Oversold | 20.1 to 40.0 |
| Very Oversold | less than or equal to 20.0 |
Each week I also include the current implied volatility (IV) and IV Rank. I look for an IV rank above 40, preferably higher.
ETF Watch List – Trade Ideas
| Ticker Symbol | IV | IV Rank | HPMR Oversold - Overbought | |
| ARK Innovation ETF | ARKK | 51.8 | 22.5 | 62 |
| Proshares Bitcoin ETF | BITO | 73.7 | 12.2 | 56.2 |
| SPDR Dow Jones | DIA | 17.6 | 11.4 | 67 |
| iShares MSCI Emerging Markets | EEM | 23.5 | 26.3 | 74.7 |
| iShares MSCI EAFE | EFA | 18.7 | 23.2 | 76.5 |
| iShares MSCI Mexico ETF | EWW | 25.2 | 35.7 | 47.9 |
| iShares MSCI Brazil | EWZ | 44.4 | 47.1 | 62.1 |
| iShares China Large-Cap | FXI | 43.1 | 45.5 | 74 |
| Vaneck Gold Miners | GDX | 39.6 | 42 | 70.9 |
| SPDR Gold | GLD | 14.5 | 5.5 | 72.6 |
| iShares High-Yield | HYG | 12.0 | 27.8 | 66.1 |
| iShares Russell 2000 | IWM | 23.3 | 9.2 | 64.6 |
| SPDR Regional Bank | KRE | 24.1 | 0.4 | 52.3 |
| Vaneck Oil Services | OIH | 43.2 | 13.6 | 57.1 |
| Invesco Nasdaq 100 | QQQ | 24.9 | 21 | 63.6 |
| iShares Silver Trust | SLV | 33.7 | 36.2 | 78.8 |
| Vaneck Semiconductor | SMH | 33.7 | 24.8 | 59.3 |
| SPDR S&P 500 | SPY | 19.3 | 15.5 | 67.6 |
| iShares 20+ Treasury Bond | TLT | 21.1 | 40.1 | 80.7 |
| United States Oil Fund | USO | 42.7 | 25.4 | 50.3 |
| Proshares Ultra VIX Short | UVXY | 92.4 | 7.3 | 19.8 |
| CBOE Market Volatility Index | VIX | 80.5 | 11 | 37 |
| Barclays S&P 500 VIX ETN | VXX | 62.4 | 7.4 | 20.3 |
| SPDR Biotech | XLB | 23.2 | 30.5 | 73.7 |
| SPDR Energy Select | XLE | 32.6 | 28 | 44.2 |
| SPDR Financials | XLF | 22.1 | 7.8 | 57.7 |
| SPDR Utilities | XLU | 20.5 | 31.6 | 63.8 |
| SPDR S&P Oil & Gas Explorer | XOP | 43.8 | 29.9 | 37.1 |
| SPDR Retail | XRT | 34.2 | 18.8 | 63 |
Stock Watch List – Trade Ideas
| Ticker Symbol | IV | IV Rank | HPMR Oversold - Overbought | |
| Apple | AAPL | 30.1 | 30 | 51.9 |
| Bank of America | BAC | 27.5 | 7.2 | 34.7 |
| Bristol-Myers Squibb | BMY | 18.2 | 12.5 | 81 |
| Citigroup | C | 28.9 | 8.1 | 42.1 |
| Caterpillar | CAT | 31.8 | 31.8 | 62.3 |
| Comcast | CMCSA | 32.3 | 34.7 | 64.4 |
| Costco | COST | 22.3 | 12.1 | 28.9 |
| Cisco Systems | CSCO | 28.3 | 18.8 | 75.4 |
| Chevron | CVX | 32.5 | 18.6 | 45.2 |
| Disney | DIS | 23.4 | 23.7 | 60.3 |
| Duke Energy | DUK | 41.4 | 50.9 | 61.6 |
| Fedex | FDX | 24.7 | 29.5 | 69.1 |
| Gilead Sciences | GILD | 35.9 | 7.3 | 86.3 |
| General Motors | GM | 35.1 | 28.3 | 51.4 |
| Intel | INTC | 16.2 | 10.2 | 50.1 |
| Johnson & Johnson | JNJ | 24.3 | 13.8 | 72.1 |
| JP Morgan | JPM | 16.1 | 8.7 | 52.2 |
| Coca-Cola | KO | 21.0 | 11.4 | 86.2 |
| Altria Group | MO | 21.0 | 20.6 | 83.3 |
| Merck | MRK | 26.9 | 9.2 | 83 |
| Morgan Stanley | MS | 27.2 | 15.6 | 65 |
| Microsoft | MSFT | 27.8 | 30 | 70.8 |
| Nextera Energy | NEE | 49.1 | 15.9 | 63.5 |
| Nvidia | NVDA | 22.7 | 8.1 | 64.1 |
| Pfizer | PFE | 46.1 | 19.7 | 77.6 |
| Paypal | PYPL | 27.2 | 12.4 | 24 |
| Starbucks | SBUX | 21.3 | 8.4 | 87.5 |
| AT&T | T | 21.7 | 27.9 | 53.3 |
| Verizon | VZ | 28.4 | 31.5 | 45.4 |
| Walgreens Boots Alliance | WBA | 28.7 | 10.4 | 63.6 |
| Wells Fargo | WFC | 18.8 | 10.1 | 36.5 |
| Walmart | WMT | 30.6 | 17.7 | 71.5 |
| Exxon Mobil | XOM | 29.6 | 22.3 | 39.7 |
Weekly Trade Discussion: Open Positions
*Portfolio updated every Monday
Bear Call: SPY December 16, 2022, 420/425 calls
Original trade published on 11-10-2022 (click to see original alert)
Background: At the time of the trade, SPY was trading for roughly 394.10. We sold the December 16, 2022, SPY 420/425 bear call for $0.65 with an 86.45% probability of success. The expected range was 367 to 414.
Current Thoughts: SPY is currently trading for 406.91 and our bear call is worth $0.77. Our probability of success stands at 83.00% and the probability of touch is 34.03%.
With 11 days left, our SPY bear call spread continues to be in good shape. I expect to take off the position this week for a decent profit if SPY pulls back and we can take off, at least, half of the original premium sold.
Bear Call: SPY January 20, 2023, 435/440 calls
Original trade published on 12-01-2022 (click to see original alert)
Background: At the time of the trade, SPY was trading for roughly 406.89. We sold the January 20, 2023, SPY 435/440 bear call for $0.67 with an 85.98% probability of success. The expected range was 384 to 430.
Current Thoughts: SPY is currently trading for 406.91 and our bear call is worth $0.57. Our probability of success stands at 88.28% and the probability of touch is 23.26%.
With 46 days left, our SPY bear call spread is in great shape. If we see SPY push lower over the next week or so, and we have the ability to take off 50% of the original premium sold, expect to see a closing trade alert.
The next Cabot Options Institute – Quant Trader issue will be published on
December 12, 2022.