Weekly Earnings Commentary
We currently have three open positions due to expire in March, all of which are leaning towards the bearish side of things. As a result, we need to add some positive deltas to the mix, which I intend to do this week. Other than that there really isn’t much to discuss at the moment since we are relatively early in the March expiration cycle.
If you have any questions, please do not hesitate to email me at andy@cabotwealth.com.
Current Portfolio
Open Trades | |||||||
| Open Date | Ticker | Strategy | Trade | Open Price | Current Price | Current Probability | Delta |
| 2/2/2023 | SPY | Bear Call | March 17, 2023 440/445 | $0.63 | $0.26 | 94.05% | -0.03 |
| 2/2/2023 | IWM | Iron Condor | March 17, 2023 175/180 - 215/220 | $0.72 | $0.88 | 97.47% - 75.00% | -0.04 |
| 2/10/2023 | DIA | Bear Call | March 24, 2023 355/360 | $0.70 | $0.67 | 83.01% | -0.07 |
| 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% |
| 11/10/2022 | 12/6/2022 | SPY | Bear Call Spread | December 16, 2022 420/425 | $0.65 | $0.14 | 11.36% |
| 12/1/2022 | 12/6/2022 | SPY | Bear Call Spread | January 20, 2023 435/440 | $0.67 | $0.18 | 10.86% |
| 12/13/2022 | 12/15/2022 | SPY | Bear Call Spread | January 20, 2023 430/435 | $0.54 | $0.17 | 7.99% |
| 12/7/2023 | 1/6/2023 | IWM | Iron Condor | January 20, 2023 202/198 - 160/156 | $0.70 | $0.06 | 19.00% |
| 1/4/2023 | 2/1/2023 | IWM | Iron Condor | February 17, 2023 200/195 - 154/149 | $0.65 | $2.00 | -27.00% |
| 1/6/2023 | 2/2/2023 | SPY | Bear Call Spread | February 17, 2023 415/420 | $0.60 | $2.50 | -38.00% |
Volatility Talk
After hovering below the 20 handle for most of the beginning of 2023, the investor fear gauge finally broke above the key level to close Friday at 20.53. Now the question is will the volatility push through the 50-day moving average and venture higher. If so, we could see continued weakness in the market. One thing is certain: The upcoming CPI will have at least a short-term impact, but once the dust settles I will be paying close attention to how the VIX trades as we move through February expiration and into the beginning of spring.
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 February 13, 2023.
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 | 56.9 | 19.5 | 42.3 |
| Proshares Bitcoin ETF | BITO | 57.0 | 6.5 | 33.2 |
| SPDR Dow Jones | DIA | 18.3 | 15.5 | 50.2 |
| iShares MSCI Emerging Markets | EEM | 20.4 | 8.1 | 33 |
| iShares MSCI EAFE | EFA | 17.0 | 5.1 | 43 |
| iShares MSCI Mexico ETF | EWW | 22.7 | 6.3 | 43.6 |
| iShares MSCI Brazil | EWZ | 35.2 | 26.4 | 37.3 |
| iShares China Large-Cap | FXI | 33.0 | 16.3 | 33.5 |
| Vaneck Gold Miners | GDX | 35.8 | 7.3 | 28.3 |
| SPDR Gold | GLD | 15.2 | 5.3 | 34.1 |
| iShares High-Yield | HYG | 12.2 | 18.6 | 28.3 |
| iShares Russell 2000 | IWM | 24.5 | 16.7 | 46.3 |
| SPDR Regional Bank | KRE | 25.6 | 13.3 | 52.3 |
| Vaneck Oil Services | OIH | 40.4 | 10.1 | 58.6 |
| Invesco Nasdaq 100 | QQQ | 27.5 | 19.6 | 51.4 |
| iShares Silver Trust | SLV | 29.2 | 8.9 | 26 |
| Vaneck Semiconductor | SMH | 35.6 | 19.2 | 51.8 |
| SPDR S&P 500 | SPY | 20.7 | 17.4 | 51.6 |
| iShares 20+ Treasury Bond | TLT | 18.2 | 6.9 | 28.1 |
| United States Oil Fund | USO | 35.2 | 0.3 | 60.4 |
| Proshares Ultra VIX Short | UVXY | 115.0 | 27.3 | 62.4 |
| CBOE Market Volatility Index | VIX | 96.2 | 26.6 | 60.5 |
| Barclays S&P 500 VIX ETN | VXX | 77.9 | 19.6 | 63 |
| SPDR Biotech | XLB | 21.5 | 9.5 | 40.7 |
| SPDR Energy Select | XLE | 29.5 | 10.6 | 60.7 |
| SPDR Financials | XLF | 21.2 | 13.1 | 53.7 |
| SPDR Utilities | XLU | 19.6 | 14.2 | 42.8 |
| SPDR S&P Oil & Gas Explorer | XOP | 38.6 | 8.8 | 58.7 |
| SPDR Retail | XRT | 34.6 | 19.5 | 42.4 |
Stock Watch List – Trade Ideas
| Ticker Symbol | IV | IV Rank | HPMR Oversold - Overbought | |
| Apple | AAPL | 31.6 | 28.8 | 61.2 |
| Bank of America | BAC | 28.2 | 14 | 46.5 |
| Bristol-Myers Squibb | BMY | 22.4 | 23.6 | 43.3 |
| Citigroup | C | 29.4 | 14.4 | 35.9 |
| Caterpillar | CAT | 29.1 | 11.4 | 42.3 |
| Comcast | CMCSA | 28.9 | 13.5 | 39.9 |
| Costco | COST | 29.6 | 20.2 | 42.7 |
| Cisco Systems | CSCO | 34.8 | 44.1 | 42 |
| Chevron | CVX | 28.7 | 4.2 | 47.4 |
| Disney | DIS | 32.7 | 10.3 | 46.8 |
| Duke Energy | DUK | 23.3 | 21 | 37.8 |
| Fedex | FDX | 33.3 | 20.1 | 67.1 |
| Gilead Sciences | GILD | 25.8 | 15.1 | 65 |
| General Motors | GM | 35.7 | 8.3 | 70.3 |
| Intel | INTC | 38.1 | 23.8 | 37.4 |
| Johnson & Johnson | JNJ | 17.9 | 14.5 | 30.5 |
| JP Morgan | JPM | 24.6 | 11.9 | 53.5 |
| Coca-Cola | KO | 22.7 | 34.1 | 32 |
| Altria Group | MO | 20.5 | 5.2 | 67.8 |
| Merck | MRK | 22.1 | 18.9 | 63 |
| Morgan Stanley | MS | 26.7 | 11.5 | 59.6 |
| Microsoft | MSFT | 31.4 | 28.7 | 63.4 |
| Nextera Energy | NEE | 29.1 | 24.6 | 40.1 |
| Nvidia | NVDA | 61.6 | 40.8 | 57.1 |
| Pfizer | PFE | 23.9 | 5.1 | 42.8 |
| Paypal | PYPL | 42.4 | 3.6 | 48.8 |
| Starbucks | SBUX | 26.9 | 13.3 | 52.7 |
| AT&T | T | 23.8 | 14 | 34.7 |
| Verizon | VZ | 23.2 | 20.5 | 34.9 |
| Walgreens Boots Alliance | WBA | 26.6 | 9.4 | 49.2 |
| Wells Fargo | WFC | 27.7 | 9.2 | 64.3 |
| Walmart | WMT | 28.2 | 50.9 | 59.6 |
| Exxon Mobil | XOM | 29.2 | 6.4 | 70.2 |
Weekly Trade Discussion: Open Positions
*Portfolio updated every Monday
Iron Condor: IWM March 17, 2023, 220/215 calls – 180/175 puts
Original trade published on 2-2-2023 (click to see original alert)
Background: At the time of the trade, IWM was trading for 197.85. We sold the March 17, 2023, IWM 220/215 – 180/175 iron condor for $0.72. The expected range was 187 to 208.
Current Thoughts: IWM is currently trading for 190.31 and our iron condor is worth $0.88. Our probability of success stands at 97.43% on the call side and 75.36% on the put side. We will need to keep a close eye on the put side. If the delta of the 180 pushes to 0.30 to 0.35 I intend on making an adjustment.
Call Side:
Put Side:
Bear Call: SPY March 17, 2023, 440/445 Bear Call Spread
Original trade published on 2-2-2023 (click to see original alert)
Background: At the time of the trade, SPY was trading for roughly 416.34. We sold the March 17, 2023, SPY 440/445 bear call spread for $0.63. The expected range was 398 to 435.
Current Thoughts: SPY is currently trading for 408.04 and our bear call spread is worth $0.26. Our probability of success stands at 93.88%. Not much has changed; if SPY continues to push lower this week, we could easily find ourselves with the ability to take off our SPY bear call spread for a decent short-term profit.
Call Side:
Bear Call: DIA March 24, 2023, 355/360 Bear Call Spread
Original trade published on 2-9-2023 (click to see original alert)
Background: At the time of the trade, DIA was trading for roughly 338.17. We sold the March 24, 2023, DIA 355/360 bear call spread for $0.70. The expected range was 323 to 353.
Current Thoughts: DIA is currently trading for 338.73 and our bear call spread is worth $0.67. Our probability of success stands at 82.72%. We are early in the trade so there really isn’t much to discuss at the moment.
Call Side:
The next Cabot Options Institute – Quant Trader issue will be published on
February 21, 2023.
