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Quant Trader
Expert-Level Options for Sophisticated Traders

Cabot Options Institute – Quant Trader Issue: February 21, 2023

Weekly Earnings Commentary

We locked in our first profit since our two losing trades back at the beginning of February, near the near-term highs for the S&P 500.

Our SPY March 17, 2023, 440/445 bear call spread that we sold for $0.63 on February 2 was only worth $0.15 after the pullback in SPY mid-week. As a result, we decided to lock in the $0.48, or 10.6%, and take all risk off the table. With over three weeks left in the trade it didn’t make sense to continue to hold on to the trade for the potential to make an additional $0.15. By taking the trade off early we eliminate all risk and are able to use our trade capital for other opportunities. My hope is that we see an opportunity or two come our way this week as I would love to add a few more spreads to the mix.

If you have any questions, please do not hesitate to email me at

Current Portfolio

Open Trades

Open DateTickerStrategyTradeOpen PriceCurrent PriceCurrent ProbabilityDelta
2/2/2023IWMIron CondorMarch 17, 2023 175/180 - 215/220$0.72 $0.51 98.10% - 83.44%0.05
2/10/2023DIABear CallMarch 24, 2023 355/360 $0.70 $0.51 83.01%-0.06
Open DateClosed DateTickerStrategy TradeOpen PriceClosing PriceReturn
6/2/20226/13/2022SPYBear Call SpreadJuly 15, 2022 440/445 $0.70 $0.05 14.94%
6/8/20226/17/2022XOPBear Call SpreadJuly 15, 2022 190/195$0.70 $0.04 15.21%
6/22/20227/13/2022SPYBear Call SpreadJuly 29, 2022 405/410$0.75 $0.35 8.70%
6/30/20227/25/2022IWMIron CondorAugust 19, 2022 195/200 - 145/140$0.70 $0.34 7.76%
7/8/20227/28/2022GLDBull Put SpreadAugust 19, 2022 155/150 $0.60 $0.16 9.65%
7/14/20228/11/2022SPYIron CondorAugust 19, 2022 417/412 - 335/330$0.70 $4.10 -68.00%
8/1/20228/29/2022SPYBear Call SpreadSeptember 16, 2022 439/444$0.70 $0.07 14.42%
8/11/20228/29/2022DIABear Call SpreadSeptember 23, 2022 350/325$0.75 $0.08 15.47%
8/11/20229/8/2022IWMIron CondorSeptember 23, 2022 220/215 - 173/168$0.77 $0.57 4.17%
9/7/20229/9/2022QQQBull Put SpreadOctober 21, 2022 260/255$0.62 $0.30 6.84%
9/9/20229/15/2022SPYBear Call SpreadOctober 21, 2022 430/435$0.75 $0.25 11.11%
9/13/202210/17/2022IWMIron CondorOctober 21, 2022 208/203 - 163/158$0.77 $0.30 10.40%
10/3/202210/25/2022SPYBull Put SpreadNovember 18, 2022 325/320 $0.54 $0.09 9.89%
10/4/202211/2/2022IWMIron CondorNovember 18, 2022 198/203 - 143/138$0.64 $0.32 6.84%
10/6/202211/2/2022SPYBear Call SpreadNovember 18, 2022 412/416$0.43 $0.28 3.90%
11/16/202211/28/2022IWMIron CondorDecember 16, 2022 205/200 - 162/157$0.75 $0.24 11.36%
11/10/202212/6/2022SPYBear Call SpreadDecember 16, 2022 420/425$0.65 $0.14 11.36%
12/1/202212/6/2022SPYBear Call SpreadJanuary 20, 2023 435/440$0.67 $0.18 10.86%
12/13/202212/15/2022SPYBear Call SpreadJanuary 20, 2023 430/435$0.54 $0.17 7.99%
12/7/20231/6/2023IWMIron CondorJanuary 20, 2023 202/198 - 160/156$0.70 $0.06 19.00%
1/4/20232/1/2023IWMIron CondorFebruary 17, 2023 200/195 - 154/149$0.65 $2.00 -27.00%
1/6/20232/2/2023SPYBear Call SpreadFebruary 17, 2023 415/420 $0.60 $2.50 -38.00%
2/2/20232/15/2023SPYBear Call SpreadMarch 17, 2023 440/445$0.63 $0.15 10.62%

Volatility Talk

The VIX continues to trade in a range, albeit now at the top of the near-term range. For roughly a month we’ve seen volatility bounce between 18 and 20. Will this time be different? The news cycle is certainly trying its hardest to create fear in the market with ongoing geopolitical tensions seemingly ramping up again, persistent inflationary concerns and a market that has pushed higher since October and now is showing signs of fatigue. No matter the reason, if we continue to see a pullback, the VIX should certainly get back on track and push higher. How far is anyone’s guess, but the hope is that we can continue to consistently sell premium at elevated levels.


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 20, 2023.

Here are the various levels I use to determine if an ETF is in an oversold or overbought state.

Very Overboughtgreater than or equal to 80.1
Overbought60.1 to 80.0
Neutral40.1 to 60
Oversold20.1 to 40.0
Very Oversoldless 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 IVIV Rank HPMR Oversold - Overbought
ARK Innovation ETFARKK57.520.755.7
Proshares Bitcoin ETFBITO69.417.675.5
SPDR Dow JonesDIA17.91445.7
iShares MSCI Emerging MarketsEEM19.84.327.1
iShares MSCI EAFEEFA16.51348.5
iShares MSCI Mexico ETFEWW21.88.673.3
iShares MSCI BrazilEWZ34.621.250.5
iShares China Large-CapFXI32.813.929.1
Vaneck Gold MinersGDX35.99.918.4
SPDR Gold GLD14.7230.2
iShares High-YieldHYG11.822.533.3
iShares Russell 2000IWM23.410.554.5
SPDR Regional BankKRE23.87.551.4
Vaneck Oil ServicesOIH41.310.535.1
Invesco Nasdaq 100QQQ26.214.148.1
iShares Silver TrustSLV28.12.530.2
Vaneck SemiconductorSMH34.412.844.1
SPDR S&P 500 SPY 21.015.945.1
iShares 20+ Treasury BondTLT18.611.633
United States Oil FundUSO36.94.238.5
Proshares Ultra VIX ShortUVXY108.523.751.8
CBOE Market Volatility IndexVIX82.622.854.5
Barclays S&P 500 VIX ETNVXX73.415.851.6
SPDR BiotechXLB20.317.934.9
SPDR Energy Select XLE30.615.129.7
SPDR FinancialsXLF19.48.245.6
SPDR UtilitiesXLU18.76.553.7
SPDR S&P Oil & Gas ExplorerXOP40.517.131.7
SPDR Retail XRT33.218.256

Stock Watch List – Trade Ideas

Ticker Symbol IVIV Rank HPMR Oversold - Overbought
Bank of AmericaBAC25.86.240.9
Bristol-Myers SquibbBMY21.719.438
Cisco SystemsCSCO23.14.874.5
Duke EnergyDUK20.812.246.3
Gilead SciencesGILD24.514.147.8
General MotorsGM33.53.682.2
Johnson & JohnsonJNJ17.914.337.7
JP MorganJPM23.67.854.3
Altria GroupMO20.58.369.2
Morgan StanleyMS24.95.557.6
Nextera EnergyNEE25.8649.7
Walgreens Boots AllianceWBA27.110.552.3
Wells FargoWFC25.84.352.2
Exxon MobilXOM29.71134.8

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 193.31 and our iron condor is worth $0.51. Our probability of success stands at 98.13% on the call side and 83.26% on the put side. We will need to keep a close eye on the put side.

As it stands, our IWM iron condor is in great shape, but as I stated last week, if the delta of the 180 put strike pushes to 0.30 to 0.35 I intend on making an adjustment. But if IWM continues to trade around this area, if not slightly higher, we should be able to take off our trade for early profits.

Call Side:


Put 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 338.29 and our bear call spread, like our IWM iron condor, is worth $0.51. Our probability of success stands at 88.02%. Additionally, our margin of error stands at 4.9%. So far, so good.

If DIA continues to trend lower over the short-term, we should have the opportunity to lock in some decent profits.

Call Side:


The next Cabot Options Institute – Quant Trader issue will be published on

February 27, 2023.

Andy Crowder is a professional options trader, researcher and Senior Analyst at Cabot. Formerly with Oppenheimer & Co. in New York, Andy has leveraged his investment experience to develop his statistically based options trading strategy which applies probability theory to option valuations in order to execute risk-controlled trades. This proprietary strategy has been refined through two decades of research and real-world experience and has been featured in the Wall Street Journal, Seeking Alpha, and numerous other financial publications. Andy has helped thousands of option traders learn and implement his meticulous rules-driven options trading strategies through highly attended conferences, one-on-one coaching, webinars, and his work as a financial columnist. He currently resides in Bolton Valley, Vermont and when he’s not trading, teaching and writing about options, he enjoys spending time with his wife and two daughters, backcountry skiing, biking, running and enjoying all things outdoors.