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Quant Trader
Expert-Level Options for Sophisticated Traders

Cabot Options Institute – Quant Trader Issue: February 27, 2023

Weekly Earnings Commentary

We locked in an 11.86% return in our DIA March 17, 2023, 355/360 bear call spread last week. The return marks our second winning trade for the March expiration cycle for a total of 22.48%. Our average holding time for both trades was 12 days.

As it stands, we currently have two iron condor positions, and my hope is to add another position, preferably a bear call spread, early this week. If we see even a mild bounce in IWM we should be able to take off our IWM iron condor for another nice return, thereby building upon our current profits for the March expiration cycle. If our IWM trade works out we could see March expiration bring in close to, if not exceeding, 40% on a cumulative basis.

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 $0.85 99.35% - 74.05%0.1
2/23/2023SPYIron CondorApril 21, 2023 435/430 - 350/345$0.80 $0.76 90.85% - 88.81%-0.02
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%
2/10/20232/22/2023DIABear Call SpreadMarch 31, 2023 355/360$0.70 $0.17 11.86%

Volatility Talk

The VIX finally broke out of its near-term range of 18 to 20, trading as high as 23 before closing out the week at 21.67. My hope is that we continue to see heightened levels of implied volatility so that we have premium selling opportunities at our disposal. So far, the market has cooperated, with mean reversion kicking in. The question is, will the trend higher last? If so, we will certainly see more opportunities ahead. My hope is that the VIX can kick above 23 and sustain that level for a while, but that’s going to be tougher than it looks. However, I’m not completely sold on the fact that this market, after 13 years of a bull market due to easy money policies, is going to simply fly higher. There are a lot of headwinds currently in the market and until we see some of those issues (inflation, geopolitical tension, etc.) resolve themselves, I believe the bull market in volatility will continue.


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 27, 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 ETFARKK59.60.437.3
Proshares Bitcoin ETFBITO59.1244.5
SPDR Dow JonesDIA20.015.225.9
iShares MSCI Emerging MarketsEEM21.34.417.6
iShares MSCI EAFEEFA18.1626.6
iShares MSCI Mexico ETFEWW23.43.646.6
iShares MSCI BrazilEWZ34.717.933.8
iShares China Large-CapFXI34.6815.6
Vaneck Gold MinersGDX34.60.910.3
SPDR Gold GLD14.60.717.7
iShares High-YieldHYG12.713.540.9
iShares Russell 2000IWM26.014.437.6
SPDR Regional BankKRE26.09.938.7
Vaneck Oil ServicesOIH41.01.743.6
Invesco Nasdaq 100QQQ27.611.635.5
iShares Silver TrustSLV28.31.615.1
Vaneck SemiconductorSMH35.65.943
SPDR S&P 500 SPY 21.914.530.2
iShares 20+ Treasury BondTLT9.60.435.2
United States Oil FundUSO37.310.747.3
Proshares Ultra VIX ShortUVXY111.62256.8
CBOE Market Volatility IndexVIX92.328.458.7
Barclays S&P 500 VIX ETNVXX77.113.457.8
SPDR BiotechXLB21.714.643.7
SPDR Energy Select XLE30.91636.9
SPDR FinancialsXLF21.87.130.6
SPDR UtilitiesXLU20.49.834.5
SPDR S&P Oil & Gas ExplorerXOP39.713.849.4
SPDR Retail XRT34.714.930.8

Stock Watch List – Trade Ideas

Ticker Symbol IVIV Rank HPMR Oversold - Overbought
Bank of AmericaBAC27.57.640.9
Bristol-Myers SquibbBMY21.99.338
Cisco SystemsCSCO24.810.474.5
Duke EnergyDUK21.51246.3
Gilead SciencesGILD29.21047.8
General MotorsGM37.59.782.2
Johnson & JohnsonJNJ18.922.637.7
JP MorganJPM24.510.754.3
Altria GroupMO23.314.269.2
Morgan StanleyMS26.6757.6
Nextera EnergyNEE27.916.949.7
Walgreens Boots AllianceWBA28.423.952.3
Wells FargoWFC275.452.2
Exxon MobilXOM29.5534.8

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 187.51 and our iron condor is worth $0.85. Our probability of success stands at 99.35% on the call side and 74.26% on the put side. We will continue to keep a close eye on the put side.

As it stands, our IWM iron condor continues to be in great shape, even with the recent pullback, 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 a nice profit.

Call Side:


Put Side:


Iron Condor: SPY April 21, 2023, 435/430 calls – 350/345 puts
Original trade published on 2-23-2023 (click to see original alert)

Background: At the time of the trade, SPY was trading for 397.25. We sold the April 21, 2023, SPY 435/430 – 350/345 iron condor for $0.80. The expected range was 373 to 422.

Current Thoughts: SPY is currently trading for 396.38 and our iron condor is worth $0.75. Our probability of success stands at 90.74% on the call side and 88.89% on the put side. So far, so good.

Call Side:


Put Side:


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

March 6, 2023.

Andy Crowder is a professional options trader, researcher and Chief Analyst of Cabot Options Institute. 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.