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 email@example.com.
|Open Date||Ticker||Strategy||Trade||Open Price||Current Price||Current Probability||Delta|
|2/2/2023||IWM||Iron Condor||March 17, 2023 175/180 - 215/220||$0.72||$0.85||99.35% - 74.05%||0.1|
|2/23/2023||SPY||Iron Condor||April 21, 2023 435/430 - 350/345||$0.80||$0.76||90.85% - 88.81%||-0.02|
|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%|
|2/2/2023||2/15/2023||SPY||Bear Call Spread||March 17, 2023 440/445||$0.63||$0.15||10.62%|
|2/10/2023||2/22/2023||DIA||Bear Call Spread||March 31, 2023 355/360||$0.70||$0.17||11.86%|
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 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||59.6||0.4||37.3|
|Proshares Bitcoin ETF||BITO||59.1||2||44.5|
|SPDR Dow Jones||DIA||20.0||15.2||25.9|
|iShares MSCI Emerging Markets||EEM||21.3||4.4||17.6|
|iShares MSCI EAFE||EFA||18.1||6||26.6|
|iShares MSCI Mexico ETF||EWW||23.4||3.6||46.6|
|iShares MSCI Brazil||EWZ||34.7||17.9||33.8|
|iShares China Large-Cap||FXI||34.6||8||15.6|
|Vaneck Gold Miners||GDX||34.6||0.9||10.3|
|iShares Russell 2000||IWM||26.0||14.4||37.6|
|SPDR Regional Bank||KRE||26.0||9.9||38.7|
|Vaneck Oil Services||OIH||41.0||1.7||43.6|
|Invesco Nasdaq 100||QQQ||27.6||11.6||35.5|
|iShares Silver Trust||SLV||28.3||1.6||15.1|
|SPDR S&P 500||SPY||21.9||14.5||30.2|
|iShares 20+ Treasury Bond||TLT||9.6||0.4||35.2|
|United States Oil Fund||USO||37.3||10.7||47.3|
|Proshares Ultra VIX Short||UVXY||111.6||22||56.8|
|CBOE Market Volatility Index||VIX||92.3||28.4||58.7|
|Barclays S&P 500 VIX ETN||VXX||77.1||13.4||57.8|
|SPDR Energy Select||XLE||30.9||16||36.9|
|SPDR S&P Oil & Gas Explorer||XOP||39.7||13.8||49.4|
Stock Watch List – Trade Ideas
|Ticker Symbol||IV||IV Rank||HPMR Oversold - Overbought|
|Bank of America||BAC||27.5||7.6||40.9|
|Johnson & Johnson||JNJ||18.9||22.6||37.7|
|Walgreens Boots Alliance||WBA||28.4||23.9||52.3|
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.
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.
The next Cabot Options Institute – Quant Trader issue will be published on
March 6, 2023.