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Quant Trader
Expert-Level Options for Sophisticated Traders

Cabot Options Institute – Quant Trader Issue: February 6, 2023

Weekly Earnings Commentary

We took a few losses last week, which at the moment looks a bit premature.

At the time I wrote, “Well, I think we all knew the time would eventually come. We are going to close out our February IWM iron condor as it has reached our stop-loss. This marks our first loss since August 11 and only our second since initiating the Quant Trader service back in early June.”

The market was in a short-term overbought state, so while I was hesitant to take off the two trades, mechanically it made sense and it’s the mechanics that keep us out of trouble and give us the opportunity for long-term successful results.

Once we closed out both trades, we immediately opened two new positions, and both look good at the moment. Of course, we are early in the expiration cycle, but so far, so good. In fact, there is a good chance we might have the opportunity to lock in some early profits on our most recent SPY bear call spread.

This week my hope is to add a few additional March expiration cycle positions so that we can balance out the deltas. As it stands we are leaning slightly bearish.

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

Current Portfolio

Open Trades
Open DateTickerStrategyTradeOpen PriceCurrent PriceCurrent ProbabilityDelta
2/2/2023SPYBear CallMarch 17, 2023 440/445$0.63 $0.44 90.01%-0.04
2/2/2023IWMIron CondorMarch 17, 2023 175/180 - 215/220$0.72 $0.73 92.16% - 83.79%-0.04
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%

Volatility Talk

Volatility continues to be mired in a short-term oversold state and this can easily be seen in the IV ranks of almost every stock with highly liquid options. When we see IV ranks across the board nearing 12-month lows, mean reversion typically rears its head. If mean reversion makes an appearance I would expect to see the VIX push back into the 20 to 25 range which would certainly be welcome as someone who predominantly sells options for a living.


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 6, 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 ETFARKK54.314.468.7
Proshares Bitcoin ETFBITO58.75.864.8
SPDR Dow JonesDIA16.64.952.9
iShares MSCI Emerging MarketsEEM19.821.338.6
iShares MSCI EAFEEFA15.4855.6
iShares MSCI Mexico ETFEWW22.316.145.7
iShares MSCI BrazilEWZ34.424.635.1
iShares China Large-CapFXI30.610.636.4
Vaneck Gold MinersGDX35.0631.5
SPDR Gold GLD14.61.830.6
iShares High-YieldHYG9.64.751.8
iShares Russell 2000IWM22.35.374.8
SPDR Regional BankKRE22.43.680.6
Vaneck Oil ServicesOIH40.210.742.4
Invesco Nasdaq 100QQQ25.711.169.8
iShares Silver TrustSLV29.69.825.7
Vaneck SemiconductorSMH33.08.668.1
iShares 20+ Treasury BondTLT17.32.447.9
United States Oil FundUSO38.04.824.8
Proshares Ultra VIX ShortUVXY103.318.536
CBOE Market Volatility IndexVIX85.019.740.4
Barclays S&P 500 VIX ETNVXX70.512.136.8
SPDR BiotechXLB19.26.149.8
SPDR Energy Select XLE30.11531.2
SPDR FinancialsXLF18.52.769.4
SPDR UtilitiesXLU18.210.429.3
SPDR S&P Oil & Gas ExplorerXOP38.710.935.4
SPDR Retail XRT33.316.477.8

Stock Watch List – Trade Ideas

Ticker Symbol IVIV Rank HPMR Oversold - Overbought
Bank of AmericaBAC25.64.180
Bristol-Myers SquibbBMY19.58.564.2
Cisco SystemsCSCO29.92855.1
Duke EnergyDUK23.122.528.8
Gilead SciencesGILD22.812.454.7
General MotorsGM34.6573.3
Johnson & JohnsonJNJ17.916.933.5
JP MorganJPM22.85.664.4
Altria GroupMO19.20.767.7
Morgan StanleyMS23.51.575.9
Nextera EnergyNEE29.424.227.6
Walgreens Boots AllianceWBA25.27.653.7
Wells FargoWFC25.33.282.6
Exxon MobilXOM30.211.144.4

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 196.99 and our iron condor is worth $0.73. Our probability of success stands at 92.20% on the call side and 83.72% on the put side.

We are early in the trade so there really isn’t much to discuss at the moment.

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 412.35 and our bear call spread is worth $0.44. Our probability of success stands at 90.08%. If SPY continues Friday’s 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:


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

February 13, 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.