We currently have two open positions and, thankfully, both currently have a high probability of success. My hope is that we can start to look at taking off both trades for profits towards the latter part of the week, but we need a bit of cooperation from Mr. Market.
My goal this week is to start adding positions for the March expiration cycle. As always, I want to add, at minimum, a bear call, bull put and iron condor. If I can get all three off this week, I would be incredibly pleased, but, as always, I’m not going to force it.
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|
|1/4/2023||IWM||Iron Condor||February 17, 2023 200/195 - 154/149||$0.65||$0.68||82.90% - 98.03%||-10|
|1/6/2023||SPY||Bear Call||February 17, 2023 415/420||$0.60||$0.70||84.80%||-6|
|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%|
Last week, the VIX finally pushed outside of the 20 to 35 range that we’ve witnessed for months. But the move only lasted for a few days as the VIX quickly made its way back above 20 on Wednesday and was able to maintain that level through the rest of the week. As long as we stay above the 15 level, we should be able to sell premium in all of the major indices fairly easily. And if we dip below 15, well, we will start to dig deeper into our watch list for premium selling opportunities. I don’t see that happening anytime soon, but I’ve been wrong many, many times before.
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 January 23, 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||49.8||5.5||65.6|
|Proshares Bitcoin ETF||BITO||68.2||13||86.9|
|SPDR Dow Jones||DIA||17.4||10.6||45.4|
|iShares MSCI Emerging Markets||EEM||19.1||3.8||77.7|
|iShares MSCI EAFE||EFA||18.3||6.2||79.1|
|iShares MSCI Mexico ETF||EWW||22.8||4.4||78|
|iShares MSCI Brazil||EWZ||38.0||30.7||55.3|
|iShares China Large-Cap||FXI||30.7||7.8||70.7|
|Vaneck Gold Miners||GDX||37.3||6.9||65|
|iShares Russell 2000||IWM||22.8||6.9||62.8|
|SPDR Regional Bank||KRE||24.1||7.5||55|
|Vaneck Oil Services||OIH||40.1||4.4||59|
|Invesco Nasdaq 100||QQQ||24.8||6.5||66.5|
|iShares Silver Trust||SLV||31.7||18.8||54.7|
|SPDR S&P 500||SPY||19.6||9.7||59.7|
|iShares 20+ Treasury Bond||TLT||20.9||26.5||52.1|
|United States Oil Fund||USO||37.7||0.6||69.9|
|Proshares Ultra VIX Short||UVXY||104.8||14.6||28.9|
|CBOE Market Volatility Index||VIX||81.4||14.1||44.1|
|Barclays S&P 500 VIX ETN||VXX||69.4||12.5||29.6|
|SPDR Energy Select||XLE||29.1||7.9||66.2|
|SPDR S&P Oil & Gas Explorer||XOP||38.1||4.9||68.6|
Stock Watch List – Trade Ideas
|Ticker Symbol||IV||IV Rank||HPMR Oversold - Overbought|
|Bank of America||BAC||28.1||12.8||48.9|
|Johnson & Johnson||JNJ||21.5||32.8||16.8|
|Walgreens Boots Alliance||WBA||28.7||12.7||38.5|
Weekly Trade Discussion: Open Positions
*Portfolio updated every Monday
Iron Condor: IWM February 17, 2023, 200/195 calls – 154/149 puts
Original trade published on 1-4-2023 (click to see original alert)
Background: At the time of the trade, IWM was trading for 180.49. We sold the February 17, 2023, IWM 200/195 – 154/149 iron condor for $0.60. The expected range was 164 to 189.
Current Thoughts: IWM is currently trading for 185.12 and our iron condor is worth $0.67. Our probability of success stands at 84.03% on the call side and 98.10% on the put side.
Obviously, the concern, as it stands, is the call side of the trade. We still have a 84.03% probability of success. But, if IWM continues to surge higher we will have to consider an adjustment or simply take off the trade for a small loss and move on to the next opportunity. If we do see a pullback over the coming week, we should have an opportunity to take the trade off the table for a decent profit.
Bear Call: SPY February 17, 2023, 415/420 Bear Call Spread
Original trade published on 1-6-2023 (click to see original alert)
Background: At the time of the trade, SPY was trading for roughly 386.20. We sold the February 17, 2023, SPY 415/420 bear call spread for $0.60. The expected range was 364 to 407.
Current Thoughts: SPY is currently trading for 396.14 and our bear call spread is worth $0.70. Our probability of success stands at 84.98%. We still have a decent margin of error on the trade and our probability of success is hovering around 85% so we aren’t concerned about the trade … yet. However, if SPY continues to push higher over the next week or so, we will need to make an adjustment or simply take the trade off the table.
However, if we see the opposite and SPY pushes lower, towards the 390 area, there is a good chance we can take the profit of the table for a decent return.
The next Cabot Options Institute – Quant Trader issue will be published on
January 30, 2023.