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Quant Trader
Expert-Level Options for Sophisticated Traders

Cabot Options Institute – Quant Trader Issue: March 13, 2023

Weekly Earnings Commentary

All is well in Quant Trader land. Our two positions are currently in great shape with the potential to take some decent profits off the table. We still have 39 days left until the April 21, 2023, expiration cycle, so there is a good chance that we take both of our open trades off the table for profits and look to immediately sell more premium, especially with the recent pop in implied volatility.

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

Current Portfolio

Open Trades

Open DateTickerStrategyTradeOpen PriceCurrent PriceCurrent ProbabilityDelta
2/23/2023SPYIron CondorApril 21, 2023 435/430 - 350/345$0.80 $0.55 97.29% - 85.56%0.01
3/6/2023DIABear CallApril 21, 2023 350/355$0.85 $0.17 95.30%-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%
2/2/20233/1/2023IWMIron CondorMarch 17, 2023 175/180 - 215/220$0.72 $0.51 4.38%

Volatility Talk

We’ve spent most of 2023 bouncing between support (18) and overhead resistance (23). That is until last week when the VIX finally pushed through 23 and closed the week out at 24.80. However, on Friday the investor’s fear gauge hit a high of roughly 29 before pulling back to close out the week just under 25.

This week should be a doozy with several key data points due to release. I wouldn’t be surprised to see another test of 29 before we see a reprieve and potential pullback in the VIX. One thing is certain: The return of IV should give us ample opportunities to sell premium over the next week or so.


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 March 13, 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 ETFARKK62.228.926.2
Proshares Bitcoin ETFBITO62.010.813.6
SPDR Dow JonesDIA22.533.223.4
iShares MSCI Emerging MarketsEEM23.637.727.9
iShares MSCI EAFEEFA21.74532.9
iShares MSCI Mexico ETFEWW27.12537.4
iShares MSCI BrazilEWZ35.827.937.9
iShares China Large-CapFXI35.624.525.6
Vaneck Gold MinersGDX38.717.740.5
SPDR Gold GLD16.021.366.4
iShares High-YieldHYG15.037.833.4
iShares Russell 2000IWM30.444.816.2
SPDR Regional BankKRE46.3110.86.6
Vaneck Oil ServicesOIH44.827.326.4
Invesco Nasdaq 100QQQ29.127.932.9
iShares Silver TrustSLV30.425.841.7
Vaneck SemiconductorSMH36.92641
SPDR S&P 500 SPY 25.235.624.6
iShares 20+ Treasury BondTLT22.136.472.8
United States Oil FundUSO37.41645.7
Proshares Ultra VIX ShortUVXY136.051.373.3
CBOE Market Volatility IndexVIX108.2119.575.7
Barclays S&P 500 VIX ETNVXX107.550.874.1
SPDR BiotechXLB27.050.725.8
SPDR Energy Select XLE33.33129
SPDR FinancialsXLF33.867.811.9
SPDR UtilitiesXLU22.737.534
SPDR S&P Oil & Gas ExplorerXOP43.230.829.9
SPDR Retail XRT36.227.421.5

Stock Watch List – Trade Ideas

Ticker Symbol IVIV Rank HPMR Oversold - Overbought
Bank of AmericaBAC44.779.310
Bristol-Myers SquibbBMY26.157.110.9
Cisco SystemsCSCO26.819.543.6
Duke EnergyDUK23.224.234.8
Gilead SciencesGILD32.772.834.4
General MotorsGM41.43122.6
Johnson & JohnsonJNJ21.853.129
JP MorganJPM37.861.734
Altria GroupMO24.130.446.1
Morgan StanleyMS36.247.916
Nextera EnergyNEE31.832.645.1
Walgreens Boots AllianceWBA37.644.724.4
Wells FargoWFC44.667.217.4
Exxon MobilXOM32.123.628.5

Weekly Trade Discussion: Open Positions

*Portfolio updated every Monday

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 385.91 and our iron condor is worth $0.55. Our probability of success stands at 97.63% on the call side and 84.17% on the put side. We will need to watch the put side a bit more carefully going forward, but we still have 35 points of cushion to the downside and if we see a pop in price early in the week, we should have an opportunity to take off our iron condor for a decent profit.

Call Side:


Put Side:


Bear Call: DIA April 21, 2023, 350/355 calls
Original trade published on 3-6-2023 (click to see original alert)

Background: At the time of the trade, DIA was trading for 335.70. We sold the April 21, 2023, SPY 350/355 bear call for $0.85. The expected range was 323 to 348.

Current Thoughts: DIA is currently trading for 385.91 and our bear call spread is worth $0.17. Our probability of success stands at 95.93%. We should have a good opportunity to take off our bear call spread for a healthy profit this week.

Call Side:


As always, if you have any questions, please feel free to email me at

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

March 20, 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.