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Quant Trader
Expert-Level Options for Sophisticated Traders

Cabot Options Institute – Quant Trader Issue: March 20, 2023

Weekly Commentary

We closed out our DIA bear call spread last week for a 15.74% profit. Another winning trade should put us close to, if not above, our all-time highs in the portfolio.

This week, I intend to add one, if not two trades to the portfolio. My goal is to go out to the April 21, 2023 expiration cycle if possible, but with the April 21 expiration only 32 days away, I might have to go out a bit further in duration. Either way, expect to see several trade alerts as we progress through the week.

If you have any questions, please do not hesitate to email me at andy@cabotwealth.com.

Current Portfolio

Open Trades

Open DateTickerStrategyTradeOpen PriceCurrent PriceCurrent ProbabilityDelta
2/23/2023SPYIron CondorApril 21, 2023 435/430 - 350/345$0.80 $0.47 96.79% - 87.51%0
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%
3/6/20233/13/2023DIABear Call SpreadApril 21, 2023 350/355$0.85 $0.17 15.74%

Volatility Talk

After testing the 30 handle for several straight days, the VIX finally settled to close last week at 25.51. Now the VIX trades above what has been months of range-bound trading for the investors’ fear gauge. However, after the jolt in implied volatility due to the uncertainty around bank contagion and Fed data, it wouldn’t be a surprise to see the VIX push back into the 18 to 23 range we’ve been witnessing for months.

COI_QT_032023_VIX.png

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 20, 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 ETFARKK59.223.551.5
Proshares Bitcoin ETFBITO77.322.774.2
SPDR Dow JonesDIA23.341.434.3
iShares MSCI Emerging MarketsEEM22.334.235.4
iShares MSCI EAFEEFA23.845.534.8
iShares MSCI Mexico ETFEWW29.241.734.1
iShares MSCI BrazilEWZ36.227.836.2
iShares China Large-CapFXI34.826.937.9
Vaneck Gold MinersGDX41.835.577
SPDR Gold GLD22.880.984
iShares High-YieldHYG15.442.541.4
iShares Russell 2000IWM33.262.226.1
SPDR Regional BankKRE78.383.916.9
Vaneck Oil ServicesOIH53.65917
Invesco Nasdaq 100QQQ29.427.666.2
iShares Silver TrustSLV36.575.373.7
Vaneck SemiconductorSMH37.428.163.2
SPDR S&P 500 SPY 25.842.142.3
iShares 20+ Treasury BondTLT26.564.367.7
United States Oil FundUSO50.247.916.7
Proshares Ultra VIX ShortUVXY155.467.762.7
CBOE Market Volatility IndexVIX125.365.760.4
Barclays S&P 500 VIX ETNVXX104.964.365.1
SPDR BiotechXLB29.562.327.1
SPDR Energy Select XLE39.954.922.1
SPDR FinancialsXLF40.4100.322.9
SPDR UtilitiesXLU25.055.756.6
SPDR S&P Oil & Gas ExplorerXOP52.158.726.1
SPDR Retail XRT37.739.521.2

Stock Watch List – Trade Ideas

Ticker Symbol IVIV Rank HPMR Oversold - Overbought
AppleAAPL31.328.563.7
Bank of AmericaBAC59.5102.215.9
Bristol-Myers SquibbBMY25.65534.5
CitigroupC59.298.729.5
CaterpillarCAT36.751.620.5
ComcastCMCSA34.833.244.8
CostcoCOST27.814.455.7
Cisco SystemsCSCO25.715.971.5
ChevronCVX36.953.823.1
DisneyDIS36.720.828.6
Duke EnergyDUK24.030.655.6
FedexFDX35.827.173.3
Gilead SciencesGILD28.461.521.5
General MotorsGM48.753.415.2
IntelINTC43.541.376.3
Johnson & JohnsonJNJ22.55237.3
JP MorganJPM47.4100.130.1
Coca-ColaKO20.629.751.9
Altria GroupMO27.544.224.2
MerckMRK27.572.231
Morgan StanleyMS50.199.223.2
MicrosoftMSFT32.736.382.2
Nextera EnergyNEE30.733.162.7
NvidiaNVDA55.12475.3
PfizerPFE26.213.440.7
PaypalPYPL45.316.338.1
StarbucksSBUX30.326.931.1
AT&TT30.447.727.8
VerizonVZ28.546.234
Walgreens Boots AllianceWBA41.155.527
Wells FargoWFC58.710623.6
WalmartWMT23.124.750.6
Exxon MobilXOM39.155.413.1

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 389.99 and our iron condor is worth $0.47. Our probability of success stands at 96.83% on the call side and 87.41% on the put side. So far, so good. With 32 days left until expiration, time decay should really start to accelerate. My hope is that we can hold until there are roughly 21 days left until expiration. At that point, we should be able to take off the spread for a nice profit.

Call Side:

COI_QT_032023_SPY_bearcall.png

Put Side:

COI_QT_032023_SPY_bullput.png

As always, if you have any questions, please feel free to email me at andy@cabotwealth.com.


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

March 27, 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.