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Quant Trader
Expert-Level Options for Sophisticated Traders

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

Weekly Earnings Commentary

We locked in a small 4.38% gain in our IWM iron condor last week. However, had we waited a few days we could have taken off the trade for a much greater gain. But hey, that’s investing/trading. We take profits when we can, given the information we have at our fingertips. The market was looking particularly weak at the time of our profit-taking, so we thought it was best to go ahead take some small profits and move on to the next opportunity.

Speaking of opportunities, the market is pushing closer and closer to a short-term overbought state, so it looks as though our next move is to add a bear call spread to the mix. I’ll be looking at a few potential bear call spreads early in the week and the potential for another iron condor. Moreover, I’m also thinking of adding a stock-based bull put spread to balance out our deltas.

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 $0.73 86.98% - 94.64%-0.05
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

Since the investor’s fear gauge hit a near-term high of 23 two weeks ago, the VIX has steadily pushed lower. Now the VIX sits at 18.49, back to what has been a strong level of support. Last week we asked the question, “Will the VIX continue to trend higher?” Now we must ask the exact opposite question. As always, my crystal ball is a bit hazy and unpredictable, but I could easily see another test of the 18 level, possibly slightly lower before another bounce occurs. The VIX has been range bound for months so until I see a definitive breach, either to the upside or downside, I would expect to see much of the same going forward.


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 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 ETFARKK51.05.655.7
Proshares Bitcoin ETFBITO58.19.228.2
SPDR Dow JonesDIA16.83.756.4
iShares MSCI Emerging MarketsEEM18.95.354.7
iShares MSCI EAFEEFA17.410.859.8
iShares MSCI Mexico ETFEWW22.15.176.2
iShares MSCI BrazilEWZ32.216.934.7
iShares China Large-CapFXI33.616.354.7
Vaneck Gold MinersGDX32.45.456.8
SPDR Gold GLD13.80.162.7
iShares High-YieldHYG11.715.353.7
iShares Russell 2000IWM22.74.660.5
SPDR Regional BankKRE24.37.334
Vaneck Oil ServicesOIH37.9866.4
Invesco Nasdaq 100QQQ24.61.258
iShares Silver TrustSLV26.80.646.6
Vaneck SemiconductorSMH31.80.458.9
iShares 20+ Treasury BondTLT19.516.350.5
United States Oil FundUSO34.36.367.4
Proshares Ultra VIX ShortUVXY97.71432.6
CBOE Market Volatility IndexVIX76.44.932.3
Barclays S&P 500 VIX ETNVXX67.510.133.5
SPDR BiotechXLB20.521.876.3
SPDR Energy Select XLE27.07.860.4
SPDR FinancialsXLF18.52.254.3
SPDR UtilitiesXLU19.512.748.8
SPDR S&P Oil & Gas ExplorerXOP36.27.768.3
SPDR Retail XRT30.44.544.4

Stock Watch List – Trade Ideas

Ticker Symbol IVIV Rank HPMR Oversold - Overbought
Bank of AmericaBAC24.60.541.2
Bristol-Myers SquibbBMY20.08.730.6
Cisco SystemsCSCO21.43.958.7
Duke EnergyDUK21.714.844.3
Gilead SciencesGILD24.121.841.2
General MotorsGM34.4360.5
Johnson & JohnsonJNJ17.69.131.4
JP MorganJPM22.24.261.1
Altria GroupMO20.710.744.1
Morgan StanleyMS23.81.858.4
Nextera EnergyNEE26.918.354
Walgreens Boots AllianceWBA32.724.653.5
Wells FargoWFC24.81.852.4
Exxon MobilXOM26.70.156.5

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 404.19 and our iron condor is worth $0.73. Our probability of success stands at 86.98% on the call side and 94.64% on the put side. All I can say with 47 days left until expiration is … so far, so good. 

Call Side:


Put 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 13, 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.