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 andy@cabotwealth.com.

Current Portfolio

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.

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

Stock Watch List – Trade Ideas

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 andy@cabotwealth.com.

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

March 13, 2023.