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Quant Trader
Expert-Level Options for Sophisticated Traders

Cabot Options Institute – Quant Trader Issue: May 1, 2023

Weekly Commentary

We have two positions on at the moment, both due to expire at the June 16 expiration date. Fortunately, both are hovering around the same price we sold them for, so all is well at the moment. And given we are leaning slightly bearish in both positions, a move lower should certainly help both positions and possibly lead to some early profit taking.

My hope this week is to add one more trade to the June 16 expiration cycle, preferably a bullish leaning trade to balance out the deltas in the portfolio. Otherwise, we will simply sit on our hands and allow time decay to work in our favor.

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
4/24/2023DIABear CallJune 16, 2023 354/359 $0.72 $0.92 80.15%-0.1
4/21/2023SPYIron CondorJune 16, 2023 440/435 - 365/360$0.95 $0.93 83.65% - 92.57%-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%
3/6/20233/13/2023DIABear Call SpreadApril 21, 2023 350/355$0.85 $0.17 15.74%
2/23/20233/28/2023SPYIron CondorApril 21, 2023 435/430 - 350/345$0.80 $0.15 14.94%
3/23/20234/11/2023DIABear Call SpreadApril 21, 2023 338/443$0.62 $2.05 -28.60%
3/23/20234/19/2023IWMIron CondorMay 19, 2023 196/191 - 147/142$0.83 $0.23 13.64%
4/12/20234/21/2023DIABear Call SpreadMay 19, 2023 350/355$0.82 $0.44 8.23%
117.68%

Volatility Talk

Well, the short-term overbought state led to a short-term pullback early last week. However, the sharp decline didn’t last long as the bulls stepped back in Thursday and Friday to help push the VIX back down to new lows.

For a moment, the VIX bounced to 19 from 16.50. But again, the move wasn’t sustainable. So, the question now is whether the VIX continues to slide lower or if we see another mean-reversion pop like we did early last week. With IV ranks low across the board and many of the underlying stocks and ETFs we follow back in a short-term overbought state my guess is we see the bears attempt to rally the VIX again.

COI_QT_043023_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 May 1, 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 ETFARKK41.23.333.6
Proshares Bitcoin ETFBITO53.43.256.2
SPDR Dow JonesDIA14.33.164.7
iShares MSCI Emerging MarketsEEM15.81.851.9
iShares MSCI EAFEEFA16.21.362.8
iShares MSCI Mexico ETFEWW20.72.565
iShares MSCI BrazilEWZ30.90.555.9
iShares China Large-CapFXI27.40.147.6
Vaneck Gold MinersGDX33.90.845.3
SPDR Gold GLD16.122.646.2
iShares High-YieldHYG9.52.162.5
iShares Russell 2000IWM21.35.248.6
SPDR Regional BankKRE40.627.850.8
Vaneck Oil ServicesOIH38.9743
Invesco Nasdaq 100QQQ20.64.766.8
iShares Silver TrustSLV28.46.354.2
Vaneck SemiconductorSMH27.64.749
SPDR S&P 500 SPY 16.13.464.7
iShares 20+ Treasury BondTLT17.01.957
United States Oil FundUSO35.612.146.4
Proshares Ultra VIX ShortUVXY106.82030.7
CBOE Market Volatility IndexVIX84.326.831.8
Barclays S&P 500 VIX ETNVXX69.117.431.7
SPDR BiotechXLB18.00.552.9
SPDR Energy Select XLE25.73.251.3
SPDR FinancialsXLF19.73.960.2
SPDR UtilitiesXLU17.27.248.4
SPDR S&P Oil & Gas ExplorerXOP34.71.547.8
SPDR Retail XRT26.68.544.3

Stock Watch List – Trade Ideas

Ticker Symbol IVIV Rank HPMR Oversold - Overbought
AppleAAPL28.18.971.5
Bank of AmericaBAC29.712.851.7
Bristol-Myers SquibbBMY20.4720.6
CitigroupC27.97.937.2
CaterpillarCAT27.60..847
ComcastCMCSA21.4879.8
CostcoCOST22.97.955.3
Cisco SystemsCSCO27.221.337.1
ChevronCVX23.65.550.3
DisneyDIS33.610.665.5
Duke EnergyDUK23.213.653.3
FedexFDX23.70.350.8
Gilead SciencesGILD25.323.234.3
General MotorsGM36.47.440
IntelINTC33.83.857.1
Johnson & JohnsonJNJ16.54.754.5
JP MorganJPM21.24.557.5
Coca-ColaKO13.11.573.1
Altria GroupMO16.51.877.3
MerckMRK19.510.459.5
Morgan StanleyMS25.36.559.4
MicrosoftMSFT23.07.374.4
Nextera EnergyNEE24.24.244.6
NvidiaNVDA47.39.662.2
PfizerPFE24.92.826.8
PaypalPYPL42.59.760.8
StarbucksSBUX30.724.291.3
AT&TT20.31.735.1
VerizonVZ18.84.660.1
Walgreens Boots AllianceWBA275.151.1
Wells FargoWFC29.713.543.5
WalmartWMT22.118.356.1
Exxon MobilXOM25.25.264.7

Weekly Trade Discussion: Open Positions

*Portfolio updated every Monday

Iron Condor: SPY June 16, 2023, 440/435 calls – 365/360 puts
Original trade published on 4-21-2023 (click to see original alert)

Background: At the time of the trade, SPY was trading for 412.50. We sold the June 16, 2023, SPY 440/435 – 365/360 iron condor for $0.95. The expected range or move was 393 to 432.

Current Thoughts: So far, so good. Our iron condor is currently trading for $0.92, slightly below where we sold the iron condor. Since our position is a tad bearish leaning, a move lower would help to decrease the amount of premium in the trade which is good for the position. My goal is to take off the position prior to 21 days left until expiration. Of course, Mr. Market will dictate whether or not that is possible.

Call Side:

COI_QT_043023_SPY_bearcall.png

Put Side:

COI_QT_043023_SPY_bullput.png

Bear Call: DIA June 16, 2023, 354/359 calls
Original trade published on 4-24-2023 (click to see original alert)

Background: At the time of the trade, DIA was trading for 338.15. We sold the June 16, 2023, DIA 354/359 bear call spread for $0.72. The expected range or move was 321 to 353.

Current Thoughts: Since we are early in the trade there really isn’t much to discuss at the moment.

Call Side:

COI_QT_043023_DIA.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

May 8, 2023.