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Quant Trader
Expert-Level Options for Sophisticated Traders

COI Quant Trader Issue: May 8, 2023

Weekly Commentary

We locked in a small 6.8% profit in our SPY iron condor last week and added another bear call spread, in SPY, to the mix later in the week. Our total cumulative return stands at 124.52% with a win ratio of 87.1% (27/31 winning trades) since we started Quant Trader just under one year ago.

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 bearish in both positions, a move lower will obviously immediately 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

Current Portfolio

Open Trades

Open DateTickerStrategyTradeOpen PriceCurrent PriceCurrent ProbabilityDelta
4/24/2023DIABear CallJune 16, 2023 354/359 $0.72 $0.51 88.36%-0.7
5/5/2023SPYBear CallJune 16, 2023 430/435$0.72 $0.83 82.98%-0.7
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%
4/21/20235/2/2023SPYIron CondorJune 16, 2023 440/435 - 365/360$0.95 $0.63 6.84%

Volatility Talk

The VIX continues to bounce around the 17 to 20 range. This past week was eerily similar to the week before.

The short-term overbought state led to a short-term pullback for several straight days. However, the decline, once again, didn’t last long as the bulls stepped back in Friday to help push the S&P back to where it started the week and led the VIX back down into the 17 handle. IV ranks continue to be incredibly low across the board in several of the stocks that have led this market higher. If those same companies revert back to normal levels of implied volatility we could see a decent pullback as we enter the “sell in May” period. If not, and IV ranks continue to trend lower and lower, well, expect to see a rising market and more complacent times in the market…a situation the bulls are certainly craving after dealing with 18 months of a tumultuous and widely vacillating market.


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 8, 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 ETFARKK41.22.661.1
Proshares Bitcoin ETFBITO46.74.355.5
SPDR Dow JonesDIA15.36.351.3
iShares MSCI Emerging MarketsEEM16.37.661.7
iShares MSCI EAFEEFA16.113.164
iShares MSCI Mexico ETFEWW21.3866
iShares MSCI BrazilEWZ31.5864.8
iShares China Large-CapFXI28.39.158.4
Vaneck Gold MinersGDX37.821.967.6
SPDR Gold GLD17.859.554.1
iShares High-YieldHYG11.619.949.1
iShares Russell 2000IWM24.015.351.8
SPDR Regional BankKRE62.69937.9
Vaneck Oil ServicesOIH40.811.639.7
Invesco Nasdaq 100QQQ20.62.563.1
iShares Silver TrustSLV31.738.261.7
Vaneck SemiconductorSMH27.52.255.3
iShares 20+ Treasury BondTLT18.51346.8
United States Oil FundUSO37.913.139.6
Proshares Ultra VIX ShortUVXY111.548.442.7
CBOE Market Volatility IndexVIX92.251.145.8
Barclays S&P 500 VIX ETNVXX73.548.543.3
SPDR BiotechXLB20.113.548.8
SPDR Energy Select XLE28.911.137.2
SPDR FinancialsXLF23.83047
SPDR UtilitiesXLU19.218.753.6
SPDR S&P Oil & Gas ExplorerXOP38.31040
SPDR Retail XRT26.94.250.7

Stock Watch List – Trade Ideas

Ticker Symbol IVIV Rank HPMR Oversold - Overbought
Bank of AmericaBAC37.553.838.1
Bristol-Myers SquibbBMY19.85.348.7
Cisco SystemsCSCO28.83135.8
Duke EnergyDUK23.014.159.2
Gilead SciencesGILD26.92.733.2
General MotorsGM38.435.650.5
Johnson & JohnsonJNJ17.046.447.2
JP MorganJPM27.756.249.2
Altria GroupMO19.854.752.2
Morgan StanleyMS30.155.339.2
Nextera EnergyNEE25.425.837.6
Walgreens Boots AllianceWBA30.564.627.5
Wells FargoWFC38.755.738.2
Exxon MobilXOM28.611.635.9

Weekly Trade Discussion: Open Positions

*Portfolio updated every Monday

Bear Call: SPY June 16, 2023, 430/435 calls

Original trade published on 5-5-2023 (click to see original alert)

Background: At the time of the trade, SPY was trading for 411. We sold the June 16, 2023, SPY 430/435 bear call spread for $0.72. The expected range or move was 393 to 429.

Current Thoughts: So far, so good. Our bear call is currently trading for $0.85, slightly above where we sold our bear call spread. 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:


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: With DIA currently trading for 336.73, our bear call is trading for $0.51 and in profitable territory. Our probability of success sits at 88.31%. Moreover, our cushion to the upside sits at just over $17, or 5.1%.

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

May 15, 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.