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Quant Trader
Expert-Level Options for Sophisticated Traders

Cabot Options Institute – Quant Trader Issue: November 14, 2022

We added a bear call spread last week in SPY and plan to add an iron condor and bull put spread, if the market cooperates, this week. I’m still hopeful to sell premium for the December 16 expiration cycle, but have no issue kicking it out a week or two if it makes sense. The most important part is that we want the deltas of our portfolio to be balanced so we aren’t leaning too far in one direction.

Current Portfolio

Open Trades
Open DateTickerStrategyTradeOpen PriceCurrent PriceCurrent ProbabilityDelta
11/10/2022SPYBear Call SpreadDecember 16, 2022 420/425$0.65 $0.99 80.55%0.21
Closed Trades
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%

Volatility Talk

The VIX lost more ground last week as the overall market rallied. It marked the fifth straight week of declines for the investor fear gauge and has put the index firmly into one of the most oversold readings over the short, intermediate and long term seen in years. The 20 area should act as a strong area of support if we continue to see the market trend higher.


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 November 14, 2022.

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 ETFARKK61.940.968.6
Proshares Bitcoin ETFBITO116.054.629.9
SPDR Dow JonesDIA21.030.572.5
iShares MSCI Emerging MarketsEEM25.135.378.3
iShares MSCI EAFEEFA24.527.380.7
iShares MSCI Mexico ETFEWW25.326.877.9
iShares MSCI BrazilEWZ54.773.940.7
iShares China Large-CapFXI49.155.170.4
Vaneck Gold MinersGDX44.250.775.3
SPDR Gold GLD17.014.879.7
iShares High-YieldHYG15.141.565.6
iShares Russell 2000IWM26.327.468.3
SPDR Regional BankKRE27.812.463.6
Vaneck Oil ServicesOIH48.828.669.6
Invesco Nasdaq 100QQQ28.048.868.1
iShares Silver TrustSLV34.14674.6
Vaneck SemiconductorSMH37.434.479.4
SPDR S&P 500 SPY 21.435.469.7
iShares 20+ Treasury BondTLT20.728.462.2
United States Oil FundUSO41.422.455.8
Proshares Ultra VIX ShortUVXY90.31.531.7
CBOE Market Volatility IndexVIX85.613.222.4
Barclays S&P 500 VIX ETNVXX61.92.732.1
SPDR BiotechXLB24.842.279
SPDR Energy Select XLE35.42664.8
SPDR FinancialsXLF24.716.176.1
SPDR UtilitiesXLU23.848.361.9
SPDR S&P Oil & Gas ExplorerXOP45.6862.3
SPDR Retail XRT36.321.270.5

Stock Watch List – Trade Ideas

Ticker Symbol IVIV Rank HPMR Oversold - Overbought
Bank of AmericaBAC30.314.579.3
Bristol-Myers SquibbBMY26.13339.1
Cisco SystemsCSCO37.149.755
Duke EnergyDUK25.429.660.3
Gilead SciencesGILD32.932.375.7
General MotorsGM43.120.875.1
Johnson & JohnsonJNJ21.427.640.1
JP MorganJPM28.414.481.4
Altria GroupMO26.824.838.1
Morgan StanleyMS31.620.178.9
Nextera EnergyNEE31.253.377.1
Walgreens Boots AllianceWBA32.328.779.3
Wells FargoWFC313.461.7
Exxon MobilXOM33.223.665.2

Weekly Trade Discussion: Open Positions

*Portfolio updated every Monday

Bear Call: SPY December 16, 2022, 420/425 calls
Original trade published on 11-10-2022 (click to see original alert)

Background: At the time of the trade, SPY was trading for 334.10. We sold the December 16, 2022, SPY 420/425 bear call for $0.65 with an 86.45% probability of success. The expected range was 367 to 414.

Current Thoughts: SPY is currently trading for 398.51 and our bear call is worth $1.00. Our probability of success stands at 80.61% and the probability of touch is 38.84%.

With 33 days left, our SPY bear call spread is in good shape.


The next Cabot Options Institute – Quant Trader issue will be published on November 21, 2022.

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.