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Quant Trader
Expert-Level Options for Sophisticated Traders

Cabot Options Institute – Quant Trader Issue: November 21, 2022

We currently have two open positions: a bear call spread in SPY and an IWM iron condor. Both are due to expire December 16, 2022 and both are currently in a profitable state. So there really isn’t too much to say at the moment. I do plan on adding a bull put spread to the portfolio, mostly to even out the deltas a bit, but as always, I’m not going to force it.

Current Portfolio

Open Trades
Open DateTickerStrategyTradeOpen PriceCurrent PriceCurrent ProbabilityDelta
11/10/2022SPYBear Call SpreadDecember 16, 2022 420/425$0.65 $0.61 86.83%0.04
11/16/2022IWMIron CondorDecember 16, 2022 205/200 - 162/157$0.75 $0.56 91.19% - 90.75%-0.02
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 gained ground last week. But nothing has changed over the past several weeks. 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 ETFARKK63.641.645.4
Proshares Bitcoin ETFBITO104.343.738.1
SPDR Dow JonesDIA21.628.669.9
iShares MSCI Emerging MarketsEEM27.539.964.1
iShares MSCI EAFEEFA22.830.873.6
iShares MSCI Mexico ETFEWW27.221.569.2
iShares MSCI BrazilEWZ57.37632.9
iShares China Large-CapFXI49.656.561.2
Vaneck Gold MinersGDX44.349.160.2
SPDR Gold GLD16.411.159.9
iShares High-YieldHYG14.130.558.1
iShares Russell 2000IWM28.623.454.6
SPDR Regional BankKRE28.313.245.4
Vaneck Oil ServicesOIH52.135.752.3
Invesco Nasdaq 100QQQ29.945.659.4
iShares Silver TrustSLV33.936.949.3
Vaneck SemiconductorSMH39.742.566.7
SPDR S&P 500 SPY 23.629.862
iShares 20+ Treasury BondTLT23.046.160.9
United States Oil FundUSO45.938.333.5
Proshares Ultra VIX ShortUVXY94.83.226.4
CBOE Market Volatility IndexVIX77.10.633.9
Barclays S&P 500 VIX ETNVXX64.96.427
SPDR BiotechXLB25.040.664.5
SPDR Energy Select XLE36.835.551.9
SPDR FinancialsXLF25.512.763.3
SPDR UtilitiesXLU26.25261.7
SPDR S&P Oil & Gas ExplorerXOP48.014.947.8
SPDR Retail XRT37.628.559.4

Stock Watch List – Trade Ideas

Ticker Symbol IVIV Rank HPMR Oversold - Overbought
Bank of AmericaBAC32.19.754.3
Bristol-Myers SquibbBMY23.012.255.4
Cisco SystemsCSCO26.515.675.9
Duke EnergyDUK25.130.560
Gilead SciencesGILD32.330.780.9
General MotorsGM44.424.557.1
Johnson & JohnsonJNJ18.511.967.1
JP MorganJPM28.613.867.4
Altria GroupMO27.12745.2
Morgan StanleyMS32.021.763.3
Nextera EnergyNEE30.137.362.8
Walgreens Boots AllianceWBA31.524.760.4
Wells FargoWFC31.23.751.1
Exxon MobilXOM34.225.952.2

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 396.03 and our bear call is worth $0.61. Our probability of success stands at 87.19% and the probability of touch is 25.60%.

With 26 days left, our SPY bear call spread is in good shape.


Iron Condor: IWM December 16, 2022, 205/200 calls – 162/157 puts
Original trade published on 11-16-2022 (click to see original alert)

Background: At the time of the trade, IWM was trading for 184.87. We sold the December 16, 2022, 205/200 – 162/157 IWM iron condor for $0.75. The probability of success was 87.74% to the upside and 90.39% to the downside.

Current Thoughts: IWM is currently trading for 183.72 and our iron condor is worth $0.56. Our probability of success stands at 91.32% on the call side and 90.66% on the put side.

So, with 26 days left, our IWM iron condor is in great shape.





The next Cabot Options Institute – Quant Trader issue will be published on November 28, 2022.

Andy Crowder is a professional options trader, researcher and Chief Analyst of Cabot Options Institute. 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.