Last week, prior to the Fed announcement, I decided to close out our two remaining positions for the November expiration cycle. While, in hindsight, holding on through the event would have been the best path for maximizing profits, we did manage to lock in two small gains.
The returns makes it 14 profitable trades out of 15 for a cumulative return of 71.3% since starting Quant Trader back in the beginning of June. Not bad given the wildly volatile market we’ve experienced over the past five months.
This week we will ramp back up opening new positions, this time for the December expiration cycle. I want to stay flat until the elections are over but intend on adding at least three new positions over the next week or so. Stay tuned!
Current Portfolio
| Open Trades | |||||||
| Open Date | Ticker | Strategy | Trade | Open Price | Current Price | Current Probability | Delta |
| Closed Trades | |||||||
| Open Date | Closed Date | Ticker | Strategy | Trade | Open Price | Closing Price | Return |
| 6/2/2022 | 6/13/2022 | SPY | Bear Call Spread | July 15, 2022 440/445 | $0.70 | $0.05 | 14.94% |
| 6/8/2022 | 6/17/2022 | XOP | Bear Call Spread | July 15, 2022 190/195 | $0.70 | $0.04 | 15.21% |
| 6/22/2022 | 7/13/2022 | SPY | Bear Call Spread | July 29, 2022 405/410 | $0.75 | $0.35 | 8.70% |
| 6/30/2022 | 7/25/2022 | IWM | Iron Condor | August 19, 2022 195/200 - 145/140 | $0.70 | $0.34 | 7.76% |
| 7/8/2022 | 7/28/2022 | GLD | Bull Put Spread | August 19, 2022 155/150 | $0.60 | $0.16 | 9.65% |
| 7/14/2022 | 8/11/2022 | SPY | Iron Condor | August 19, 2022 417/412 - 335/330 | $0.70 | $4.10 | -68.00% |
| 8/1/2022 | 8/29/2022 | SPY | Bear Call Spread | September 16, 2022 439/444 | $0.70 | $0.07 | 14.42% |
| 8/11/2022 | 8/29/2022 | DIA | Bear Call Spread | September 23, 2022 350/325 | $0.75 | $0.08 | 15.47% |
| 8/11/2022 | 9/8/2022 | IWM | Iron Condor | September 23, 2022 220/215 - 173/168 | $0.77 | $0.57 | 4.17% |
| 9/7/2022 | 9/9/2022 | QQQ | Bull Put Spread | October 21, 2022 260/255 | $0.62 | $0.30 | 6.84% |
| 9/9/2022 | 9/15/2022 | SPY | Bear Call Spread | October 21, 2022 430/435 | $0.75 | $0.25 | 11.11% |
| 9/13/2022 | 10/17/2022 | IWM | Iron Condor | October 21, 2022 208/203 - 163/158 | $0.77 | $0.30 | 10.40% |
| 10/3/2022 | 10/25/2022 | SPY | Bull Put Spread | November 18, 2022 325/320 | $0.54 | $0.09 | 9.89% |
| 10/4/2022 | 11/2/2022 | IWM | Iron Condor | November 18, 2022 198/203 - 143/138 | $0.64 | $0.32 | 6.84% |
| 10/6/2022 | 11/2/2022 | SPY | Bear Call Spread | November 18, 2022 412/416 | $0.43 | $0.28 | 3.90% |
Volatility Talk
The VIX continues to trade in a short-term oversold state so it wouldn’t surprise me to see a near-term bounce off oversold levels. As I stated last week, if a bounce occurs, we will intently watch how the index responds to the 28 level. Will it act as support or resistance? Alternatively, if the VIX continues to slide the 20 level will be the next obvious area of support. If we get there that simply means the market is in rally mode, a welcome sign for most investors.
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 7, 2022.
Here are the various levels I use to determine if an ETF is in an oversold or overbought state.
| Very Overbought | greater than or equal to 80.1 |
| Overbought | 60.1 to 80.0 |
| Neutral | 40.1 to 60 |
| Oversold | 20.1 to 40.0 |
| Very Oversold | less 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 | IV | IV Rank | HPMR Oversold - Overbought | |
| ARK Innovation ETF | ARKK | 58.5 | 39.7 | 32.8 |
| Proshares Bitcoin ETF | BITO | 62.0 | 7.9 | 73.5 |
| SPDR Dow Jones | DIA | 21.9 | 47.4 | 65.1 |
| iShares MSCI Emerging Markets | EEM | 28.4 | 59 | 70.4 |
| iShares MSCI EAFE | EFA | 24.9 | 48.8 | 66.7 |
| iShares MSCI Mexico ETF | EWW | 26.5 | 31.8 | 83.1 |
| iShares MSCI Brazil | EWZ | 41.5 | 62.9 | 64.7 |
| iShares China Large-Cap | FXI | 60.9 | 82.3 | 62.4 |
| Vaneck Gold Miners | GDX | 44.6 | 54.7 | 58.4 |
| SPDR Gold | GLD | 17.3 | 20.1 | 64.3 |
| iShares High-Yield | HYG | 15.5 | 49.1 | 48.5 |
| iShares Russell 2000 | IWM | 29.2 | 43.8 | 54.1 |
| SPDR Regional Bank | KRE | 27.9 | 23.2 | 58.1 |
| Vaneck Oil Services | OIH | 46.8 | 30.9 | 78.8 |
| Invesco Nasdaq 100 | QQQ | 30.4 | 60.5 | 39.5 |
| iShares Silver Trust | SLV | 36.8 | 52.4 | 76.6 |
| Vaneck Semiconductor | SMH | 39.6 | 49.5 | 58.7 |
| SPDR S&P 500 | SPY | 25.4 | 52 | 49 |
| iShares 20+ Treasury Bond | TLT | 22.8 | 48.7 | 32.3 |
| United States Oil Fund | USO | 46.1 | 44.9 | 73.4 |
| Proshares Ultra VIX Short | UVXY | 93.9 | 4.4 | 22.8 |
| CBOE Market Volatility Index | VIX | 76.6 | 10.2 | 14.6 |
| Barclays S&P 500 VIX ETN | VXX | 60.9 | 6.3 | 23 |
| SPDR Biotech | XLB | 26.0 | 73.5 | 66.4 |
| SPDR Energy Select | XLE | 35.3 | 35.9 | 73.4 |
| SPDR Financials | XLF | 25.6 | 26 | 63.9 |
| SPDR Utilities | XLU | 25.0 | 58.9 | 62.8 |
| SPDR S&P Oil & Gas Explorer | XOP | 45.0 | 19.3 | 69.8 |
| SPDR Retail | XRT | 38.9 | 49.9 | 48.5 |
Stock Watch List – Trade Ideas
| Ticker Symbol | IV | IV Rank | HPMR Oversold - Overbought | |
| Apple | AAPL | 38.7 | 65.2 | 33.6 |
| Bank of America | BAC | 32.6 | 30.3 | 76.7 |
| Bristol-Myers Squibb | BMY | 22.3 | 17.9 | 85.5 |
| Citigroup | C | 33.7 | 27.7 | 52.5 |
| Caterpillar | CAT | 34.7 | 42.3 | 82.7 |
| Comcast | CMCSA | 36.3 | 39.2 | 48.8 |
| Costco | COST | 31.4 | 34.8 | 46.5 |
| Cisco Systems | CSCO | 37.6 | 55.7 | 58.4 |
| Chevron | CVX | 31.4 | 38.9 | 76.3 |
| Disney | DIS | 46.5 | 53.9 | 37.7 |
| Duke Energy | DUK | 26.7 | 39 | 62.1 |
| Fedex | FDX | 35.0 | 35.6 | 50.8 |
| Gilead Sciences | GILD | 28.3 | 35 | 80.7 |
| General Motors | GM | 43.4 | 28.4 | 72.4 |
| Intel | INTC | 40.0 | 46.3 | 59.2 |
| Johnson & Johnson | JNJ | 20.3 | 28.3 | 56.5 |
| JP Morgan | JPM | 29.3 | 25.6 | 82.4 |
| Coca-Cola | KO | 22.6 | 34.8 | 59.5 |
| Altria Group | MO | 25.9 | 26 | 53.4 |
| Merck | MRK | 22.9 | 14.5 | 63.6 |
| Morgan Stanley | MS | 33.1 | 30.1 | 71.6 |
| Microsoft | MSFT | 34.5 | 46 | 39.7 |
| Nextera Energy | NEE | 33.3 | 54.7 | 64.2 |
| Nvidia | NVDA | 63.2 | 39.4 | 71.5 |
| Pfizer | PFE | 27.1 | 17.7 | 61.9 |
| Paypal | PYPL | 48.8 | 29.3 | 20.1 |
| Starbucks | SBUX | 35.8 | 52.6 | 69.3 |
| AT&T | T | 26.9 | 31 | 70.6 |
| Verizon | VZ | 26.2 | 41.4 | 52.8 |
| Walgreens Boots Alliance | WBA | 30.8 | 29.1 | 75.4 |
| Wells Fargo | WFC | 31.6 | 11.5 | 63.9 |
| Walmart | WMT | 29.3 | 57.3 | 65.1 |
| Exxon Mobil | XOM | 32.8 | 31.3 | 74.6 |
Weekly Trade Discussion: Open Positions
*Portfolio updated every Monday
No positions at the moment.
The next Cabot Options Institute – Quant Trader issue will be published on November 14, 2022.
