Weekly Commentary
We finally had the opportunity to take off our August 18, 2023 462/466 bear call spread for a decent 7.8% gain. Certainly nothing to write home about, but given the rise in the SPY since we opened our 462/466 bear call spread back on June 30, we were more than happy to lock in a profitable trade. We were in the trade for 37 days.
Several days after we locked in our profit in the SPY 462/466 bear call spread we were given the opportunity to lock in another winner, a 9.9% profit in our SPY September 15, 470/475 bear call spread. We were in the trade for 7 days.
Overall, our track record continues to thrive, even though volatility has pared back, limiting our opportunities recently. Our win rate sits at 86.8% (33 out 38 winning trades) with a total return of just under 150%.
I expect to ramp up our positions this week, as we are currently flat in the portfolio. Expect to see one to two trades early in the week, and if all goes well, we might have the potential to add more. Of course, as usual, we aren’t going to force trades. Trading for action is simply a failed approach. You have to take what the market gives you and, in our case, we want to see high-probability opportunities that offer decent premium-selling potential.
If you have any questions, please do not hesitate to email me at andy@cabotwealth.com.
Current Portfolio
Open Trades | |||||||
| Open Date | Ticker | Strategy | Trade | Open Price | Current Price | Current Probability | Delta |
| 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% |
| 11/16/2022 | 11/28/2022 | IWM | Iron Condor | December 16, 2022 205/200 - 162/157 | $0.75 | $0.24 | 11.36% |
| 11/10/2022 | 12/6/2022 | SPY | Bear Call Spread | December 16, 2022 420/425 | $0.65 | $0.14 | 11.36% |
| 12/1/2022 | 12/6/2022 | SPY | Bear Call Spread | January 20, 2023 435/440 | $0.67 | $0.18 | 10.86% |
| 12/13/2022 | 12/15/2022 | SPY | Bear Call Spread | January 20, 2023 430/435 | $0.54 | $0.17 | 7.99% |
| 12/7/2023 | 1/6/2023 | IWM | Iron Condor | January 20, 2023 202/198 - 160/156 | $0.70 | $0.06 | 19.00% |
| 1/4/2023 | 2/1/2023 | IWM | Iron Condor | February 17, 2023 200/195 - 154/149 | $0.65 | $2.00 | -27.00% |
| 1/6/2023 | 2/2/2023 | SPY | Bear Call Spread | February 17, 2023 415/420 | $0.60 | $2.50 | -38.00% |
| 2/2/2023 | 2/15/2023 | SPY | Bear Call Spread | March 17, 2023 440/445 | $0.63 | $0.15 | 10.62% |
| 2/10/2023 | 2/22/2023 | DIA | Bear Call Spread | March 31, 2023 355/360 | $0.70 | $0.17 | 11.86% |
| 2/2/2023 | 3/1/2023 | IWM | Iron Condor | March 17, 2023 175/180 - 215/220 | $0.72 | $0.51 | 4.38% |
| 3/6/2023 | 3/13/2023 | DIA | Bear Call Spread | April 21, 2023 350/355 | $0.85 | $0.17 | 15.74% |
| 2/23/2023 | 3/28/2023 | SPY | Iron Condor | April 21, 2023 435/430 - 350/345 | $0.80 | $0.15 | 14.94% |
| 3/23/2023 | 4/11/2023 | DIA | Bear Call Spread | April 21, 2023 338/443 | $0.62 | $2.05 | -28.60% |
| 3/23/2023 | 4/19/2023 | IWM | Iron Condor | May 19, 2023 196/191 - 147/142 | $0.83 | $0.23 | 13.64% |
| 4/12/2023 | 4/21/2023 | DIA | Bear Call Spread | May 19, 2023 350/355 | $0.82 | $0.44 | 8.23% |
| 4/21/2023 | 5/2/2023 | SPY | Iron Condor | June 16, 2023 440/435 - 365/360 | $0.95 | $0.63 | 6.84% |
| 4/24/2023 | 5/10/2023 | DIA | Bear Call Spread | June 16, 2023 354/359 | $0.72 | $0.22 | 11.11% |
| 5/5/2023 | 5/24/023 | SPY | Bear Call Spread | June 16, 2023 430/435 | $0.72 | $0.35 | 7.99% |
| 6/15/2023 | 6/22/2023 | SPY | Bear Call Spread | August 18, 2023 465/470 | $0.70 | $0.24 | 10.13% |
| 5/26/2023 | 6/23/2023 | IWM | Iron Condor | July 21, 2023 191/196 - 156/151 | $0.79 | $0.50 | 6.15% |
| 5/31/2023 | 7/12/2023 | QQQ | Bear Call Spread | July 21, 2023 375/380 | $0.60 | $1.80 | -31.60% |
| 6/30/2023 | 8/7/2023 | SPY | Bear Call Spread | August 18, 2023 462/466 | $0.52 | $0.23 | 7.82% |
| 8/4/2023 | 8/11/2023 | SPY | Bear Call Spread | September 15, 2023 470/475 | $0.65 | $0.20 | 9.90% |
Volatility Talk
Shortly after the VIX closed the week above 17 the investor’s fear gauge quickly turned south. The triumphant return we spoke about last week fizzled out as soon as at it made an appearance, closing the week below 15 at 14.84.
So, now we sit back in the top part of the 13 to 15 range we’ve been trading in since the beginning of June. Ideally, we would like to see the VIX above 15, preferably above 16 or 17, as this makes premium selling opportunities far easier to find.
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 August 14, 2023.
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
| Exchange Traded Fund | Ticker Symbol | IV | IV Rank | HPMR Oversold - Overbought |
| ARK Innovation ETF | ARKK | 40.2 | 11.7 | 23.2 |
| ProShares Bitcoin ETF | BITO | 42.4 | 3.9 | 42.8 |
| SPDR Dow Jones | DIA | 13.8 | 9.5 | 53.7 |
| iShares MSCI Emerging Markets | EEM | 19.4 | 24.1 | 28.2 |
| iShares MSCI EAFE | EFA | 15.4 | 18.5 | 37.1 |
| iShares MSCI Mexico ETF | EWW | 23.6 | 27 | 39.6 |
| iShares MSCI Brazil | EWZ | 30.2 | 6 | 30.1 |
| iShares China Large-Cap | FXI | 30.6 | 12.3 | 36.8 |
| VanEck Gold Miners | GDX | 30.5 | 6.7 | 41.3 |
| SPDR Gold | GLD | 11.3 | -2.8 | 27.7 |
| iShares High-Yield | HYG | 9.0 | 14.3 | 47.6 |
| iShares Russell 2000 | IWM | 20.1 | 4.9 | 32.6 |
| SPDR Regional Bank | KRE | 31.3 | 10.7 | 50.7 |
| VanEck Oil Services | OIH | 31.9 | 2.8 | 70.1 |
| Invesco Nasdaq 100 | QQQ | 20.9 | 9.9 | 28.8 |
| iShares Silver Trust | SLV | 23.3 | -3.2 | 24.3 |
| VanEck Semiconductor | SMH | 31.6 | 25 | 22 |
| SPDR S&P 500 | SPY | 15.2 | 9.3 | 35.2 |
| iShares 20+ Treasury Bond | TLT | 18.0 | 24 | 33.2 |
| United States Oil Fund | USO | 26.9 | 0.7 | 66.4 |
| ProShares Ultra VIX Short | UVXY | 117.8 | 39.6 | 41.9 |
| CBOE Market Volatility Index | VIX | 98.1 | 2.4 | 44.9 |
| Barclays S&P 500 VIX ETN | VXX | 83.5 | 41.2 | 43 |
| SPDR Biotech | XLB | 16.8 | 9.2 | 33.2 |
| SPDR Energy Select | XLE | 23.4 | 2.5 | 83.2 |
| SPDR Financials | XLF | 17.4 | 8 | 46.2 |
| SPDR Utilities | XLU | 16.7 | 14.2 | 36.4 |
| SPDR S&P Oil & Gas Explorer | XOP | 30.2 | 3.5 | 76.9 |
| SPDR Retail | XRT | 24.3 | 14.3 | 39.5 |
Stock Watch List – Trade Ideas
| Ticker Symbol | IV | IV Rank | HPMR Oversold - Overbought | |
| Apple | AAPL | 22.9 | 10 | 17.7 |
| Bank of America | BAC | 25.7 | 5.8 | 50.3 |
| Bristol-Myers Squibb | BMY | 21.6 | 16.4 | 47.4 |
| Citigroup | C | 25.5 | 6.1 | 26.7 |
| Caterpillar | CAT | 24.9 | 1.7 | 69.7 |
| Comcast | CMCSA | 21.4 | 5.5 | 76.7 |
| Costco | COST | 18.9 | 14.3 | 62.8 |
| Cisco Systems | CSCO | 26.7 | 37.5 | 69.9 |
| Chevron | CVX | 22.7 | 1.9 | 72.3 |
| Disney | DIS | 27.4 | 10.1 | 55.3 |
| Duke Energy | DUK | 20.5 | 9.9 | 62.8 |
| FedEx | FDX | 25.5 | 10.6 | 53.8 |
| Gilead Sciences | GILD | 25.1 | 17.2 | 66.9 |
| General Motors | GM | 35.0 | 19 | 15.9 |
| Intel | INTC | 35.0 | 12.5 | 51.8 |
| Johnson & Johnson | JNJ | 24.6 | 50.7 | 65.4 |
| JPMorgan | JPM | 20.5 | 9 | 45.7 |
| Coca-Cola | KO | 14.2 | 12.2 | 45.5 |
| Altria Group | MO | 17.5 | 13.4 | 18.1 |
| Merck | MRK | 20.0 | 7.4 | 59.1 |
| Morgan Stanley | MS | 23.1 | 7.9 | 27.8 |
| Microsoft | MSFT | 26.2 | 22.8 | 29.2 |
| NextEra Energy | NEE | 24.3 | 13.4 | 31.1 |
| Nvidia | NVDA | 64.8 | 65.9 | 21.2 |
| Pfizer | PFE | 22.4 | 12.3 | 55.4 |
| PayPal | PYPL | 33.7 | 0.9 | 25.7 |
| Starbucks | SBUX | 21.9 | 7.3 | 48.1 |
| AT&T | T | 22.9 | 12.3 | 52.1 |
| Verizon | VZ | 21 | 12.9 | 53.2 |
| Walgreens Boots Alliance | WBA | 27.7 | 9.9 | 38.3 |
| Wells Fargo | WFC | 26.5 | 6.6 | 30.3 |
| Walmart | WMT | 22.8 | 38.3 | 68.3 |
| Exxon Mobil | XOM | 23.3 | 1.9 | 80.6 |
Weekly Trade Discussion: Open Positions
*Portfolio updated every Monday
There are no open positions at the moment. Per our comments above, we will be adding positions towards the early part of the week.
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
August 21, 2023.