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Quant Trader
Expert-Level Options for Sophisticated Traders

COI Quant Trader Issue: August 21, 2023

The return of volatility helped us to sell an iron condor this past week for a nice, wide range and decent options premium. Our hope is that we can continue to sell more options premium at even higher levels. The October expiration cycle is 60 days away so now is a great time to enter a few additional positions with the intent of getting out of the trade well before the 60 days are up. Remember, as we discussed on our last subscriber-only call, our average hold time per trade is only 20.6 days, even though we enter trades with roughly 30 to 60 days left until expiration. My goal over the next week or two is to ramp up our open positions to at least three open trades, potentially more, but, as always, Mr. Market will dictate how many we trades are able to get off.

Weekly Commentary

The return of volatility helped us to sell an iron condor this past week for a nice, wide range and decent options premium. Our hope is that we can continue to sell more options premium at even higher levels. The October expiration cycle is 60 days away so now is a great time to enter a few additional positions with the intent of getting out of the trade well before the 60 days are up. Remember, as we discussed on our last subscriber-only call, our average hold time per trade is only 20.6 days, even though we enter trades with roughly 30 to 60 days left until expiration. My goal over the next week or two is to ramp up our open positions to at least three open trades, potentially more, but, as always, Mr. Market will dictate how many we trades are able to get off.

If you have any questions, please do not hesitate to email me at andy@cabotwealth.com.

Current Portfolio

Open Trades

Open DateTickerStrategyTradeOpen PriceCurrent PriceCurrent ProbabilityDelta
8/17/2023SPYIron CondorOctboer 20, 2023 475/470 - 390/385$0.70 $0.60 92.57% - 88.22%-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%
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%
4/24/20235/10/2023DIABear Call SpreadJune 16, 2023 354/359$0.72 $0.22 11.11%
5/5/20235/24/023SPYBear Call SpreadJune 16, 2023 430/435$0.72 $0.35 7.99%
6/15/20236/22/2023SPYBear Call SpreadAugust 18, 2023 465/470$0.70 $0.24 10.13%
5/26/20236/23/2023IWMIron CondorJuly 21, 2023 191/196 - 156/151$0.79 $0.50 6.15%
5/31/20237/12/2023QQQBear Call SpreadJuly 21, 2023 375/380$0.60 $1.80 -31.60%
6/30/20238/7/2023SPYBear Call SpreadAugust 18, 2023 462/466$0.52 $0.23 7.82%
8/4/20238/11/2023SPYBear Call SpreadSeptember 15, 2023 470/475$0.65 $0.20 9.90%
146.02%

Volatility Talk

Welcome back! Volatility, as seen through the VIX, continues to slowly creep higher as it now stands at 17.30, or back to where it was at the onset of June. Opportunities to sell premium are far more plentiful with the VIX back above 17, so expect to see a few more trade alerts to drop into your email inbox over the next day or two as we want to take advantage of the currently pseudo-heightened levels.

COI_QT_082123_VIXchart.png

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 21, 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

Exchange Traded FundTicker Symbol IVIV Rank HPMR Oversold - Overbought
ARK Innovation ETFARKK41.916.417.3
Proshares Bitcoin ETFBITO53.715.910.6
SPDR Dow JonesDIA15.21825.8
iShares MSCI Emerging MarketsEEM20.530.618.4
iShares MSCI EAFEEFA17.122.816.7
iShares MSCI Mexico ETFEWW23.72840.7
iShares MSCI BrazilEWZ29.5625.8
iShares China Large-CapFXI34.923.823.4
Vaneck Gold MinersGDX32.212.418.3
SPDR Gold GLD12.61116.8
iShares High-YieldHYG9.213.528.1
iShares Russell 2000IWM22.015.121.7
SPDR Regional BankKRE34.415.822.5
Vaneck Oil ServicesOIH33.36.849.1
Invesco Nasdaq 100QQQ22.116.723.4
iShares Silver TrustSLV25.49.639.5
Vaneck SemiconductorSMH32.929.133.5
SPDR S&P 500 SPY 17.521.122.8
iShares 20+ Treasury BondTLT18.627.328.4
United States Oil FundUSO29.06.651.4
Proshares Ultra VIX ShortUVXY117.343.659.6
CBOE Market Volatility IndexVIX100.241.664.6
Barclays S&P 500 VIX ETNVXX83.842.359.9
SPDR BiotechXLB18.914.919.5
SPDR Energy Select XLE25.38.461
SPDR FinancialsXLF19.515.822.6
SPDR UtilitiesXLU17.918.234.9
SPDR S&P Oil & Gas ExplorerXOP31.46.864.4
SPDR Retail XRT25.62137.4

Stock Watch List – Trade Ideas

Ticker Symbol IVIV Rank HPMR Oversold - Overbought
AppleAAPL25.016.921.4
Bank of AmericaBAC29.315.621.7
Bristol-Myers SquibbBMY21.521.357.8
CitigroupC29.116.512.1
CaterpillarCAT26.47.841.1
ComcastCMCSA24.012.450.9
CostcoCOST20.822.827
Cisco SystemsCSCO19.714.873.4
ChevronCVX23.64.852.8
DisneyDIS28.210.840
Duke EnergyDUK21.417.943
FedexFDX29.222.938.7
Gilead SciencesGILD24.73226
General MotorsGM38.428.621.5
IntelINTC37.721.131.6
Johnson & JohnsonJNJ25.87252.3
JP MorganJPM23.217.925.1
Coca-ColaKO16.42248.7
Altria GroupMO20.926.125.9
MerckMRK21.616.169.1
Morgan StanleyMS26.217.812.4
MicrosoftMSFT27.42726.1
Nextera EnergyNEE25.015.631.6
NvidiaNVDA67.671.545.2
PfizerPFE26.028.466.2
PaypalPYPL36.26.431
StarbucksSBUX24.013.229.6
AT&TT25.118.138.3
VerizonVZ22.118.247.7
Walgreens Boots AllianceWBA31.824.611.1
Wells FargoWFC30.416.125
WalmartWMT17.616.643.6
Exxon MobilXOM25.47.958.9

Weekly Trade Discussion: Open Positions

*Portfolio updated every Monday

Iron Condor: SPY October 20, 2023, 385/390 – 470/475 calls

Original trade published on 8-17-2023 (click to see original alert)

Background: At the time of the trade, SPY was trading for 440. We sold the October 20, 2023, SPY 385/390 – 470/475 iron condor for $0.70. The expected range or move was 418 to 462.

Current Thoughts: We are only a few days into the trade so there really isn’t much to discuss at the moment. SPY pushed lower shortly after the trade was placed and now trades for 436.50. As a result our probability of success for the trade currently stands at 92.29% on the call side and 88.42% on the put side.

Call Side:

COI_QT_082123_SPY_bearcall.png

Put Side:

COI_QT_082123_SPY_bullput.png

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 28, 2023.