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 Date | Ticker | Strategy | Trade | Open Price | Current Price | Current Probability | Delta |
8/17/2023 | SPY | Iron Condor | Octboer 20, 2023 475/470 - 390/385 | $0.70 | $0.60 | 92.57% - 88.22% | -0.02 |
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% |
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.
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 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 | 41.9 | 16.4 | 17.3 |
Proshares Bitcoin ETF | BITO | 53.7 | 15.9 | 10.6 |
SPDR Dow Jones | DIA | 15.2 | 18 | 25.8 |
iShares MSCI Emerging Markets | EEM | 20.5 | 30.6 | 18.4 |
iShares MSCI EAFE | EFA | 17.1 | 22.8 | 16.7 |
iShares MSCI Mexico ETF | EWW | 23.7 | 28 | 40.7 |
iShares MSCI Brazil | EWZ | 29.5 | 6 | 25.8 |
iShares China Large-Cap | FXI | 34.9 | 23.8 | 23.4 |
Vaneck Gold Miners | GDX | 32.2 | 12.4 | 18.3 |
SPDR Gold | GLD | 12.6 | 11 | 16.8 |
iShares High-Yield | HYG | 9.2 | 13.5 | 28.1 |
iShares Russell 2000 | IWM | 22.0 | 15.1 | 21.7 |
SPDR Regional Bank | KRE | 34.4 | 15.8 | 22.5 |
Vaneck Oil Services | OIH | 33.3 | 6.8 | 49.1 |
Invesco Nasdaq 100 | QQQ | 22.1 | 16.7 | 23.4 |
iShares Silver Trust | SLV | 25.4 | 9.6 | 39.5 |
Vaneck Semiconductor | SMH | 32.9 | 29.1 | 33.5 |
SPDR S&P 500 | SPY | 17.5 | 21.1 | 22.8 |
iShares 20+ Treasury Bond | TLT | 18.6 | 27.3 | 28.4 |
United States Oil Fund | USO | 29.0 | 6.6 | 51.4 |
Proshares Ultra VIX Short | UVXY | 117.3 | 43.6 | 59.6 |
CBOE Market Volatility Index | VIX | 100.2 | 41.6 | 64.6 |
Barclays S&P 500 VIX ETN | VXX | 83.8 | 42.3 | 59.9 |
SPDR Biotech | XLB | 18.9 | 14.9 | 19.5 |
SPDR Energy Select | XLE | 25.3 | 8.4 | 61 |
SPDR Financials | XLF | 19.5 | 15.8 | 22.6 |
SPDR Utilities | XLU | 17.9 | 18.2 | 34.9 |
SPDR S&P Oil & Gas Explorer | XOP | 31.4 | 6.8 | 64.4 |
SPDR Retail | XRT | 25.6 | 21 | 37.4 |
Stock Watch List – Trade Ideas
Ticker Symbol | IV | IV Rank | HPMR Oversold - Overbought | |
Apple | AAPL | 25.0 | 16.9 | 21.4 |
Bank of America | BAC | 29.3 | 15.6 | 21.7 |
Bristol-Myers Squibb | BMY | 21.5 | 21.3 | 57.8 |
Citigroup | C | 29.1 | 16.5 | 12.1 |
Caterpillar | CAT | 26.4 | 7.8 | 41.1 |
Comcast | CMCSA | 24.0 | 12.4 | 50.9 |
Costco | COST | 20.8 | 22.8 | 27 |
Cisco Systems | CSCO | 19.7 | 14.8 | 73.4 |
Chevron | CVX | 23.6 | 4.8 | 52.8 |
Disney | DIS | 28.2 | 10.8 | 40 |
Duke Energy | DUK | 21.4 | 17.9 | 43 |
Fedex | FDX | 29.2 | 22.9 | 38.7 |
Gilead Sciences | GILD | 24.7 | 32 | 26 |
General Motors | GM | 38.4 | 28.6 | 21.5 |
Intel | INTC | 37.7 | 21.1 | 31.6 |
Johnson & Johnson | JNJ | 25.8 | 72 | 52.3 |
JP Morgan | JPM | 23.2 | 17.9 | 25.1 |
Coca-Cola | KO | 16.4 | 22 | 48.7 |
Altria Group | MO | 20.9 | 26.1 | 25.9 |
Merck | MRK | 21.6 | 16.1 | 69.1 |
Morgan Stanley | MS | 26.2 | 17.8 | 12.4 |
Microsoft | MSFT | 27.4 | 27 | 26.1 |
Nextera Energy | NEE | 25.0 | 15.6 | 31.6 |
Nvidia | NVDA | 67.6 | 71.5 | 45.2 |
Pfizer | PFE | 26.0 | 28.4 | 66.2 |
Paypal | PYPL | 36.2 | 6.4 | 31 |
Starbucks | SBUX | 24.0 | 13.2 | 29.6 |
AT&T | T | 25.1 | 18.1 | 38.3 |
Verizon | VZ | 22.1 | 18.2 | 47.7 |
Walgreens Boots Alliance | WBA | 31.8 | 24.6 | 11.1 |
Wells Fargo | WFC | 30.4 | 16.1 | 25 |
Walmart | WMT | 17.6 | 16.6 | 43.6 |
Exxon Mobil | XOM | 25.4 | 7.9 | 58.9 |
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:
Put Side:
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.