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Quant Trader
Expert-Level Options for Sophisticated Traders

COI Quant Trader Issue: February 20, 2024

Nvidia (NVDA) is due to announce this week and has the chance to significantly move the market over the short-term. We have two positions that are both bearish-leaning at the moment, so a short-term move to the downside would be welcome. However, if that doesn’t occur, no worries, as long as we the market doesn’t rally significantly higher. If it does, we will need to adjust or close out our SPY iron condor. Shortly after the NVDA announcement I intend to add several new positions to the mix.

Weekly Commentary

Nvidia (NVDA) is due to announce this week and has the chance to significantly move the market over the short-term. We have two positions that are both bearish-leaning at the moment, so a short-term move to the downside would be welcome. However, if that doesn’t occur, no worries, as long as we the market doesn’t rally significantly higher. If it does, we will need to adjust or close out our SPY iron condor. Shortly after the NVDA announcement I intend to add several new positions to the mix.

As always, 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
1/16/2024SPYIron CondorMarch 15, 2024 510/505 - 440/435 $0.66 $1.80 63.58% - 96.77%-0.11
1/23/2024QQQBear CallMarch 1, 2024 445/450 $0.60 $0.50 86.61%-0.06
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%
8/17/20239/13/2023SPYIron CondorOctober 20, 2023 475/470 - 390/385$0.72 $0.25 10.38%
9/6/202310/11/2023IWMIron CondorOctober 20, 2023 204/199 - 169/164$0.62 $0.19 9.41%
* 9/29/202310/27/2023SPYBear Call SpreadNovember 17, 2023 452/457$0.74 $0.03 16.60%
*10/6/202311/3/2023SPYBull Put SpreadNovember 17, 2023 408/403$0.58 $0.03 12.36%
* 10/27/202311/3/2023SPYBear Call SpreadNovember 17, 2023 430/435$0.58 $3.50 -33.20%
10/31/202311/14/2023SPYIron CondorDecember 15, 2023 450/445 - 380/375$0.77 $3.00 -44.60%
11/6/202312/8/2023SPYBear Call SpreadDecember 15, 2023 456/461$0.58 $3.08 -50.00%
12/1/20231/10/2024SPYBear Call SpreadJanuary 19, 2024 475/480$0.75 $2.75 -40.00%
26.97%

Volatility Talk

The VIX picked up a bit last week and even pierced through the 15 level for the first time in months. And while the volatility index couldn’t manage to hold the 15 level at week’s end, the push higher could be a telltale sign of things to come over the next few months. As always, time will tell.

As I’ve stated over the past few weeks and will state again, I do think implied volatility will increase going forward. In fact, we could be seeing some of the lowest levels of volatility for 2024. Since 1992, there have only been four years where the VIX has not pushed above 20. The long-term average, according to the CBOE, is 20. As I’ve written in the past few issues, I’m still looking at a variety of different volatility plays to take advantage of a potential pop in implied volatility over the next three to six months.

COI_QT_022024_VIX.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 February 20, 2024.

Here are the various levels I use to determine if an ETF is in an oversold or overbought state.

Very Overboughta reading greater than or equal to 80.0
Overboughtgreater than or equal to 60.0
Neutralbetween 40 to 60
Oversoldless than or equal 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 ETFARKK42.334.158.2
ProShares Bitcoin ETFBITO69.44982.2
SPDR Dow JonesDIA12.819.354.3
iShares MSCI Emerging MarketsEEM15.812.766.4
iShares MSCI EAFEEFA13.622.264.1
iShares MSCI Mexico ETFEWW22.837.250.7
iShares MSCI BrazilEWZ24.43253.8
iShares China Large-CapFXI33.966.762
VanEck Gold MinersGDX35.151.744.9
SPDR Gold GLD11.711.345.5
iShares High-YieldHYG7.520.743.7
iShares Russell 2000IWM25.353.757.9
SPDR Regional BankKRE36.126.651.1
VanEck Oil ServicesOIH28.910.662
Invesco Nasdaq 100QQQ19.024.751.6
iShares Silver TrustSLV25.218.866.8
VanEck SemiconductorSMH32.467.463.8
SPDR S&P 500 SPY 14.619.759.4
iShares 20+ Treasury BondTLT15.313.737.1
United States Oil FundUSO32.52268.1
ProShares Ultra VIX ShortUVXY99.920.946.1
CBOE Market Volatility IndexVIX88.041.154.5
Barclays S&P 500 VIX ETNVXX68.723.247
SPDR BiotechXLB15.923.868.1
SPDR Energy Select XLE20.86.766.9
SPDR FinancialsXLF16.59.965.9
SPDR UtilitiesXLU21.430.655.5
SPDR S&P Oil & Gas ExplorerXOP26.18.770.3
SPDR Retail XRT29.140.662.7

Stock Watch List – Trade Ideas

Stock - Quant TraderTicker Symbol IVIV Rank HPMR Oversold - Overbought
AppleAAPL23.336.325.1
Bank of AmericaBAC27.317.863.6
Bristol-Myers SquibbBMY25.363.059.2
CitigroupC26.711.256.6
CaterpillarCAT26.024.262.4
ComcastCMCSA26.640.528.8
CostcoCOST24.666.668.8
Cisco SystemsCSCO20.022.926.9
ChevronCVX21.316.267.7
DisneyDIS25.221.878.4
Duke EnergyDUK19.224.136
FedExFDX27.131.136.8
Gilead SciencesGILD24.642.719.9
General MotorsGM29.710.258
IntelINTC38.228.845.4
Johnson & JohnsonJNJ18.435.443.9
JPMorganJPM20.212.570.3
Coca-ColaKO15.621.841.1
Altria GroupMO18.627.843.5
MerckMRK19.016.276.9
Morgan StanleyMS26.019.954.6
MicrosoftMSFT22.216.743.3
NextEra EnergyNEE34.057.149.8
NvidiaNVDA64.788.873.7
PfizerPFE27.652.055.5
PayPalPYPL36.928.444.4
StarbucksSBUX21.825.140.3
AT&TT23.321.443.2
VerizonVZ19.617.847.8
Walgreens Boots AllianceWBA43.160.443.4
Wells FargoWFC28.216.973.7
WalmartWMT24.69568.7
Exxon MobilXOM23.212.650.7

Weekly Trade Discussion: Open Positions

*Portfolio updated every Monday

Iron Condor: SPY March 15, 2024, 510/505 – 440/435

Original trade published on 1-16-2024 (click to see original alert)

Background: At the time of the trade, SPY was trading for roughly 474. We sold the March 15, 2024, SPY 510/505 – 440/435 iron condor for $0.66. The expected range or move was 455 to 494. The probability of success at the time of the trade was 91.07% on the call side and 86.77% on the put side.

Current Thoughts: The SPY now sits at 499.51. With just under a month left until the March 15 expiration, SPY remains uncomfortably close to our short call strike of 505.

This week will be the telltale sign as to whether we need to adjust our position or not. NVDA is due to announce earnings after the close Wednesday and the price action could be wild.

If an adjustment needs to occur, I will most likely buy back the put side of my iron condor and sell another bull put spread at higher strikes to bring in more premium and lower the risk on the trade. That being said, with so much time left until expiration, we have the benefit of taking several different avenues with the aforementioned adjustment being our preference.

Call Side:

COI_QT_022024_SPY_bearcall.png

Put Side:

COI_QT_022024_SPY_bullput.png

Bear Call: QQQ March 1, 2024, 445/450

Original trade published on 1-23-2024 (click to see original alert)

Background: At the time of the trade, QQQ was trading for roughly 422.16. We sold the March 1, 2024, QQQ 445/450 iron condor for $0.60. The expected range or move was 405 to 440. The probability of success at the time of the trade was 85.41% on the call side.

Current Thoughts: QQQ now sits slightly higher at 430.57, roughly 3.4% below our short call strike of 445. Our probability sits at 86.77% on the call side. There are 11 days left until our position is due to expire. If we see a move to the downside early this week, we should be able to take off our trade for a nice return.

Call Side:

COI_QT_022024_QQQ_bearcall.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 February 26, 2024.


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