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Quant Trader
Expert-Level Options for Sophisticated Traders

COI Quant Trader Issue: February 26, 2024

We finally locked in a profit last week in our QQQ bear call spread … and it looked like a similar fate was not far off for our SPY iron condor. That is until NVDA reported earnings and the market rocketed higher shortly after the announcement. The push higher in the S&P 500 led to SPY piercing our short call strike of 505. The spread is now worth $2.87. Given the near-term overbought readings and numerous short-term bearish indicators flashing red, I will continue to hold the position, but plan to exit if our spread hits $3.16.

I’ll be adding several more positions to the mix this week. Stay tuned!

Weekly Commentary

We finally locked in a profit last week in our QQQ bear call spread … and it looked like a similar fate was not far off for our SPY iron condor. That is until NVDA reported earnings and the market rocketed higher shortly after the announcement. The push higher in the S&P 500 led to SPY piercing our short call strike of 505. The spread is now worth $2.87. Given the near-term overbought readings and numerous short-term bearish indicators flashing red, I will continue to hold the position, but plan to exit if our spread hits $3.16.

I’ll be adding several more positions to the mix this week. Stay tuned!

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

Current Portfolio

Open DateTickerStrategyTradeOpen PriceCurrent PriceCurrent ProbabilityDelta
1/16/2024SPYIron CondorMarch 15, 2024 510/505 - 440/435 $0.66 $2.87 42.31% - 98.30%-0.14
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%
1/23/20242/21/2024QQQBear Call SpreadMarch 1, 2024 445/450 $0.60 $0.20 8.70%

Volatility Talk

After the VIX pushed through 15 and actually held (for one day), some market participants, including myself, thought we might have a chance at moving back to normal levels, around 20. However, NVDA’s earnings announcement squashed that idea, at least for the time being. Until we see the VIX push above 15 and work its way to the 20 level, trading opportunities, particularly in the major market indices (SPY), will be more challenging. Until then, we will need to look elsewhere for the “normal” levels of implied volatility we prefer.

COI_QT_022624_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 26, 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 ETFARKK43.326.448.6
ProShares Bitcoin ETFBITO63.640.162.5
SPDR Dow JonesDIA13.618.469.2
iShares MSCI Emerging MarketsEEM16.68.674.5
iShares MSCI EAFEEFA14.79.877.5
iShares MSCI Mexico ETFEWW23.440.337.8
iShares MSCI BrazilEWZ24.524.848.5
iShares China Large-CapFXI33.849.774.2
VanEck Gold MinersGDX36.542.145.2
SPDR Gold GLD11.828.164.8
iShares High-YieldHYG8.22.258.1
iShares Russell 2000IWM26.539.854.1
SPDR Regional BankKRE36.317.843.6
VanEck Oil ServicesOIH29.85.563.1
Invesco Nasdaq 100QQQ20.313.161.4
iShares Silver TrustSLV24.512.554.5
VanEck SemiconductorSMH33.943.668.3
SPDR S&P 500 SPY 15.411.671.5
iShares 20+ Treasury BondTLT15.610.654.8
United States Oil FundUSO34.424.248.9
ProShares Ultra VIX ShortUVXY102.814.436
CBOE Market Volatility IndexVIX86.242.743.8
Barclays S&P 500 VIX ETNVXX71.919.636.5
SPDR BiotechXLB16.310.177.2
SPDR Energy Select XLE21.91.661.5
SPDR FinancialsXLF16.89.176
SPDR UtilitiesXLU22.117.661.7
SPDR S&P Oil & Gas ExplorerXOP26.9663
SPDR Retail XRT32.331.368

Stock Watch List – Trade Ideas

Stock - Quant TraderTicker Symbol IVIV Rank HPMR Oversold - Overbought
AppleAAPL23.821.037
Bank of AmericaBAC27.411.058.5
Bristol-Myers SquibbBMY23.953.677.1
CitigroupC26.43.466.4
CaterpillarCAT27.515.862.4
ComcastCMCSA29.026.640.4
CostcoCOST24.952.378.6
Cisco SystemsCSCO18.711.840.6
ChevronCVX21.49.761.7
DisneyDIS24.411.755.3
Duke EnergyDUK19.615.947.8
FedExFDX32.734.159
Gilead SciencesGILD24.328.444.9
General MotorsGM30.23.468.1
IntelINTC40.212.540.8
Johnson & JohnsonJNJ17.917.771.9
JPMorganJPM20.29.683.4
Coca-ColaKO13.810.774
Altria GroupMO19.916.468.8
MerckMRK19.27.280.9
Morgan StanleyMS26.011.056.8
MicrosoftMSFT22.73.856.2
NextEra EnergyNEE31.546.647.9
NvidiaNVDA67.344.573.8
PfizerPFE26.940.259.3
PayPalPYPL36.820.548.5
StarbucksSBUX21.421.261.3
AT&TT22.718.542.3
VerizonVZ20.016.650.1
Walgreens Boots AllianceWBA41.963.842
Wells FargoWFC27.37.981.7
WalmartWMT1822.373.7
Exxon MobilXOM236.355.2

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 507.85. With just 18 days left until the March 15 expiration, SPY sits above our short call strike of 505. There is no doubt our position is in a precarious position as any follow-through to last week’s bullishness will certainly lead to taking a loss. If we expect to take a profit off the table a near-term decline needs to occur. As I write this, S&P futures are down 12.25 and SPY is trading around 506.89 after hours … certainly a move in the right direction.

Call Side:

COI_QT_022624_SPY_bearcall.png

Put Side:

COI_QT_022624_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 March 4, 2024.


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