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Quant Trader
Expert-Level Options for Sophisticated Traders

COI Quant Trader Issue: January 16, 2024

We are completely flat at the moment.

Volatility continues to float between a fairly tight range of 12 to 14 which makes it challenging to sell premium, at least in the major indices. If we see a push to 15 or higher, I’ll most likely add a premium selling play in SPY. Until then, my focus is sector ETFs and individual stocks. I’m leaning more towards the former at the moment with earnings season upon us. But I’m definitely looking to sell premium shortly after a few key announcements in some of the big blue-chip stocks over the next few weeks in Microsoft (MFST), Visa (V) and a few others.

Weekly Commentary

We are completely flat at the moment.

Volatility continues to float between a fairly tight range of 12 to 14 which makes it challenging to sell premium, at least in the major indices. If we see a push to 15 or higher, I’ll most likely add a premium selling play in SPY. Until then, my focus is sector ETFs and individual stocks. I’m leaning more towards the former at the moment with earnings season upon us. But I’m definitely looking to sell premium shortly after a few key announcements in some of the big blue-chip stocks over the next few weeks in Microsoft (MFST), Visa (V) and a few others.

My goal is to ramp up the portfolio with an iron condor, bull put spread and bear call spread all of which, at least initially, create a delta-neutral portfolio. Basically, we don’t want to lean too heavily towards the bullish or bearish side of things. I’m also still looking at a few volatility plays just in case we see a pop in volatility over the next few months.

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
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%

Volatility Talk

Even with the pullback last week, complacency continues to dominate the psyche of market participants. Again, this is clearly seen through the “performance” of the volatility index, or VIX.

However, the pullback has increased the implied volatility in quite a few high-options-volume, blue-chip stocks so opportunities are once again rearing their head … thankfully. It would still be nice to see the volatility in SPY and all of the other major indexes we follow (DIA, QQQ, IWM, etc.) push to slightly elevated levels. Although, I’ll take just “normal” levels of volatility at this point.

COI_QT_011624_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 January 16, 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 ETFARKK39.729.329.1
ProShares Bitcoin ETFBITO68.559.341.8
SPDR Dow JonesDIA11.61054.9
iShares MSCI Emerging MarketsEEM16.317.843.9
iShares MSCI EAFEEFA13.213.459.5
iShares MSCI Mexico ETFEWW24.046.649.8
iShares MSCI BrazilEWZ25.31.149.4
iShares China Large-CapFXI29.026.339.2
VanEck Gold MinersGDX30.933.845.9
SPDR Gold GLD13.224.157.6
iShares High-YieldHYG8.818.668.9
iShares Russell 2000IWM9.729.738.1
SPDR Regional BankKRE31.218.735.1
VanEck Oil ServicesOIH31.217.935.7
Invesco Nasdaq 100QQQ16.99.665.3
iShares Silver TrustSLV26.222.845
VanEck SemiconductorSMH25.325.358.6
SPDR S&P 500 SPY 12.56.665.1
iShares 20+ Treasury BondTLT14.910.841.5
United States Oil FundUSO37.853.953
ProShares Ultra VIX ShortUVXY91.512.832.4
CBOE Market Volatility IndexVIX85.140.844.1
Barclays S&P 500 VIX ETNVXX62.41333
SPDR BiotechXLB14.215.434.1
SPDR Energy Select XLE22.614.142.4
SPDR FinancialsXLF16.07.550.7
SPDR UtilitiesXLU16.925.941.5
SPDR S&P Oil & Gas ExplorerXOP27.412.140.9
SPDR Retail XRT24.230.533.5

Stock Watch List – Trade Ideas

Stock - Quant TraderTicker Symbol IVIV Rank HPMR Oversold - Overbought
AppleAAPL24.534.542.4
Bank of AmericaBAC24.19.434.4
Bristol-Myers SquibbBMY26.979.433.3
CitigroupC25.08.552.5
CaterpillarCAT28.738.652.4
ComcastCMCSA29.448.139.8
CostcoCOST16.713.879.1
Cisco SystemsCSCO18.920.154.9
ChevronCVX24.633.645.7
DisneyDIS33.858.047.5
Duke EnergyDUK19.825.855.3
FedExFDX19.20.340.5
Gilead SciencesGILD25.139.371.5
General MotorsGM35.035.439.5
IntelINTC42.157.744.4
Johnson & JohnsonJNJ18.948.875.7
JP MorganJPM17.84.643.8
Coca-ColaKO13.613.067.8
Altria GroupMO18.532.350.1
MerckMRK19.816.387.6
Morgan StanleyMS25.820.833.8
MicrosoftMSFT27.850.280.9
NextEra EnergyNEE29.949.845.4
NvidiaNVDA35.77.082.1
PfizerPFE27.855.445.3
PayPalPYPL48.768.550.6
StarbucksSBUX31.676.529.1
AT&TT29.348.438.8
VerizonVZ24.339.248.8
Walgreens Boots AllianceWBA37.641.829.2
Wells FargoWFC23.52.227
WalmartWMT15.616.471.9
Exxon MobilXOM25.225.257.6

Weekly Trade Discussion: Open Positions

*Portfolio updated every Monday

No trades at the moment.

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 January 22, 2024.

Andy Crowder is a professional options trader, researcher and Chief Analyst of Cabot Options Institute. Formerly with Oppenheimer & Co. in New York, Andy has leveraged his investment experience to develop his statistically based options trading strategy which applies probability theory to option valuations in order to execute risk-controlled trades. This proprietary strategy has been refined through two decades of research and real-world experience and has been featured in the Wall Street Journal, Seeking Alpha, and numerous other financial publications. Andy has helped thousands of option traders learn and implement his meticulous rules-driven options trading strategies through highly attended conferences, one-on-one coaching, webinars, and his work as a financial columnist. He currently resides in Bolton Valley, Vermont and when he’s not trading, teaching and writing about options, he enjoys spending time with his wife and two daughters, backcountry skiing, biking, running and enjoying all things outdoors.