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Quant Trader
Expert-Level Options for Sophisticated Traders

COI Quant Trader Issue: March 4, 2024

The S&P 500 is roughly 24% higher without a 2% decline. So, the air is starting to get thin at these price levels. In addition, the rally, without a 2% pullback, has lasted for 88 days. This puts the current bullish streak in the top 25 all-time and top 3 in terms of returns since 1928. The largest move without a 2% decline came in 1994, when the S&P rallied 26.3%.

It can’t be argued that we are witnessing something well outside of normal distribution.

Weekly Commentary

The S&P 500 is roughly 24% higher without a 2% decline. So, the air is starting to get thin at these price levels. In addition, the rally, without a 2% pullback, has lasted for 88 days. This puts the current bullish streak in the top 25 all-time and top 3 in terms of returns since 1928. The largest move without a 2% decline came in 1994, when the S&P rallied 26.3%.

It can’t be argued that we are witnessing something well outside of normal distribution.

While we could certainly see a continuation of this current rally, the probability of a move to the downside, given the plethora of current short-term indicators, is high. One thing is certain: It will be interesting to see how the market reacts at these levels as we head into triple witching (expiration of stock index futures, stock index options, single stock options) on March 15.

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 $2.87 27.25% - 98.83%-0.13
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%
35.67%

Volatility Talk

Volatility continues to sit at low levels and as a result, complacency amongst the investment crowd remains at the forefront. Just remember, with an election in the not-so-distant future and seasonal weakness at the doorstep, I expect volatility to see a climb towards normal levels (18-20). It’s my plan to add a volatility-based trade over the next week or two to take advantage of any volatility expansion over the course of the next six to eight months.

COI_QT_030524_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 March 4, 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 ETFARKK41.629.261.3
ProShares Bitcoin ETFBITO78.183.284.6
SPDR Dow JonesDIA13.619.467.1
iShares MSCI Emerging MarketsEEM25.513.662.3
iShares MSCI EAFEEFA13.611.775.1
iShares MSCI Mexico ETFEWW23.941.838.1
iShares MSCI BrazilEWZ27.731.148.5
iShares China Large-CapFXI33.255.360.1
VanEck Gold MinersGDX39.960.461.6
SPDR Gold GLD13.743.783.8
iShares High-YieldHYG16.613.950.2
iShares Russell 2000IWM24.446.467.3
SPDR Regional BankKRE62.52544.1
VanEck Oil ServicesOIH30.710.768.2
Invesco Nasdaq 100QQQ18.217.172.9
iShares Silver TrustSLV25.019.262.8
VanEck SemiconductorSMH30.249.378.6
SPDR S&P 500 SPY 13.313.476.2
iShares 20+ Treasury BondTLT15.314.861.4
United States Oil FundUSO32.325.168.3
ProShares Ultra VIX ShortUVXY94.115.933.8
CBOE Market Volatility IndexVIX79.142.544.4
Barclays S&P 500 VIX ETNVXX62.917.835.4
SPDR BiotechXLB13.521.579.7
SPDR Energy Select XLE23.86.670
SPDR FinancialsXLF34.09.268.6
SPDR UtilitiesXLU22.627.853.1
SPDR S&P Oil & Gas ExplorerXOP29.411.572.8
SPDR Retail XRT38.037.674.8

Stock Watch List – Trade Ideas

Stock - Quant TraderTicker Symbol IVIV Rank HPMR Oversold - Overbought
AppleAAPL22.735.029.7
Bank of AmericaBAC25.714.461.6
Bristol-Myers SquibbBMY30.060.559.2
CitigroupC27.29.957.1
CaterpillarCAT26.423.378.4
ComcastCMCSA34.243.559.5
CostcoCOST27.282.576.8
Cisco SystemsCSCO18.320.439.4
ChevronCVX20.915.349.2
DisneyDIS24.419.074.2
Duke EnergyDUK20.131.839.3
Gilead SciencesGILD27.631.036.4
General MotorsGM33.98.881.9
IntelINTC37.420.157.2
Johnson & JohnsonJNJ16.720.369.3
JPMorganJPM21.213.775.9
Coca-ColaKO14.218.933.4
Altria GroupMO24.227.355.6
MerckMRK18.722.044.2
Morgan StanleyMS24.617.057.5
MicrosoftMSFT20.710.366.8
NextEra EnergyNEE32.455.437.2
NvidiaNVDA46.131.977.1
PfizerPFE25.444.530.6
PayPalPYPL35.625.258.7
StarbucksSBUX21.729.741.8
AT&TT22.418.353.1
VerizonVZ25.024.846.6
Walgreens Boots AllianceWBA54.486.145.8
Wells FargoWFC25.611.475.8
WalmartWMT16.831.859.6
Exxon MobilXOM22.110.269.2

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 512.85. With just 12 days left until the March 15 expiration, SPY sits above our short call strike of 505. 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 and SPY is trading around 511.96… certainly a move in the right direction, but still well above our short strike of 505. We still have a probability of touch of 57.98%, but we will need to see a significant push lower over the next few days, otherwise we will need to close our position and move on to the next opportunity.

Call Side:

COI_QT_030524_SPY_bearcall.png

Put Side:

COI_QT_030524_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 11, 2024.


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