Weekly Commentary
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I’m going to keep it short this week as we enter a busy end to the expiration cycle. We locked in an 11.1% profit in our DIA bear call spread last week to add to our 6.8% gain the week prior. Our total cumulative return stands at 135.63% (an all-time high) with a win ratio of 87.5% (28/32 winning trades) since we started Quant Trader just under one year ago … numbers we are proud of and hope you are as well.
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 |
| 5/5/2023 | SPY | Bear Call | June 16, 2023 430/435 | $0.72 | $0.44 | 89.13% | -0.06 |
| 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% |
| 135.63% | |||||||
Volatility Talk
“Same as it ever was.” – David Byrne
The range-bound chop continues. Since late March the VIX has traded in a range between roughly 17 to 20. Nothing new here. But the tug of war could finally come to an end when the Fed reports again in mid-June. Until then, well, I would not be surprised to see the market and the VIX continue trading in the range that was established seven weeks ago. If so, selling options premium, particularly in the form of iron condors, should work quite well.
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 May 15, 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
| Ticker Symbol | IV | IV Rank | HPMR Oversold - Overbought | |
| ARK Innovation ETF | ARKK | 40.5 | 1.8 | 53.4 |
| Proshares Bitcoin ETF | BITO | 50.0 | 0.9 | 32.3 |
| SPDR Dow Jones | DIA | 16.0 | 10.6 | 39.3 |
| iShares MSCI Emerging Markets | EEM | 17.5 | 10.5 | 35 |
| iShares MSCI EAFE | EFA | 16.5 | 8.5 | 45.8 |
| iShares MSCI Mexico ETF | EWW | 20.5 | 0.7 | 64.2 |
| iShares MSCI Brazil | EWZ | 33.3 | 9.5 | 76.4 |
| iShares China Large-Cap | FXI | 28.2 | 4 | 39.4 |
| Vaneck Gold Miners | GDX | 35.6 | 5.9 | 35 |
| SPDR Gold | GLD | 16.7 | 30.2 | 46.6 |
| iShares High-Yield | HYG | 10.3 | 4.5 | 41.8 |
| iShares Russell 2000 | IWM | 23.0 | 11.3 | 43.5 |
| SPDR Regional Bank | KRE | 54.1 | 43.7 | 30.6 |
| Vaneck Oil Services | OIH | 40.6 | 10.1 | 30.3 |
| Invesco Nasdaq 100 | QQQ | 19.9 | 0.7 | 62.4 |
| iShares Silver Trust | SLV | 30.6 | 21.9 | 23.1 |
| Vaneck Semiconductor | SMH | 26.9 | 2.4 | 45.4 |
| SPDR S&P 500 | SPY | 17.1 | 7.8 | 51.3 |
| iShares 20+ Treasury Bond | TLT | 18.1 | 7.2 | 46.8 |
| United States Oil Fund | USO | 35.4 | 17.8 | 35.5 |
| Proshares Ultra VIX Short | UVXY | 115.5 | 25.6 | 37.7 |
| CBOE Market Volatility Index | VIX | 100.5 | 30.1 | 45.6 |
| Barclays S&P 500 VIX ETN | VXX | 73.6 | 24.3 | 39 |
| SPDR Biotech | XLB | 18.9 | 0.6 | 35.6 |
| SPDR Energy Select | XLE | 30.0 | 18.3 | 29.6 |
| SPDR Financials | XLF | 23.5 | 18.4 | 37.6 |
| SPDR Utilities | XLU | 17.0 | 0.1 | 52.7 |
| SPDR S&P Oil & Gas Explorer | XOP | 39.1 | 15.4 | 39.3 |
| SPDR Retail | XRT | 27.2 | 12.2 | 42.7 |
Stock Watch List – Trade Ideas
| Ticker Symbol | IV | IV Rank | HPMR Oversold - Overbought | |
| Apple | AAPL | 23.4 | 3 | 60.9 |
| Bank of America | BAC | 37.0 | 31.1 | 30.3 |
| Bristol-Myers Squibb | BMY | 20.9 | 19.2 | 46.6 |
| Citigroup | C | 34.2 | 24.3 | 33.1 |
| Caterpillar | CAT | 30.4 | 14.2 | 30.9 |
| Comcast | CMCSA | 25.0 | 10.8 | 55 |
| Costco | COST | 24.4 | 11.6 | 62.6 |
| Cisco Systems | CSCO | 29.6 | 27.9 | 48 |
| Chevron | CVX | 27.8 | 16.4 | 30.5 |
| Disney | DIS | 27.7 | 4.8 | 27.1 |
| Duke Energy | DUK | 19.5 | 1.3 | 42.2 |
| Fedex | FDX | 27.4 | 9.9 | 32.7 |
| Gilead Sciences | GILD | 27.6 | 23.4 | 30.8 |
| General Motors | GM | 37.4 | 11.3 | 38.8 |
| Intel | INTC | 34.5 | 10.7 | 31.7 |
| Johnson & Johnson | JNJ | 17.1 | 13.1 | 36.9 |
| JP Morgan | JPM | 27.2 | 24.3 | 36.5 |
| Coca-Cola | KO | 14.4 | 7.3 | 61.4 |
| Altria Group | MO | 20.9 | 21.3 | 34.1 |
| Merck | MRK | 20.8 | 15.5 | 53 |
| Morgan Stanley | MS | 29.4 | 19.9 | 28 |
| Microsoft | MSFT | 22.8 | 2 | 61.5 |
| Nextera Energy | NEE | 23.2 | 2.3 | 63.1 |
| Nvidia | NVDA | 49.8 | 15.3 | 52.2 |
| Pfizer | PFE | 22.4 | 6.1 | 19.2 |
| Paypal | PYPL | 38.7 | 2.8 | 23 |
| Starbucks | SBUX | 22.6 | 2.2 | 40.9 |
| AT&T | T | 22.1 | 6.6 | 34.4 |
| Verizon | VZ | 20.3 | 8.7 | 43.1 |
| Walgreens Boots Alliance | WBA | 30.1 | 13.5 | 22.1 |
| Wells Fargo | WFC | 37 | 32.6 | 34.4 |
| Walmart | WMT | 24.7 | 29.7 | 67.5 |
| Exxon Mobil | XOM | 30.4 | 18.9 | 27.6 |
Weekly Trade Discussion: Open Positions
*Portfolio updated every Monday
Bear Call: SPY June 16, 2023, 430/435 calls
Original trade published on 5-5-2023 (click to see original alert)
Background: At the time of the trade, SPY was trading for 411. We sold the June 16, 2023, SPY 430/435 bear call spread for $0.72. The expected range or move was 393 to 429.
Current Thoughts: So far, so good. With 33 days left until expiration our bear call is currently trading for $0.45. Our probability of success also continues to push into more favorable territory at 89.02%. If we see our bear call spread reach $0.30 this week or next, I expect to exit the trade with a decent profit. A win here will put us firmly over a 150% total return since we started the service back on June 1 of last year.
Call 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
May 22, 2023.
