Weekly Commentary
We decided to take off our SPY June 16, 2023 430/435 bear call spread for a nice profit last week which marked 29 out of 33 winning trades since we started Quant Trader exactly one year ago. Moreover, our total return is now hovering around its highest point at 150%.
We could not be happier with the performance so far, especially given the pedestrian returns in the overall market over the same time frame. That being said, don’t get overconfident and decide to alter your risk-management approach. Proper risk management is what truly separates those that are successful over the long term versus those that continue to be challenged.
So, with three successful trades under our belt for the June 16, 2023 expiration cycle, we need to quickly shift our focus to July. Late last week, I added our first trade for the July 21, 2023 expiration cycle, an iron condor in IWM. My hope is to add one, if not two, more trades this week, preferably a bear call spread and a bull put spread.
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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 |
| 5/26/2023 | IWM | Iron Condor | July 21, 2023 196/191 - 156/151 | $0.79 | $0.79 | 87.94% - 85.68% | -0.05 |
| 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% |
| 5/5/2023 | 5/24/023 | SPY | Bear Call Spread | June 16, 2023 430/435 | $0.72 | $0.35 | 7.99% |
| 143.62% | |||||||
Volatility Talk
The range-bound action continues in the “investor’s fear gauge.” The VIX managed to hit the top portion of the two-month range (16 - 20) last week, only to close the week smack in the middle of the range at 17.95. My guess, and it’s only a guess, is that the market continues to trade range bound until the June 13 Fed meeting. Of course, the debt ceiling could spark some near-term volatility if D.C. doesn’t tidy up the situation in a timely manner. And if politicians decide to pull some shenanigans, well, we should have a few nice opportunities to sell some premium, as the VIX will certainly spike.
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 30, 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 | 8.6 | 53.9 |
| Proshares Bitcoin ETF | BITO | 42.1 | 1.3 | 44.3 |
| SPDR Dow Jones | DIA | 16.1 | 10 | 44.9 |
| iShares MSCI Emerging Markets | EEM | 17.7 | 10.3 | 53.5 |
| iShares MSCI EAFE | EFA | 17.1 | 6.9 | 40.2 |
| iShares MSCI Mexico ETF | EWW | 21.9 | 8.8 | 54.5 |
| iShares MSCI Brazil | EWZ | 30.1 | 2.5 | 62.4 |
| iShares China Large-Cap | FXI | 29.6 | 9 | 35.9 |
| Vaneck Gold Miners | GDX | 34.7 | 8 | 18.9 |
| SPDR Gold | GLD | 16.0 | 18.4 | 31.6 |
| iShares High-Yield | HYG | 9.3 | 1.6 | 46.4 |
| iShares Russell 2000 | IWM | 23.9 | 12.9 | 53.5 |
| SPDR Regional Bank | KRE | 44.5 | 29.5 | 58.4 |
| Vaneck Oil Services | OIH | 39.5 | 11.6 | 46 |
| Invesco Nasdaq 100 | QQQ | 22.6 | 9 | 80.2 |
| iShares Silver Trust | SLV | 29.1 | 8 | 38.6 |
| Vaneck Semiconductor | SMH | 33.4 | 18.4 | 84.1 |
| SPDR S&P 500 | SPY | 18.1 | 1.6 | 63.8 |
| iShares 20+ Treasury Bond | TLT | 20.6 | 12.9 | 39 |
| United States Oil Fund | USO | 34.8 | 29.5 | 54 |
| Proshares Ultra VIX Short | UVXY | 117.3 | 11.6 | 38 |
| CBOE Market Volatility Index | VIX | 110.9 | 9.5 | 50.1 |
| Barclays S&P 500 VIX ETN | VXX | 79.7 | 7.5 | 39.4 |
| SPDR Biotech | XLB | 19.8 | 1.8 | 31.7 |
| SPDR Energy Select | XLE | 30.3 | 8.8 | 41.7 |
| SPDR Financials | XLF | 21.9 | 22.4 | 46.2 |
| SPDR Utilities | XLU | 19.9 | 17 | 13.1 |
| SPDR S&P Oil & Gas Explorer | XOP | 39.7 | 41.9 | 47.6 |
| SPDR Retail | XRT | 28.7 | 38.6 | 34.4 |
Stock Watch List – Trade Ideas
| Ticker Symbol | IV | IV Rank | HPMR Oversold - Overbought | |
| Apple | AAPL | 24.6 | 8.8 | 66 |
| Bank of America | BAC | 32.4 | 17.9 | 54.2 |
| Bristol-Myers Squibb | BMY | 22.8 | 32 | 21.8 |
| Citigroup | C | 31.8 | 15.8 | 36.7 |
| Caterpillar | CAT | 29.0 | 6.2 | 47.7 |
| Comcast | CMCSA | 26.6 | 18.5 | 40 |
| Costco | COST | 21.3 | 6.7 | 67.4 |
| Cisco Systems | CSCO | 20.6 | 8.8 | 75.4 |
| Chevron | CVX | 28.6 | 18.1 | 40.5 |
| Disney | DIS | 28.7 | 7 | 27.4 |
| Duke Energy | DUK | 22.8 | 17.4 | 9.6 |
| Fedex | FDX | 36.9 | 22.7 | 42 |
| Gilead Sciences | GILD | 28.2 | 33.5 | 29 |
| General Motors | GM | 37.0 | 6.3 | 57.1 |
| Intel | INTC | 40.7 | 26 | 46.8 |
| Johnson & Johnson | JNJ | 18.0 | 16.7 | 12.3 |
| JP Morgan | JPM | 24.6 | 16 | 51.3 |
| Coca-Cola | KO | 18.9 | 19.9 | 9.8 |
| Altria Group | MO | 21.2 | 17.1 | 25.2 |
| Merck | MRK | 24.2 | 41.5 | 22.2 |
| Morgan Stanley | MS | 28.9 | 15.3 | 54.6 |
| Microsoft | MSFT | 25.5 | 14.6 | 79.1 |
| Nextera Energy | NEE | 26.8 | 14.5 | 35.9 |
| Nvidia | NVDA | 48.3 | 17.8 | 89.9 |
| Pfizer | PFE | 25.8 | 22.9 | 44.3 |
| Paypal | PYPL | 37.7 | 3.5 | 33.6 |
| Starbucks | SBUX | 24.3 | 10.5 | 19.8 |
| AT&T | T | 26.1 | 31.4 | 26.4 |
| Verizon | VZ | 23.2 | 29.4 | 23 |
| Walgreens Boots Alliance | WBA | 33.1 | 36.1 | 26.2 |
| Wells Fargo | WFC | 33.8 | 24.1 | 67.4 |
| Walmart | WMT | 19.4 | 8 | 25.3 |
| Exxon Mobil | XOM | 30.2 | 17.8 | 40.5 |
Weekly Trade Discussion: Open Positions
*Portfolio updated every Monday
Iron Condor: IWM July 21, 2023, 196/191 calls – 156/151 puts
Original trade published on 5-26-2023 (click to see original alert)
Background: At the time of the trade, IWM was trading for 176.20. We sold the July 21, 2023, SPY 196/191 – 156/151 iron condor for $0.79. The expected range or move was 165 to 188.
Current Thoughts: We are only a few days into the trade so there is little to discuss at the moment.
Call Side:
Put 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
June 5, 2023.