Condor Options

While the market indexes don’t look impressive based on the numbers below, it’s worth noting that the S&P 500 made a trough-to-peak run of 11% during the May expiration cycle, which was enough to cause concern for any insufficiently hedged traders. For us, the key is always to keep our aggregate directional bias to a minimum while collecting the volatility risk premium if and when it exists.

Performance Comparison

• S&P 500: 1.53%
• Dow Jones Industrials: 1.69%
• Russell 2000: -0.74%
• S&P 500 Covered Call Fund: -2.25%
• Condor Options VAMI: 3.20%
• Note: the period measured is from expiration to expiration.

Our Performance page compares the value-added monthly indexes of the Condor Options newsletter, the Credit Suisse/Tremont Equity Market Neutral Hedge Fund Index, and the S&P 500.  It includes slippage (the prices displayed in the trade list spreadsheet are the actual prices at which the participating autotrading brokers were filled), but excludes any other transaction costs.

May Iron Condors

• The two SPY positions were short some considerable delta on the Monday of expiration week, so we closed those trades to reduce risk and allowed the IWM position to expire worthless, keeping the full credit received.
• IWM 40/42/53/55: 4.51% return.
• SPY 73/75/90/92: -3.72% return.
• SPY#2 80/82/95/97: 2.42% return.

May Reading

Here are some posts from the past month that are worth checking out if you didn’t catch them the first time around:

• Moving Averages and Human Risk
• Fear, Love, and Option Spreads
• Binary and Polynary Trading Strategies
• When Not to Trade Iron Condors
• Sell in May and Buy Protection