June Monthly Review

Fri, Jun 26, 2009 | Jared Woodard

Monthly Review

Last October, we were particularly proud of our ability to keep subscribers focused on managing risk and staying in cash before the turmoil really started.  Not content to rest on those defensive laurels, we’ve continued to make gains through 2009, and are now back to levels whereby even an investor who traded blindfolded last year would have made up the lion’s share of any Fall losses.  By contrast, and despite their recent triumphal advance, equity indexes are still down over 30% from their highs.  And our closest benchmark, the Credit Suisse/Tremont Market Neutral Hedge Fund Index, hasn’t fared any better than the broad indexes.

Performance Comparison

  • S&P 500: 4.34%
  • Dow Jones Industrials: 3.28%
  • Russell 2000: 7.75%
  • S&P 500 Covered Call Fund: 2.88%
  • Condor Options VAMI: 5.72%
  • 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.

June Iron Condors

  • Our position entries throughout June were predicated on the simple principle of keeping our directional bias in check.  As the initial IWM trade came under pressure, we opened a SPY trade for June that considerably offset the existing delta bias. Mid-cycle, the market reversed back higher, so we entered a second SPY trade to further balance out our risk.  From there it was simply a question of letting time decay work its inexorable magic, and of peeling off trades as conditions dictated. While the bulk of the net 5.72% return came from our initial IWM position, it is important to note that meaningful returns like that are only possible within a context where risk is carefully managed throughout the expiration cycle. If you’d like more information about a subscription to our iron condors newsletter, click here.
  • IWM 41/43/56/58: 5.23% return.
  • SPY 78/80/95/97: -1.65% return.
  • SPY#2 91/93/100/102: 2.13% return.

June Reading

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

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Jared Woodard specializes in trading volatility as an asset class. With over a decade of experience trading options and other volatility products ... Read More


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