Condor Options

Weekly Portfolio Update

I’m preparing to take some vacation time next week, during which I’ll have limited access to the Internet—but I’ll be monitoring our positions for trade signals daily, and will send trade notices and alerts as necessary. It may take 24 to 48 hours to respond to any e-mails that aren’t time-critical, but I’ll be available in real-time for at least the first half-hour after a trade alert, or until all autotrade orders are filled if that takes longer. The chances…

Open trade alert: August SPY iron condor #3

Open Trade Alert: SPY August/September Double-Calendar

We’re opening the following position this afternoon for August expiration: Day limit order Buy to open 2 SPY Sep 114 calls Sell to open 2 SPY Aug 114 calls Buy to open 2 SPY Sep 109 puts Sell to open 2 SPY Aug 109 puts for a net debit of $2.40 or better. Note that 2 contracts per leg is our base position size for double-calendars. Trading whole-number multiples of the base size ensures that…

Weekly Portfolio Update

It’s been a quiet week in Lake Wobegon…for strategies that buy volatility, like Calendar Options. S&P 500 implied volatility continued to test three-month lows but stubbornly remained above our entry-trade criteria based on its 6-month range, while very short-term (5-day) realized volatility stayed relatively high. We have until Friday morning to open an August position, and we’re looking for some some indication of whether the S&P can break through the huge 1105–1120 resistance zone, which was first established last fall…

Friday Hedge

The Vicissitudes of Hedging Tail Risks

People are excited about tail risk. On the institutional side, banks and asset managers are packaging up complex, multi-asset hedging products and selling them to pension funds, endowments, and other natural longs. On the retail side, Barclays and others are getting great traction with products like VXX, VXZ, VXX options and now XXV (see Bill’s helpful overview of this space). I’m hoping to join the fray, too, with a managed account program and subscription product set to launch…

Supplemental Trade Alert: Open IBM August/September Double-Calendar

Even with the VIX down more than 5% today, implied volatility for SPY has yet to fall within our entry criteria for new trades when IV is dropping. IBM options, however, are trading at an implied volatility only a few points above six-month lows. With Monday’s earnings release now history, we’re placing the following Supplemental Trade for August: Day limit order Buy to open 2 IBM Sep 130 calls Sell to open 2 IBM Aug 130 calls…

Calendar Options Quarterly Review

The Calendar Options second-quarter return trounced the S&P 500 as well as VTY (link below). Our Model Portfolio return was 15.46%, compared to –3.65% for the S&P and nearly –4% for VTY. Overall, market conditions differed little from the first quarter, so it looks like our latest strategy refinements are proving successful. Nevertheless, we continually use feedback from our monthly, quarterly, and annual results to improve the strategy and adapt it to long-term changes in market conditions (more about this…

Open trade alert: August SPY iron condor #2

Weekly Portfolio Update

July was our most challenging month since February, when our Model Portfolio loss was more than 9%. In the two weeks after we opened CS#1, SPY plunged 9.6%, and over the next two weeks it rallied 8.9%—as implied volatility collapsed, dropping more than 35% right into expiration week. In short, this month was about as tough as it gets for calendar traders (market crashes aside), and yet we still significantly outperformed the S&P 500.[...]