Considering the spike in implied volatility during the July options cycle, followed by an equally sharp drop—and then by another significant rise in August and fall (no pun intended) in September—it was relatively smooth sailing for our Calendar Options newsletter in the third quarter. We continued to outperform the S&P 500 and keep a respectable pace with the VTY. Our returns since inception and for the trailing twelve months continue to overwhelmingly outstrip those benchmarks, with comparable risk on a multiple-year basis.
The table below (click to enlarge) includes Calendar Options performance data for the fourth quarter, for the past year (trailing twelve months) and since inception. We’re now including the CBOE Volatility Arbitrage Strategy Benchmark (VTY), because we believe it represents a more comparable strategy than either simply being long the S&P500, or other benchmarks we’ve used in the past. The table is followed by a graph of our returns since inception, compared to these two benchmarks.
Note that all returns are measured from expiration to expiration and do not include the cost of commissions.
The fourth quarter is off to a great start: This week we closed our October positions early for an average return per trade of 21.26% and a Model Portfolio return of 10.63%, risking only half of our capital over an average duration of about three weeks.
Since our primary objective is to share our knowledge and experience with interested options traders, we spend very little time or money on marketing and advertising—but we think our track record warrants more than a little attention. In conjunction with our recent Condor Options two-week free trial offer (extended exclusively to those registered with our site), we also plan to offer a free two-week trial for the Calendar Options newsletter. Register today (via the “Get Our Free Newsletter” form) to make sure you receive the coupon code for this rare offer.Homepage photo courtesy of Flickr user Sabrina Campagna, under Creative Commons license.