The Condor Options newsletter portfolio returned 12.2% in the first quarter of 2012, marking an all-time high for the strategy VAMI. The strategy has produced a total return of 114% since inception, compared with returns of 40% for the S&P 500 over the same period and -42% for the CBOE Volatility Arbitrage index.
May will mark the five-year anniversary of this newsletter. What started out as an attempt to teach traders about different types of advanced options spreads has developed into a self-contained, extensively researched strategy that has performed far better than I initially expected.
Beginning in Q3 2011, we expanded our coverage to include international stocks, commodities, bonds, and currencies. In the last several months, we have booked profitable trades on crude oil, the euro, and gold as well as on familiar U.S. equity indexes. Our delta hedging regime continues to keep risks in check and has proven to be more effective and less costly than the countless “adjustment” techniques sometimes favored among options traders. As far as I know, our services are still the only strategies of this type that teach traders in real time how to manage delta risk in the optimal way.
Performance data for the Condor Options newsletter is below, followed by monthly returns and a VAMI (value-added monthly index) comparison since 2008. Our benchmark, the CBOE Volatility Arbitrage Index (VTY), tracks the performance of a hypothetical volatility arbitrage trading strategy designed to capitalize on the difference between S&P 500 Index (SPX) option implied volatility and the historical volatility of the S&P 500 Index. All returns measure expiration cycles rather than calendar months.
Our average hold time for each position has been about 30 days, and our delta hedging trades are updated weekly but only when needed – this isn’t a strategy that requires constant attention or active management. We are accepting new clients at this time.