The Condor Options newsletter portfolio returned 2.92% in the second quarter of 2012, marking a new all-time high for the strategy VAMI. The strategy has produced a total return of 119% since inception, compared with returns of -12% for the S&P 500 over the same period and -40% for the CBOE Volatility Arbitrage index.
In May, we marked the five-year anniversary of this newsletter. The performance continues to beat my initial expectations and I’d like to say thanks to our readers and subscribers. The response from readers and feedback from clients has been very rewarding.
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.