Q3 2012 Condor Options Performance Review

The Condor Options newsletter portfolio returned 6.31% in the third quarter of 2012, marking another new all-time quarterly high for the strategy. The strategy has produced a total return of 134% since inception, compared with returns of -4% for the S&P 500 over the same period and -38% for the CBOE Volatility Arbitrage index.

This quarter, we lagged the market slightly but outperformed our benchmark index easily. September saw a modest drawdown as the rally pushed against the short strikes of our call spreads, but hedging positions covered most of the losses, and we are on track to make a new performance high in the last quarter of the year.* Since increasing the scope of our coverage to include most major asset classes last year, the strategy has performed particularly well, and our weekly delta hedging regime combines attentive risk controls with the flexibility to avoid excessive rebalancing costs.

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.

Our average hold time for each position has been about 32 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.

* Because of the nature of the strategy, all returns measure monthly expiration cycles rather than calendar months.

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8 Comments For This Post

  1. Vix-Trader Says:

    Sorry if I didn’t dig deep enough on your site, but when was the starting date you refer to when saying the strategy is up 134% since inception? The above chart only dates back to May of 2008. Is there a full chart you can post that shows that 134% compared to the S&P over the same time interval?

  2. W at Off-Road Finance Says:

    Sounds like a good quarter. I’m surprised the delta hedges only have to be adjusted once a week if you’re in all asset classes though. Lots of commodities seem to have meaningful gamma on a one week time frame.

  3. Jared Says:

    VIX-Trader, there’s data since inception provided on the Performance page.

    W: we’re not in all asset classes all the time, we take exposure selectively. Also, we don’t necessarily even rebalance every week, as the hedging rules include parameters besides time.

  4. Vix-Trader Says:

    Well all I have found is the chart showing your 10,000$ now being 17,502$ since May of 2008, what seems to be your inception date. If I am indeed looking at the right chart, how is 17,502$ today equal to a 134% gain since inception?

  5. Jared Woodard Says:

    As provided in the table linked from the Performance page, VAMI at 2007 inception = 1000; VAMI at Sep.2012 expiration = 2335.87. (2335.87-1000)/1000 = 1.3358.

  6. Vix-Trader Says:

    So then can I ask, why is your performance chart reflecting a start date in May of 2008, when you actually began trading in May of 2007?

  7. Jared Woodard Says:

    Because we made some substantial changes to the strategy in 2008 and I want the visual record to be as representative as possible of likely future returns.

    Per the trade data, the portfolio return from 2007 to 2008 was 40%, so we’re obviously “hiding” some really good numbers from the tracking chart. :) Data since inception is included in the stats for completeness, but since people seem to focus on the charts, I want the performance reflected there to be as representative as possible of the strategy we’re trading.

  8. Vix-Trader Says:

    Ah, thank you for the explanation, makes perfect sense now.

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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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