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.