The Condor Options newsletter portfolio returned 5.1% in the first quarter of 2013. The strategy outperformed the CBOE Volatility Arbitrage Index (VTY) and modestly lagged the S&P 500 total return over the same period. The strategy VAMI made a new all-time high in the first quarter, and booked an additional 3.9% gain in April.
The purpose of the strategy is to profit from the volatility risk premia that are priced into options. While the volatility risk premium is a consistently observable, ongoing feature of option markets, the strategy does not adopt an agnostic, “always on” approach. Instead, we select trades in markets where the expected risk-adjusted premium is the greatest.
One of the most frequently asked questions we receive is how to manage positions that are under pressure or are unprofitable, and there have always been vendors and others selling tips on how to “adjust” losing iron condor positions; one unique feature of our strategy is that it does not depend on overwrought, complex adjustment techniques, relying instead on straightforward delta and gamma updates and the intuitive idea of spreading risk across a book of trades. Real-time and historical results speak to the effectiveness of our approach.
Performance data for the Condor Options newsletter is updated at the Performance page, including a trade sheet and monthly return data.
Our average hold time for each position has been about 35 days, and our delta hedging trades are updated weekly but only when needed – so this isn’t a strategy that requires constant attention or active management. We are accepting new clients at this time.