Thursday, October 29, 2009
Earlier this month, we announced a change in how we're going to publicize the performance of our strategies. Much as a company's performance and the price of its stock can suffer in the long-run as a result of too much focus on short-term performance, we believe that investors do best when they take a long-term perspective...
Thursday, September 3, 2009
In the August cycle we again disproved two misconceptions: 1) that a market-neutral approach can’t perform well in a trending market, and 2) that a positive-vega strategy won’t profit in an uptrend. By combining position-level adjustments with portfolio-level risk-management, we outperformed the market in terms of our average return per trade, and booked a model-portfolio return (which is based on a cash allocation sufficient for three trades, including adjustments) that would earn most fund managers their…
Tuesday, August 11, 2009
We began putting more emphasis on a portfolio-level view of risk-management in the July cycle, entering multiple trades on a single underlying and looking at the overall position, as well as each individual trade, in deciding when and how to make adjustments. Our return for the month wasn’t stellar, but considering the fact that the market traced out an 8% correction before recovering abruptly in expiration week, we think our 3% average return per trade showed that the…
Saturday, August 1, 2009
We're pleased to announce that thinkorswim has joined the list of companies that offer autotrading for Calendar Options members. Now subscribers to our calendar-spread newletter can have published trades automatically executed with any of three leading options-trading brokers...
Saturday, July 4, 2009
Our positions for the June cycle were like Dr. Jekyll and Mr. Hyde. In general, it was another difficult month, in terms of falling implied volatility and, in the case of our IBM trade, an uptrend culminating in a whipsaw—but we still managed to break even: hitting the target profit for our SPY position made up for our IBM loss. And even though we underperformed the market for the month, we’re still outperforming handily over the long-run.
Monday, June 8, 2009
Volatility Tracker for June 8, 2009 This week may be a turning point. None of the indicators below are quite at extremes, and I am keeping my S&P volatility bias at neutral since I would rather be a little late than very early. However, notice that volatility sellers have been “right” since at least mid-April, [5] a trend which is far more likely to reverse sharply than to flatten out. The S&P 500 looks overbought on a price basis, [4]…
Thursday, May 28, 2009
In Part I, our Performance Comparison for May showed an average return per trade of 6.40%, with a model portfolio* return of 5.13%—compared to the S&P 500's gain of 1.53%. Here are the trades that got us there:
Thursday, May 28, 2009
We’re a bit behind on Calendar Options reviews, so we’re making this one a double-header— quite apropos, as it turns out, because the story is much the same for April and May: A strong market uptrend and steadily falling implied volatility continued to work against us, but we still came through each cycle with a profit. That makes three straight months in which we’ve shown that a market-neutral income strategy using calendar spreads can work in trending markets, even when…
Tuesday, April 7, 2009
Last month we faced what just might be the worst possible scenario for a calendar-spread strategy—a v-shaped bottom late in the cycle. And yet our trading rules not only kept us from a loss, but produced a significant profit that handily outperformed the market. Performance Comparison S&P 500: –0.20% Dow Jones Industrials: –1.19% Russell 2000: –2.64% S&P 500 Covered Call Fund: +6.92% Calendar Options: +2.52% Note: The period measured is from expiration to expiration. We calculate Calendar…
Wednesday, March 11, 2009
Last month we made important changes to the Calendar Options service—changes aimed at reducing the odds of taking a loss like we did in January. The most significant change was to expand the scope of the newsletter, at least temporarily, to include double-diagonals, so that we’d have more opportunities to enter trades even when implied volatility is on the high side. (For readers unfamiliar with this exotic-sounding strategy, we’ve just made an excerpt from a Calendar Options post introducing the…
Jared Woodard is a registered commodity trading advisor who specializes in trading volatility as an asset class. With over a decade of experience trading options, futures ... Read More
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Thursday, October 13, 2011
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