Archive | Iron Condor

When short gamma trading is your only hope

Tuesday, April 23, 2013

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From early March through last Friday, there were really only a few ways to make any profits in the S&P 500, and looking at which strategies have been working gives us a good sense for the character of this market. First, let’s take a look at price action over this period. SPX went basically nowhere: Fig. 1. S&P 500 Index, March 6 – April 18. Source: CBOE Now, trading strategies can be classified according to the source of their risks/returns, meaning…

Prospect theory in the real world

Friday, March 22, 2013

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What is your edge? Every successful investor has an answer to this question before they enter any new position. Every successful trader has an idea about the expected return and possible risk in a given position, but also about where that risk and return comes from. Stock investors who use a value approach will point to the fundamental economic worth of a company as a reason to think that the company’s shares are mispriced. Growth and trend-following traders will point…

Q4 2012 Condor Options Performance Review

Tuesday, January 15, 2013

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The Condor Options newsletter portfolio returned 21% in 2012, versus 17% for the S&P 500. The strategy also beat the S&P 500 in the final quarter of the year, giving back 1.1% versus the SPX loss of 2.05%. We also bested the CBOE Volatility Arbitrage Index (VTY) for the year by about 3 percentage points. 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…

Q3 2012 Condor Options Performance Review

Tuesday, September 25, 2012

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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…

How Options Markets Have Changed Since 2008

Monday, August 13, 2012

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Financial markets change along with the real economies on which they depend. This maxim applies to investing strategies and options markets, too. For example, the “fire and forget” approach to option selling that some traders favored in the pre-crisis world is no longer tenable (if it ever was). Risk appetites have shifted, order flow is moving into different products, and the cast of influential market agents is composed of different actors. As detailed in the attached video, here are some…

Same trade, different reasons

Tuesday, July 31, 2012

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Here’s a question we received recently from a client, asking about the relationship between the vertical spreads we trade in the ETF Trend Options strategy and the iron condors associated with our core product: I have been trading these ETF Trend Option spreads for a while now. Some of them wind up as de facto put/call condors. Can you explain the fundamental differences between your regular iron condors and these de facto ETF condors? Except for the…

Q2 2012 Condor Options Performance Review

Thursday, July 19, 2012

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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…

April Performance Review

Thursday, April 26, 2012

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We usually provide public performance updates on a quarterly basis, but I wanted to share this news a little early. The Condor Options newsletter strategy returned  7.2% for the April expiration cycle, bringing our YTD return above 20%, which easily beats both the S&P 500 -up 10.7% – and the closer benchmark, the CBOE Vol Arb Index (VTY), which is up 11.7%. The strategy hasn’t had a losing month since last August. As I’ve mentioned in previous quarterly reviews, it…

Is the threat of airstrikes against Iran driving oil options prices higher?

Sunday, March 25, 2012

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Probably. First, some context. Here’s the one-month volatility risk premium in USO options since 2007. Think of this as an estimate of how richly or cheaply priced options on crude oil are, relative to the actual historical volatility of the asset. Any ratio above 1.00 indicates that option buyers were willing to pay a premium above the value of the volatility subsequently exhibited by crude oil futures. As you can see, the ratio is usually greater than one.…

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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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