Archive | Iron Condor

Q1 2012 Condor Options Performance Review

Thursday, March 22, 2012


The Condor Options newsletter portfolio returned 12.2% in the first quarter of 2012, marking an all-time high for the strategy VAMI. The strategy has produced a total return of 114% since inception, compared with returns of 40% for the S&P 500 over the same period and -42% for the CBOE Volatility Arbitrage index.  May will mark the five-year anniversary of this newsletter. What started out as an attempt to teach traders about different types of advanced options spreads has developed into a…

The Problem with Volatility Skew, and Why You Should Care

Friday, February 24, 2012


The jargon of options trading sometimes turns people off, and maybe “volatility skew” is one of the biggest hurdles. So I’m going to explain the concept in a straightforward way, and then explain why volatility skew is something you should care very much about. Volatility skew usually refers to the difference between the implied volatilities of options at different strike prices in the same expiration cycle. For the majority of stocks and indexes, options with high strike prices have low…

Q4 2011 Condor Options Performance Review

Monday, February 13, 2012

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The Condor Options newsletter portfolio returned 28% in the final quarter of this 2011, compared with 10% for the S&P 500. For the full year, the iron condor strategy beat the index by 4.39 percentage points, returning 2.59% compared with -1.80% for the index. In the last quarter of the year, we made a major change to the strategy, expanding the scope of option selling trades to include a full suite of underlyings with exposure to U.S. and international stocks,…

November Interview at Expiring Monthly

Tuesday, December 20, 2011


My Expiring Monthly colleague, Mark Sebastian, interviewed me for the November issue. We discuss what got me interested in options in the first place, the rationale behind this blog and the newsletters that grew out of it, and some of the mechanics of the VXH strategy. The interview is available as a free download here. The December issue will be published shortly and includes some more thoughts from me on tactical allocation to volatility hedges.

Unusual Volatility and Three Trade Ideas

Thursday, December 1, 2011

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In the embedded video, I look at some interesting volatility phenomena in USO options, SPY volatility skew, and VIX and VSTOXX futures. Here are the trade ideas mentioned: Short USO implied volatility / long USO realized vol: on the view that USO options are richly priced relative to likely future USO realized vol, you can sell straddles, strangles, or iron condors here and delta hedge with the underlying shares to capture the difference between current IV…

Weekly Portfolio Update

Thursday, September 29, 2011


The post below is a free sample of the kind of commentary and analysis we provide in the newsletter. Over the last year, we’ve added a number of features to the weekly update, some of which include data not tracked by any other publication I know of – including the ranked volatility ratio table and S&P 500 volatility skew estimates. Enjoy. After the close on Wednesday, this is the status of our open positions: SPY October #1 XXXXXXXX: This…

Q2 2011 Condor Options Performance Review

Tuesday, June 21, 2011

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The Condor Options newsletter portfolio returned nearly 16% in the second quarter of this year, compared with -0.60% for the S&P 500. The newsletter is also more than six percentage points ahead of the index year to date. Finally, the newsletter portfolio reached a new all-time high in June, something that few indexes or assets can claim. I noted in my last quarterly update that I expected more periods of sideways price action in the rest of 2011, and so…

Everything You Always Wanted to Know About Iron Condors…

Thursday, February 10, 2011


…but were afraid to ask: I’m writing a short ebook for FT Press about iron condors, and I want to know what topics you would most like to see discussed. I can only cover so much in 4-5k words, but if there’s some aspect of the spread (or of the way it is usually traded) that you find puzzling, or if there are strategy variations you’d like analyzed, or anything else, let me know in the comments.

Q4 2010 Condor Options Performance Review

Wednesday, January 26, 2011


In last quarter’s review, I mentioned two things: that we were adding a dynamic delta hedging component to the official newsletter strategy, and that after the newsletter’s underperformance in Q3, the long-term historical record for the strategy suggested that it was actually an optimal time to increase exposure. Happily, that expectation turned out to be true, and the delta hedging component had a very positive effect on performance. The strategy returned 5.67% in the last quarter of the year (and,…

Q3 2010 Condor Options Performance Review

Monday, October 18, 2010


In addition to the regular performance data, I have a couple of interesting items to comment on for this quarterly review. First: for anyone who thinks that global equity markets may have some choppy periods ahead, this is an excellent opportunity to start thinking seriously about the role non-directional strategies should play in your portfolio. Second: we’ve added a dynamic delta hedging component to the newsletter to improve the purity of our volatility trading and to reduce unwanted…


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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