Archive | Performance Review

VIX Portfolio Hedging (VXH) Strategy 2013 Performance Review

Monday, January 6, 2014

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In 2013, being maximally long...

Q1 2013 Condor Options Performance Review

Wednesday, May 8, 2013

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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…

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…

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…

ETF Trend Options May Performance Review

Friday, May 25, 2012

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May was the first month in quite some time where we saw several positions in the ETF Trend Options portfolio get stopped out, as markets plunged sharply over a short period of time. Those of you who are avid readers of quantitative and trading strategy research and blogs may have noticed that this also coincided with analysts pointing out the “abnormal” nature of the price movement relative to historical data. This adverse situation provided a good test of how our…

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…

Q1 2012 Condor Options Performance Review

Thursday, March 22, 2012

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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…

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,…

Combining Trend Following and Option Selling Strategies

Thursday, February 2, 2012

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Historically, two of the most successful approaches to trading have been trend following and option selling. Trend following and momentum investing are strategies known to just about everybody, and option selling (i.e. collecting the volatility risk premium), while not quite as famous, is hardly a closely-held secret. Usually, these two approaches are treated as strangers. Momentum/trend traders are conceptually long volatility in that they are willing to accept small, frequent losses from choppy markets in order to reap gains…

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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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