Archive | Monthly Review

Some Perspective on Performance

Wednesday, October 7, 2009

7 Comments

Investors are notorious for chasing performance. If a mutual fund or advisor or trading strategy has done well recently, chances are much greater that traders will commit money to that strategy or...

August Monthly Review

Tuesday, September 8, 2009

0 Comments

The unrelenting August rally put some pressure on the call side of our iron condor positions. However, we were able to close out the month with flat-to-positive performance for the newsletter trades due in part to our ability to stagger trade entries based on volatility and delta exposure and to size positions on a risk-adjusted basis – both techniques that we teach on the members area of the site. We are nearing the end of the September expiration cycle and…

July Monthly Review

Tuesday, July 21, 2009

1 Comment

Describing a strategy as “market neutral” isn’t saying much: consider two portfolios, one comprised of carefully proportioned long and short equity positions, the other comprised of short out of the money option gamma. Both can be described as market neutral in the sense that neither portfolio expects or wants to profit from overall market direction. Similarities end about there. I raise this point because one of the orientations that many traders think of when they hear “market neutral” is the…

June Monthly Review

Friday, June 26, 2009

0 Comments

Last October, we were particularly proud of our ability to keep subscribers focused on managing risk and staying in cash before the turmoil really started.  Not content to rest on those defensive laurels, we’ve continued to make gains through 2009, and are now back to levels whereby even an investor who traded blindfolded last year would have made up the lion’s share of any Fall losses.  By contrast, and despite their recent triumphal advance, equity indexes are still down over…

May Monthly Review

Tuesday, May 26, 2009

1 Comment

While the market indexes don’t look impressive based on the numbers below, it’s worth noting that the S&P 500 made a trough-to-peak run of 11% during the May expiration cycle, which was enough to cause concern for any insufficiently hedged traders. For us, the key is always to keep our aggregate directional bias to a minimum while collecting the volatility risk premium if and when it exists. Performance Comparison S&P 500: 1.53% Dow Jones Industrials: 1.69% Russell 2000: -0.74%…

April Monthly Review

Thursday, May 7, 2009

0 Comments

The purpose of the strategy we follow in our iron condor newsletter is to collect the volatility risk premium when it exists.  To accomplish this, it is important to limit our directional exposure.  Effectively hedging directional exposure kept us from taking losses in the April cycle, a period in which market neutral strategies could have been expected to suffer. Performance Comparison S&P 500: 13.15% Dow Jones Industrials: 11.72% Russell 2000: 19.81% S&P 500 Covered Call Fund: 17.12% Condor…

March Monthly Review

Thursday, April 9, 2009

0 Comments

After recording a very profitable month in February, we gave back some of those gains in March in order to preserve capital and adhere to our rules for position management. Performance Comparison S&P 500: -0.20% Dow Jones Industrials: -1.19% Russell 2000: -2.64% S&P 500 Covered Call Fund: -2.64% Condor Options VAMI: -5.32% Note: the period measured is from expiration to expiration. Our updated Performance page compares the value-added monthly indexes of the Condor Options newsletter,…

February Monthly Review

Tuesday, March 3, 2009

1 Comment

February 2009 was one of the most profitable months ever for our newsletter.  We were able to enter several positions at optimal moments in the cycle, and a cooperative market allowed us to let some trades expire worthless. Performance Comparison S&P 500: -9.42% Dow Jones Industrials: -11.06% Russell 2000: -11.90% S&P 500 Covered Call Fund: -11.89% Condor Options VAMI: 3.10% Note: the period measured is from expiration to expiration. Our updated Performance page compares the value-added…

January Monthly Review

Wednesday, January 21, 2009

0 Comments

The January expiration cycle was about as tame as they come: realized volatility continued the decline that began in early December, due in part to the holiday lull. Performance Comparison S&P 500: -4.25% Dow Jones Industrials: -3.47% Russell 2000: -4.07% S&P 500 Covered Call Fund: 2.55% Condor Options VAMI: 4.03% Note: the period measured is from expiration to expiration, rather than from the start of the month. To make it easier for current and prospective members to analyze…

December Monthly Review

Monday, January 5, 2009

1 Comment

The most interesting feature of December 2008 was the rate at which volatility – both historical and implied – declined.  While we could view this decline as simply the counterpart to the volatility explosion we saw in the fall, the changes were still very interesting to watch.  A rapidly falling volatility environment was ideal for the December expiration positions we published, though it also presented some challenges for the iron condor strategy we follow in our newsletter: specifically, we…

About

Jared Woodard specializes in trading volatility as an asset class. With over a decade of experience trading options and other volatility products ... Read More

Categories

Open All | Close All