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...
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…
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,…
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…
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…
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…
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…
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…
In last month’s review, we noted that extremely volatile market environments can sometimes be your friend:
The good news is that, as we’ve been advising our subscribers, periods following intense market selloffs historically have been the most profitable ones for our strategy, and as implied volatility has already declined from its earlier peaks, we are already seeing some fantastic profits on our positions for the November cycle. An elevated volatility environment is torturous for swing traders and ulcer-inducing…
Two types of traders really thrived in October – the uber-bearish, and the nimble. Since our Condor Options newsletter follows a non-directional strategy, we aren’t poised to profit from market swings. But we do try to be nimble, and subscribers were subjected to a rather unrelenting series of pleas for caution and for a move to cash throughout September and October.
On September 12, we said that we were “trading small” and were “cautious – as we get…
In our August monthly review, we expected that “the next phase of this bear market will likely be driven not by U.S. financial companies or by energy prices per se, but rather by the effects of the American slowdown being felt by the rest of the world.” See, that’s why we’re traders and not economists. Although in our defense, the reason AIG was nationalized was partly because of the effect its failure would have had on European and other counterparties. …
Wednesday, October 7, 2009
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