Archive | Quarterly Review

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…

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,…

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…

Q1 2011 Condor Options Performance Review

Monday, March 28, 2011

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Traders who rely on mean reversion have witnessed some very frustrating periods over the last couple of years, and no tinfoil hats are required to see that Fed POMO operations have had a substantial reflationary effect on equity markets. I am not confident that equities will continue to rally aggressively in the absence of dramatic quantitative easing programs – ending in June, or possibly sooner – and in the face of high energy and food prices. The push for…

Q4 2010 Condor Options Performance Review

Wednesday, January 26, 2011

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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

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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…

Q2 Performance Review

Monday, June 28, 2010

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The iron condor newsletter returned 6.44% in the second quarter this year, easily beating both the Volatility Arbitrage benchmark (-3.97%) and the S&P 500 (-3.65%), with a lower maximum draw-down for the year and superior 1-year rolling returns. The newsletter portfolio value made a new all-time high. Although our strategy is almost entirely rule-based, every strategy ultimately requires human input, even if it is at a high level of decision-making. In the case of mechanical or rule-based strategies, perhaps…

Q1 2010 Condor Options Performance Review

Wednesday, April 14, 2010

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The iron condor newsletter returned about 4.3% in the first quarter this year, slightly beating the 4.2% return for the VTY benchmark. The newsletter did not outperform the S&P 500 on either an absolute or a risk-adjusted basis, which, based on the prior history of this strategy, says a bit more about the market than it does about us. In the review for Q4 2009, I mentioned the most common misconception about iron condors, namely that they are…

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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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