Buyers have found their footing and are holding SPY above key intraday moving-average support. We’re taking this opportunity to place the following order: Day limit order Buy to open 2 SPY Nov 130 calls Sell to open 2 SPY Oct 124 calls Buy to open 2 SPY Nov 107 puts Sell to open 2 SPY Oct 113 puts for a net credit of $0.18 or better. Note that 2 contracts is our base position for…
Friday, September 2, 2011
As those members who follow me on Twitter (@volatilitytrade) and/or Facebook (Volatility Trader) already know, I’ve been taking my summer vacation this week (or trying to, at least). Fortunately, SPY has made its way back to exactly where we want it to be for our September positions ahead of the weekend,…so this week’s update will be brief and to the point. At mid-day, our unrealized return was 0.5% of total capital at risk, or about break-even…
Thursday, August 11, 2011
It’s been another wild week, as the market tries to find a bottom amid one string of bad news after another. Through disciplined adherence to our strategy rules, though, we’ve managed to keep risk under control without sacrificing a great deal in terms of profit potential. On the other hand, our unrealized return is quite another matter. As of this writing, our August portfolio is showing a loss on total capital at risk in the 20% range. Model Portfolio return,…
Friday, August 5, 2011
To keep up with the relentless selling, we’re rolling the DC #2 portion of our position at 122 down to 116, as follows: Day limit order Buy to close 4 SPY Aug 122 calls Sell to close 4 SPY Sep 122 calls Buy to open 4 SPY Sep 116 calls Sell to open 4 SPY Aug 116 calls for a net debit of $0.12 or better. Note that the 4 contracts specified above represent the…
Thursday, August 4, 2011
SPY recovered a bit after the last trade notice went out, but it’s resumed its fall now and confirmed our risk-management signal. With SPY August implied volatility now over 30%, we’re selling (vol) into that spike by opening the following butterfly hedge: Day limit order Buy to open 2 SPY Aug 125 calls Sell to open 4 SPY Aug 119 calls Buy to open 2 SPY Aug 113 calls for a net debit of $1.55† or…
Thursday, July 28, 2011
We’re opening the following position to hedge tail risk through the debt-ceiling crisis: Day limit order Buy to open 2 SPY Aug 140 calls Buy to open 2 SPY Aug 120 puts for a net debit of $0.53 or better. Note that the 2 contracts specified above represent the same number of contracts currently allocated to SPY Aug/Sep Double-Calendar #1. Analysis: This is the first time we’ve made a strangle part of our official portfolio, as opposed…
Thursday, July 21, 2011
With SPY up $2.00 this afternoon, we’re opening a second August/September double-calendar, as follows: Day limit order Buy to open 2 SPY Sep 138 calls Sell to open 2 SPY Aug 138 calls Buy to open 2 SPY Sep 135 calls Sell to open 2 SPY Aug 135 calls for a net debit of $1.78† or better. Note that we’re using the calls for both strikes in this double-calendar. And, as usual, 2 contracts is our…
Tuesday, July 5, 2011
What a week we’ve had. The S&P 500 booked its largest one-week percentage gain since July 2009, and the VIX took its biggest one-week percentage plunge (26.5%) since March 2007—and yet…our July portfolio is showing a profit. The cycle isn’t over, but anyone who’s traded calendar spreads for income knows that the Calendar Options strategy is proving to be extraordinarily resilient under extremely unfavorable conditions. A few minutes before the closing bell today our portfolio of open trades was showing about…
Tuesday, June 21, 2011
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…
Thursday, June 2, 2011
In my previous post, I went over the basics of our calendar-spread income strategy. Now let's look deeper into how we adjust for underlying price movement and changes in implied volatility, starting with an upside move. Suppose we bought the SPY June/July 131/136 double-calendar on May 26, as described last time. Now imagine that SPY was trading over $135 yesterday (wishful thinking, I know)...
Jared Woodard is a registered commodity trading advisor who specializes in trading volatility as an asset class. With over a decade of experience trading options, futures ... Read More
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Wednesday, September 28, 2011
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