Tag Archive | "iron condor"

When short gamma trading is your only hope

Tuesday, April 23, 2013

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From early March through last Friday, there were really only a few ways to make any profits in the S&P 500, and looking at which strategies have been working gives us a good sense for the character of this market. First, let’s take a look at price action over this period. SPX went basically nowhere: Fig. 1. S&P 500 Index, March 6 – April 18. Source: CBOE Now, trading strategies can be classified according to the source of their risks/returns, meaning…

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…

How Options Markets Have Changed Since 2008

Monday, August 13, 2012

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Financial markets change along with the real economies on which they depend. This maxim applies to investing strategies and options markets, too. For example, the “fire and forget” approach to option selling that some traders favored in the pre-crisis world is no longer tenable (if it ever was). Risk appetites have shifted, order flow is moving into different products, and the cast of influential market agents is composed of different actors. As detailed in the attached video, here are some…

Same trade, different reasons

Tuesday, July 31, 2012

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Here’s a question we received recently from a client, asking about the relationship between the vertical spreads we trade in the ETF Trend Options strategy and the iron condors associated with our core product: I have been trading these ETF Trend Option spreads for a while now. Some of them wind up as de facto put/call condors. Can you explain the fundamental differences between your regular iron condors and these de facto ETF condors? Except for the…

Is the threat of airstrikes against Iran driving oil options prices higher?

Sunday, March 25, 2012

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Probably. First, some context. Here’s the one-month volatility risk premium in USO options since 2007. Think of this as an estimate of how richly or cheaply priced options on crude oil are, relative to the actual historical volatility of the asset. Any ratio above 1.00 indicates that option buyers were willing to pay a premium above the value of the volatility subsequently exhibited by crude oil futures. As you can see, the ratio is usually greater than one.…

The Problem with Volatility Skew, and Why You Should Care

Friday, February 24, 2012

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The jargon of options trading sometimes turns people off, and maybe “volatility skew” is one of the biggest hurdles. So I’m going to explain the concept in a straightforward way, and then explain why volatility skew is something you should care very much about. Volatility skew usually refers to the difference between the implied volatilities of options at different strike prices in the same expiration cycle. For the majority of stocks and indexes, options with high strike prices have low…

Unusual Volatility and Three Trade Ideas

Thursday, December 1, 2011

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In the embedded video, I look at some interesting volatility phenomena in USO options, SPY volatility skew, and VIX and VSTOXX futures. Here are the trade ideas mentioned: Short USO implied volatility / long USO realized vol: on the view that USO options are richly priced relative to likely future USO realized vol, you can sell straddles, strangles, or iron condors here and delta hedge with the underlying shares to capture the difference between current IV…

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…

Everything You Always Wanted to Know About Iron Condors…

Thursday, February 10, 2011

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…but were afraid to ask: I’m writing a short ebook for FT Press about iron condors, and I want to know what topics you would most like to see discussed. I can only cover so much in 4-5k words, but if there’s some aspect of the spread (or of the way it is usually traded) that you find puzzling, or if there are strategy variations you’d like analyzed, or anything else, let me know in the comments.

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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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