Tag Archive | "iwm"

Just How Inexpensive are Options Getting?

Tuesday, September 18, 2012


Are you better off now than you were four years ago? What about one year ago? If you’re like most investors, your market sentiment has probably improved substantially. There are plenty of ways to measure investor sentiment – we could look simply at the run-up in stock prices, or use a more sophisticated metric like the level of implied correlation. In between those two estimates, we might also look at the implied volatility of stock options, measured as a percentage…

Same trade, different reasons

Tuesday, July 31, 2012


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…

August Monthly Review

Tuesday, September 8, 2009


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…

Should Market-Neutral Options Traders Diversify?

Monday, August 31, 2009


We generally restrict iron condor trades in our paid newsletter and managed accounts to index products. For those who prefer ETFs, we look at SPY, DIA, IWM, QQQQ; otherwise, SPX, RUT, NDX, DJX are bigger proxies, or on the futures side of things we’ll look at the Emini S&P 500 or Nasdaq 100 (ES and NQ). The reason we trade index products is that diversification reduces the impact of company-level surprises: an iron condor on, say, RIMM will get…

Iron Condors and Vertical Skew

Wednesday, June 17, 2009

1 Comment

Member D. S. posed the following question: I’ve been trading SPY iron condors for some time now and I have been opening them at very similar levels to yourselves. However I have been using much wider spreads, so whereas you use a $2 spread I would use as much as a $10 dollar spread. What in your view is the value in only using smaller spreads? My reasoning on the larger spreads is as follows: 1) You can open the…

Long Vega Plays for a Market Breakout

Friday, May 29, 2009


As pictured below, equity indexes have been highly range-bound since the end of April.  That trading range has been between about 470 and 510 in the Russell 2000, and 865 and 930 in the S&P 500. I doubt that this range is likely to persist for much longer. Fans of technical analysis will note that SPX and RUT are caught in the narrow space between their respective 50- and 200-day moving averages: a break above or below either average…

February Monthly Review

Tuesday, March 3, 2009

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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…

Option Spreads and Positive Expectancy

Thursday, February 19, 2009


Reader Peter T. writes in with a very good question: Then are several places on the site where you mention that you prefer to let the probabilities play out and not adjust condors. I calculated the expectation of the latest IWM trade based on the probabilities. I did some minor rounding to make it easier to read. There is a 65% probability of making $50 which comes to $32. There is a 35% probability of…

Weekend Portfolio Update

Monday, February 2, 2009


[We publish updates each weekend on the members-only areas of our site. Our comment for this weekend is below; the strike prices of our open positions have been hidden.] The markets still seem to be in a bottoming process.  Unless the S&P 500 can hold the 800 area, we see no reason to expect any major multi-week rallies.  Our directional bias is down-to-sideways, and it would take a high volume, multi-month rally coincident with some positive economic news to…

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…


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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