Weekly Commentary
As we enter the holiday-shortened week, we have one open position. My intent is to add another trade this week, so we have at least two positions headed into the December expiration cycle. Other than that there isn’t much to discuss at the moment.
I hope all of you have a wonderful Thanksgiving and for those outside of the U.S., well, enjoy the holiday-shortened trading week as we will be ramping things up as we head into 2024. I will be adding a few additional trades in the standard, highly liquid ETFs we follow, plus I plan on adding a few individual stocks to the mix.
As always, if you have any questions, please do not hesitate to email me at andy@cabotwealth.com.
Current Portfolio
| Open Date | Ticker | Strategy | Trade | Open Price | Current Price | Current Probability | Delta |
| 11/6/2023 | SPY | Bear Call | December 15, 2023 456/461 | $0.58 | $1.71 | 62.67% | -0.13 |
| Open Date | Closed Date | Ticker | Strategy | Trade | Open Price | Closing Price | Return |
| 6/2/2022 | 6/13/2022 | SPY | Bear Call Spread | July 15, 2022 440/445 | $0.70 | $0.05 | 14.94% |
| 6/8/2022 | 6/17/2022 | XOP | Bear Call Spread | July 15, 2022 190/195 | $0.70 | $0.04 | 15.21% |
| 6/22/2022 | 7/13/2022 | SPY | Bear Call Spread | July 29, 2022 405/410 | $0.75 | $0.35 | 8.70% |
| 6/30/2022 | 7/25/2022 | IWM | Iron Condor | August 19, 2022 195/200 - 145/140 | $0.70 | $0.34 | 7.76% |
| 7/8/2022 | 7/28/2022 | GLD | Bull Put Spread | August 19, 2022 155/150 | $0.60 | $0.16 | 9.65% |
| 7/14/2022 | 8/11/2022 | SPY | Iron Condor | August 19, 2022 417/412 - 335/330 | $0.70 | $4.10 | -68.00% |
| 8/1/2022 | 8/29/2022 | SPY | Bear Call Spread | September 16, 2022 439/444 | $0.70 | $0.07 | 14.42% |
| 8/11/2022 | 8/29/2022 | DIA | Bear Call Spread | September 23, 2022 350/325 | $0.75 | $0.08 | 15.47% |
| 8/11/2022 | 9/8/2022 | IWM | Iron Condor | September 23, 2022 220/215 - 173/168 | $0.77 | $0.57 | 4.17% |
| 9/7/2022 | 9/9/2022 | QQQ | Bull Put Spread | October 21, 2022 260/255 | $0.62 | $0.30 | 6.84% |
| 9/9/2022 | 9/15/2022 | SPY | Bear Call Spread | October 21, 2022 430/435 | $0.75 | $0.25 | 11.11% |
| 9/13/2022 | 10/17/2022 | IWM | Iron Condor | October 21, 2022 208/203 - 163/158 | $0.77 | $0.30 | 10.40% |
| 10/3/2022 | 10/25/2022 | SPY | Bull Put Spread | November 18, 2022 325/320 | $0.54 | $0.09 | 9.89% |
| 10/4/2022 | 11/2/2022 | IWM | Iron Condor | November 18, 2022 198/203 - 143/138 | $0.64 | $0.32 | 6.84% |
| 10/6/2022 | 11/2/2022 | SPY | Bear Call Spread | November 18, 2022 412/416 | $0.43 | $0.28 | 3.90% |
| 11/16/2022 | 11/28/2022 | IWM | Iron Condor | December 16, 2022 205/200 - 162/157 | $0.75 | $0.24 | 11.36% |
| 11/10/2022 | 12/6/2022 | SPY | Bear Call Spread | December 16, 2022 420/425 | $0.65 | $0.14 | 11.36% |
| 12/1/2022 | 12/6/2022 | SPY | Bear Call Spread | January 20, 2023 435/440 | $0.67 | $0.18 | 10.86% |
| 12/13/2022 | 12/15/2022 | SPY | Bear Call Spread | January 20, 2023 430/435 | $0.54 | $0.17 | 7.99% |
| 12/7/2023 | 1/6/2023 | IWM | Iron Condor | January 20, 2023 202/198 - 160/156 | $0.70 | $0.06 | 19.00% |
| 1/4/2023 | 2/1/2023 | IWM | Iron Condor | February 17, 2023 200/195 - 154/149 | $0.65 | $2.00 | -27.00% |
| 1/6/2023 | 2/2/2023 | SPY | Bear Call Spread | February 17, 2023 415/420 | $0.60 | $2.50 | -38.00% |
| 2/2/2023 | 2/15/2023 | SPY | Bear Call Spread | March 17, 2023 440/445 | $0.63 | $0.15 | 10.62% |
| 2/10/2023 | 2/22/2023 | DIA | Bear Call Spread | March 31, 2023 355/360 | $0.70 | $0.17 | 11.86% |
| 2/2/2023 | 3/1/2023 | IWM | Iron Condor | March 17, 2023 175/180 - 215/220 | $0.72 | $0.51 | 4.38% |
| 3/6/2023 | 3/13/2023 | DIA | Bear Call Spread | April 21, 2023 350/355 | $0.85 | $0.17 | 15.74% |
| 2/23/2023 | 3/28/2023 | SPY | Iron Condor | April 21, 2023 435/430 - 350/345 | $0.80 | $0.15 | 14.94% |
| 3/23/2023 | 4/11/2023 | DIA | Bear Call Spread | April 21, 2023 338/443 | $0.62 | $2.05 | -28.60% |
| 3/23/2023 | 4/19/2023 | IWM | Iron Condor | May 19, 2023 196/191 - 147/142 | $0.83 | $0.23 | 13.64% |
| 4/12/2023 | 4/21/2023 | DIA | Bear Call Spread | May 19, 2023 350/355 | $0.82 | $0.44 | 8.23% |
| 4/21/2023 | 5/2/2023 | SPY | Iron Condor | June 16, 2023 440/435 - 365/360 | $0.95 | $0.63 | 6.84% |
| 4/24/2023 | 5/10/2023 | DIA | Bear Call Spread | June 16, 2023 354/359 | $0.72 | $0.22 | 11.11% |
| 5/5/2023 | 5/24/023 | SPY | Bear Call Spread | June 16, 2023 430/435 | $0.72 | $0.35 | 7.99% |
| 6/15/2023 | 6/22/2023 | SPY | Bear Call Spread | August 18, 2023 465/470 | $0.70 | $0.24 | 10.13% |
| 5/26/2023 | 6/23/2023 | IWM | Iron Condor | July 21, 2023 191/196 - 156/151 | $0.79 | $0.50 | 6.15% |
| 5/31/2023 | 7/12/2023 | QQQ | Bear Call Spread | July 21, 2023 375/380 | $0.60 | $1.80 | -31.60% |
| 6/30/2023 | 8/7/2023 | SPY | Bear Call Spread | August 18, 2023 462/466 | $0.52 | $0.23 | 7.82% |
| 8/4/2023 | 8/11/2023 | SPY | Bear Call Spread | September 15, 2023 470/475 | $0.65 | $0.20 | 9.90% |
| 8/17/2023 | 9/13/2023 | SPY | Iron Condor | October 20, 2023 475/470 - 390/385 | $0.72 | $0.25 | 10.38% |
| 9/6/2023 | 10/11/2023 | IWM | Iron Condor | October 20, 2023 204/199 - 169/164 | $0.62 | $0.19 | 9.41% |
| * 9/29/2023 | 10/27/2023 | SPY | Bear Call Spread | November 17, 2023 452/457 | $0.74 | $0.03 | 16.60% |
| *10/6/2023 | 11/3/2023 | SPY | Bull Put Spread | November 17, 2023 408/403 | $0.58 | $0.03 | 12.36% |
| * 10/27/2023 | 11/3/2023 | SPY | Bear Call Spread | November 17, 2023 430/435 | $0.58 | $3.50 | -33.20% |
| 10/31/2023 | 11/14/2023 | SPY | Iron Condor | December 15, 2023 450/445 - 380/375 | $0.77 | $3.00 | -44.60% |
Volatility Talk
The investor’s fear gauge, otherwise known as the VIX, continued to push further into short-term oversold territory this past week. As a result, not much has changed, and my sentiment remains the same: I wouldn’t be surprised to see the VIX test the lows established in October before a reversion to the mean event occurs. And given all the geopolitical turmoil, etc., I don’t think sitting at current levels (or lower) will last. With the VIX at 13.80 we’ve now hit the high side of the range of established lows set back during the late-June to September period. It will be interesting to see if volatility trades around this area into the new year or simply mean reverts over the next few trading sessions. As it stands, our current position would love for the latter to occur sooner than later. And, of course, we would love to see higher levels of implied volatility so that we have the opportunity to sell options premium at higher levels.
Weekly High-Probability Mean Reversion Indicator
Below is my watch list of ETFs and stocks with the most liquid options headed into the week of November 20, 2023.
Here are the various levels I use to determine if an ETF is in an oversold or overbought state.
| Very Overbought | a reading greater than or equal to 80.0 |
| Overbought | greater than or equal to 60.0 |
| Neutral | between 40 to 60 |
| Oversold | less than or equal to 40.0 |
| Very Oversold | less than or equal to 20.0. |
Each week I also include the current implied volatility (IV) and IV Rank. I look for an IV rank above 40, preferably higher.
ETF Watch List – Trade Ideas
| Exchange Traded Fund | Ticker Symbol | IV | IV Rank | HPMR Oversold - Overbought |
| ARK Innovation ETF | ARKK | 37.3 | 16.7 | 73.9 |
| Proshares Bitcoin ETF | BITO | 63.5 | 40.6 | 56 |
| SPDR Dow Jones | DIA | 11.7 | 10.9 | 76.7 |
| iShares MSCI Emerging Markets | EEM | 17.2 | 24.1 | 68 |
| iShares MSCI EAFE | EFA | 12.7 | 13 | 83.4 |
| iShares MSCI Mexico ETF | EWW | 21.1 | 20.3 | 78.2 |
| iShares MSCI Brazil | EWZ | 30.9 | 11.3 | 75.9 |
| iShares China Large-Cap | FXI | 29.2 | 13.3 | 48.7 |
| Vaneck Gold Miners | GDX | 32.3 | 32.1 | 53.7 |
| SPDR Gold | GLD | 12.9 | 21 | 60.5 |
| iShares High-Yield | HYG | 7.7 | 26.1 | 70.8 |
| iShares Russell 2000 | IWM | 21.1 | 29.4 | 67.2 |
| SPDR Regional Bank | KRE | 31.3 | 10.8 | 72.5 |
| Vaneck Oil Services | OIH | 32.0 | 21.5 | 42.1 |
| Invesco Nasdaq 100 | QQQ | 17.8 | 3.7 | 80.4 |
| iShares Silver Trust | SLV | 26.5 | 24.1 | 72.1 |
| Vaneck Semiconductor | SMH | 26.2 | 13.6 | 86.5 |
| SPDR S&P 500 | SPY | 14.2 | 13.4 | 81.7 |
| iShares 20+ Treasury Bond | TLT | 18.5 | 36.3 | 64.9 |
| United States Oil Fund | USO | 40.8 | 59.8 | 42 |
| Proshares Ultra VIX Short | UVXY | 101.7 | 20.1 | 21.2 |
| CBOE Market Volatility Index | VIX | 85.6 | 44.6 | 30.6 |
| Barclays S&P 500 VIX ETN | VXX | 69.3 | 19.6 | 20.6 |
| SPDR Biotech | XLB | 15.1 | 12.7 | 74.3 |
| SPDR Energy Select | XLE | 22.4 | 14.6 | 50.5 |
| SPDR Financials | XLF | 15.6 | 4.1 | 83.9 |
| SPDR Utilities | XLU | 18.1 | 34.8 | 66.5 |
| SPDR S&P Oil & Gas Explorer | XOP | 28.7 | 16.3 | 46.8 |
| SPDR Retail | XRT | 26.7 | 34.4 | 63.3 |
Stock Watch List – Trade Ideas
| Stock - Quant Trader | Ticker Symbol | IV | IV Rank | HPMR Oversold - Overbought |
| Apple | AAPL | 21.0 | 3.9 | 80.8 |
| Bank of America | BAC | 27.6 | 17.7 | 80.4 |
| Bristol-Myers Squibb | BMY | 24.0 | 51.6 | 39.9 |
| Citigroup | C | 26.2 | 9.3 | 83.4 |
| Caterpillar | CAT | 24.4 | 15.2 | 67.7 |
| Comcast | CMCSA | 22.7 | 14.3 | 55.6 |
| Costco | COST | 21.3 | 32.5 | 53.2 |
| Cisco Systems | CSCO | 18.6 | 14.2 | 19.2 |
| Chevron | CVX | 22.0 | 18.5 | 44.6 |
| Disney | DIS | 24.4 | 1.4 | 78.6 |
| Duke Energy | DUK | 19.1 | 22.3 | 59.6 |
| Fedex | FDX | 26.6 | 19.7 | 68.2 |
| Gilead Sciences | GILD | 22.6 | 25.1 | 40.4 |
| General Motors | GM | 37.0 | 44.9 | 50.8 |
| Intel | INTC | 32.8 | 13.4 | 85.3 |
| Johnson & Johnson | JNJ | 18.8 | 46.8 | 53.6 |
| JP Morgan | JPM | 18.9 | 4.2 | 84.9 |
| Coca-Cola | KO | 16.5 | 28.5 | 67.3 |
| Altria Group | MO | 18.4 | 27.5 | 58.5 |
| Merck | MRK | 20.3 | 23.3 | 41.5 |
| Morgan Stanley | MS | 23.3 | 9.7 | 77 |
| Microsoft | MSFT | 22.6 | 15.3 | 64.7 |
| Nextera Energy | NEE | 29.4 | 46.2 | 54.9 |
| Nvidia | NVDA | 50.8 | 41.8 | 74.1 |
| Pfizer | PFE | 30.0 | 64.5 | 45.7 |
| Paypal | PYPL | 32.6 | 13.1 | 58.1 |
| Starbucks | SBUX | 18.5 | 1.4 | 64.9 |
| AT&T | T | 20.6 | 0.1 | 68.2 |
| Verizon | VZ | 18.1 | 4 | 73.6 |
| Walgreens Boots Alliance | WBA | 41 | 61.6 | 51.3 |
| Wells Fargo | WFC | 25.7 | 5.5 | 72.5 |
| Walmart | WMT | 18.1 | 31.5 | 25.6 |
| Exxon Mobil | XOM | 24 | 15.8 | 50.8 |
Weekly Trade Discussion: Open Positions
*Portfolio updated every Monday
Bear Call Spread: SPY December 15, 2023, 456/461
Original trade published on 11-6-2023 (click to see original alert)
Background: At the time of the trade, SPY was trading for roughly 435.36. We sold the December 15, 2023, SPY 456/461 bear call spread for $0.58. The expected range or move was 419 to 451. The probability of success at the time of the trade was 86.49% on the call side.
Current Thoughts: At the time of the trade SPY was trading for 435.36 and now it sits at 450.79. SPY’s relentless push higher since late October has pushed our probability of success from 86.49% to where it stands now, 62.77%. If we manage to see any decent downside from here, we should be able to get out of our position. Our bear call spread currently sits at $1.72.
Call Side:
As always, if you have any questions, please feel free to email me at andy@cabotwealth.com.
The next Cabot Options Institute – Quant Trader issue will be
published on November 27, 2023.