Condor Options

Earlier this month, we announced a change in how we’re going to publicize the performance of our strategies. Much as a company’s performance and the price of its stock can suffer in the long-run as a result of too much focus on short-term performance, we believe that investors do best when they take a long-term perspective. Lest anyone doubt the sincerity of this policy shift, rest assured that this post would make Calendar Options look a lot better if it were entitled “October Monthly Review” (10% model-portfolio return and 13.7% average return per trade over an average holding time of 24 days).

I think those October numbers represent a regularly achievable target, now that we’ve refined the Calendar Options strategy to better withstand short-term price volatility, strong intermediate-term price trends, and the current “volatility of volatility” (since the beginning of September, the VIX fell 7 points, recovered that entire drop, then fell almost 10 points only to bounce back 8 points in the week from Wednesday, October 21 to Wednesday, October 28). I was most amused last night when I attended a webinar on income options strategies (always keeping tabs on what other traders are doing) and one audience member wrote something like, “Calendar spreads don’t work in trending markets.” One look at our Calendar Options performance chart proves that Joe Novice couldn’t be more wrong.

If past performance is no guarantee of future results, one analyst’s expectations are worth about as much as…well, the claims of any hard-sell trading newsletter—and the hard sell is something we promise you’ll never get from the Condor Options group. All we ask is that you look at our long-term track-record, including (especially) risk-adjusted returns, and make your own decision about the value of the strategies we teach—which, by the way, is our primary mission: to teach you how to trade options for income well enough that you don’t need us anymore.

Performance Comparison – 3Q2009

Returns compounded monthly:

• S&P 500: +15.96%
• Dow Jones Industrials: +14.99%
• Russell 2000: +15.77%
• S&P 500 Covered Call Fund: +8.48%
• Calendar Options: +7.48%
• Note: the period measured is from expiration to expiration.

We calculate Calendar Options returns based on a model portfolio allocation. We initially size each hypothetical position at 25% of the total portfolio value at the beginning of each monthly cycle; with a maximum of three trades per month, this leaves at least 25% initially in cash for adjustments, if needed. Note that the model portfolio is not intended as a recommended allocation or as investment advice.

To see how the performance of our model portfolio since inception compares to a portfolio that’s 100% long the S&P 500, take a look at our Performance page. All performance figures include slippage (calculations are based on the actual prices at which the participating autotrading brokers were filled), but exclude any other transaction costs.