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 monthly indexes of the Condor Options newsletter, the Credit Suisse/Tremont Equity Market Neutral…
Volatility as an Asset Class: A guide to buying, selling, and trading third-generation volatility products, ed. Israel Nelken (London: Risk Books, 2007). Israel Nelken, one of the members of the CBOE New Products Committee, has collected 11 essays on the theory and practice of trading volatility as a distinct asset class. The first half of the book examines the measurement of volatility and ways to employ volatility models on several traditional underlying products. The second half is devoted to discussion…
We feel like we’re saying this every month, but it sure feels nice not to have any skin in the game come expiration day. Options expiration surely had something to do with the intensity of today’s selloff, and this was a textbook case of why we never hold positions into expiration.
The fancy-pants phrase for the influence options expiration had today is “negative gamma.” The practical significance of that phrase is that when we gapped down at the open, lots of…
Our VIX post from yesterday got picked up by two of the deans of options blogging, Adam Warner (shown) and Bill Luby:
The Big Question for the VIX
VIX Jumping the Shark?
VIX and VIX
(and thanks also to Abnormal Returns for the link)
Not much to add in response to all this, except to agree that the increased coverage of this one instrument doesn’t change the fact that it still definitely serves a purpose. When all you have is a hammer, every problem looks like a…
We’re making some changes to our monthly review – hopefully the structure of this new format will make it easier to follow along and compare our strategy with the relevant benchmarks. Going forward, we’ll include the following items in each monthly review: 1) a quick-glance overview of our monthly performance, in the chart at right; 2) a performance comparison of our positions for the month vs. the SPX, DJIA, and RUT, plus BEP, which is an S&P 500 Covered Call…
Tuesday, March 3, 2009
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