Volatility Strategy

About this Strategy

This strategy identifies opportunities that exhibit a combination of both unusually low options volatility and Elliott Wave corrective patterns. A Strangle option strategy is used to capture profit from increasing option volatility during the ensuing break out from the consolidation pattern.
Where a sufficiently low level of volatility in options pricing exists, we can have a reasonable expectation of an increase in volatility to historical levels. If we can combine these circumstances with markets that our Elliott Wave analysis shows are consolidating and are likely to have significant move, either up or down, then we have a reasonably low risk trade.
Applying a strangle means that we have limited downside and assuming selection of appropriate expiry month, the lost of time value (theta) will be minimal during the period of applying the strategy and waiting for the breakout.
In fact, often the anticipated increase in volatility is sufficient to create a profitable trade even without a dramatic move in the underlying.

Strategy Guidelines

Strategy Commenced October 2017
Primary Strategies Used Strangles
Instruments Traded US Exchanged Traded Options
US Listed Equities
US Listed ETFs
Trading Alerts Entry Alert
Adjustment Alerts
Roll Alert
Exit Alert
Capital Required Minimum $5,000 USD
Suggested $10,000 USD
Risk Management Position Sizing: 10% of min. capital
Position Value: $500 per trade
Trading Frequency Aim 3 to 4 trades per month
Maximum 10 open positions
Trade Duration Typically 2 to 3 weeks

Summary Statistics

1
Total
Trades
1
Winning
Trades
1 %
Winning
Trades %
1 %
Return on
Account

Equity Curve

Comments:
1. Hypothetical non-compounded returns since Inception.
2. Portfolio return based on $5,000 model starting account.
3. Returns excludes subscription costs and broker fees & commissions.

Trade Journal

Symbol Strategy Entry Date Entry Price Position Size Exit Date Exit Price ROI Days Held Status
AN Long Strangle 17-Jul-19 $2.61 2 24-Jul-19 $5.05 93.49% 7 Win
CCL Long Strangle 22-May-19 $2.24 2 26-Jun-19 $4.66 108.04% 35 Win
DE Long Strangle 7-Mar-19 $4.90 1 18-Jun-19 $2.31 -52.86% 103 Loss
MET Long Strangle 7-Mar-19 $1.75 3 18-Jun-19 $0.31 -82.29% 103 Loss
NDAQ Long Strangle 31-May-19 $3.30 1 7-Jun-19 $4.20 27.27% 7 Win
GLD Long Strangle 18-Apr-19 $1.75 3 6-Jun-19 $2.63 50.29% 49 Win
BIDU Long Strangle 1-May-19 $4.95 1 17-May-19 $19.75 298.99% 16 Win
BIDU Long Strangle 1-May-19 $4.95 1 17-May-19 $19.75 299.00% 16 Win
SPY Long Strangle 26-Apr-19 $4.50 1 7-May-19 $6.99 55.33% 11 Win
TXRH Long Strangle 26-Apr-19 $3.60 1 30-Apr-19 $5.90 63.89% 4 Win
BIDU Long Strangle 28-Mar-19 $4.82 1 3-Apr-19 $7.02 45.64% 6 Win
KMX Long Strangle 7-Mar-19 $3.10 1 29-Mar-19 $3.25 4.84% 22 Win
CCL Long Strangle 1-Feb-19 $3.80 1 26-Mar-19 $7.74 103.68% 53 Win
MSFT Long Strangle 19-Feb-19 $1.93 2 13-Mar-19 $2.58 33.68% 22 Win
TSCO Long Strangle 25-Feb-19 $3.85 1 11-Mar-19 $5.10 32.47% 14 Win
ADSK Long Strangle 30-Jan-19 $4.85 1 12-Feb-19 $8.30 71.13% 13 Win
USO Long Call 27-Dec-18 $0.29 10 9-Jan-19 $0.80 175.86% 13 Win
SPY Put Debit Spread 2-Jan-19 $2.50 2 7-Jan-19 $1.70 -32.00% 5 Loss
GE Long Call 12-Nov-18 $0.42 10 7-Jan-19 $0.70 66.67% 56 Win
DLTR Long Strangle 16-Nov-18 $4.00 1 4-Jan-19 $1.10 -72.50% 49 Loss
FL Long Strangle 6-Nov-18 $4.00 1 20-Dec-18 $2.60 -35.00% 44 Loss
SPY Put Debit Spread 13-Dec-18 $1.75 2 17-Dec-18 $2.45 40.00% 4 Win
SAFM Long Strangle 30-Nov-18 $4.00 1 6-Dec-18 $7.70 92.50% 6 Win
SPY Put Debit Spread 27-Nov-18 $1.66 2 6-Dec-18 $4.60 177.11% 9 Win
GPC Long Strangle 27-Nov-18 $4.25 1 6-Dec-18 $5.20 22.35% 9 Win
GLD Long Strangle 8-Nov-18 $1.98 2 6-Dec-18 $2.02 2.02% 28 Win
SPY Long Strangle 16-Nov-18 $1.40 3 20-Nov-18 $2.46 75.71% 4 Win
ED Long Strangle 30-Oct-18 $2.40 2 9-Nov-18 $4.85 102.08% 10 Win
FXI Long Strangle 22-Oct-18 $2.20 2 7-Nov-18 $3.40 54.55% 16 Win
ARNC Long Strangle 22-Oct-18 $2.00 2 1-Nov-18 $1.85 -7.50% 10 Loss
MYGN Long Strangle 30-Oct-18 $3.30 1 1-Nov-18 $4.72 43.03% 2 Win
GLD Long Strangle 9-Oct-18 $1.96 2 26-Oct-18 $2.80 42.86% 17 Win
AEP Long Strangle 22-Oct-18 $2.00 2 24-Oct-18 $2.80 40.00% 2 Win
SPY Put Debit Spread 17-Oct-18 $1.70 3 23-Oct-18 $3.40 100.00% 6 Win
AXP Long Strangle 21-Aug-18 $2.35 2 18-Oct-18 $0.92 -60.85% 58 Loss
SPY Long Strangle 21-Aug-18 $4.66 1 18-Oct-18 $5.69 22.10% 58 Win
IBM Long Strangle 6-Sep-18 $4.20 1 11-Oct-18 $6.51 55.00% 35 Win
ITW Long Strangle 21-Aug-18 $2.80 2 11-Oct-18 $3.00 7.14% 51 Win
NAV Long Strangle 21-Aug-18 $3.25 1 10-Oct-18 $3.28 0.92% 50 Win
AKAM Long Strangle 18-Sep-18 $4.00 1 4-Oct-18 $6.00 50.00% 16 Win
CLR Long Strangle 21-Aug-18 $3.60 1 3-Oct-18 $5.00 38.89% 43 Win
BBY Long Strangle 17-Jul-18 $4.15 1 21-Sep-18 $0.00 -100.00% 66 Loss
THO Long Strangle 17-Jul-18 $4.40 1 20-Sep-18 $0.97 -77.95% 65 Loss
ESRX Long Strangle 31-Jul-18 $3.40 1 5-Sep-18 $11.00 223.53% 36 Win
HAIN Long Strangle 13-Jun-18 $1.90 2 17-Aug-18 $0.00 -100.00% 65 Loss
TMO Long Strangle 20-Jun-18 $4.30 1 1-Aug-18 $14.60 239.53% 42 Win
CVS Long Strangle 22-Jun-18 $2.60 2 5-Jul-18 $4.15 59.62% 13 Win
ABC Long Strangle 22-Jun-18 $3.60 1 5-Jul-18 $4.00 11.11% 13 Win
ADSK Long Strangle 23-Apr-18 $4.60 1 15-Jun-18 $0.00 -100.00% 53 Loss
GOLD Long Strangle 28-Mar-18 $4.40 1 15-Jun-18 $0.00 -100.00% 79 Loss
SPY Long Strangle 30-Apr-18 $3.80 1 7-Jun-18 $4.90 28.95% 38 Win
ADBE Long Strangle 23-Apr-18 $4.52 1 7-Jun-18 $4.11 -9.07% 45 Loss
ORLY Long Strangle 28-Mar-18 $4.60 1 19-Apr-18 $3.95 -14.13% 22 Loss
TSM Long Strangle 28-Mar-18 $2.50 2 19-Apr-18 $2.85 14.00% 22 Win
FFIV Long Strangle 29-Mar-18 $4.75 1 17-Apr-18 $4.98 4.84% 19 Win
AAPL Long Strangle 13-Mar-18 $4.58 1 23-Mar-18 $6.85 49.56% 10 Win
SPY Long Strangle 23-Feb-18 $4.85 1 23-Mar-18 $6.35 30.93% 28 Win
RGR Long Strangle 1-Feb-18 $3.40 1 7-Mar-18 $5.60 64.71% 34 Win
AEM Long Strangle