In a previous article, “Recession Proof Calendar Call Spread Strategy “, we outlined a “recession proof” calendar call spread investment strategy. Using the recession proof stock symbols and PowerOptions new SmartHistoryXL options back testing tool we analyzed the results of a calendar options spreads strategy by searching for and selecting positions on August 21, 2006.
The short portions of the calendar options spreads were all selected to expire on September 15, 2006 (September options expiration day). The results of the back test are shown below:
| Results for Calendar Call Spread search on August 21 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Stock Sym |
Stock Price on 8-21-06 |
Short Opt Strike &Mo. |
Short Opt |
Short Opt Bid |
Long Opt Strike & Mo. |
Long Opt |
Long Opt Ask |
Stock Price on 9-15-06 |
Short Opt Ask |
Long Opt Bid |
% Ret. |
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| SYMC | 18.21 | 06 SEP 20 | SYQID | 0.05 | 07 JAN 17.5 | SYQAW | 2.1 | 19.77 | 0 | 3.1 | 51.2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| IGT | 37.21 | 06 SEP 40 | IGXIH | 0.15 | 07 JAN 35 | IGXAG | 4.2 | 40.26 | 0.35 | 6.1 | 44.2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| ERTS | 49.99 | 06 SEP 55 | EZQIK | 0.20 | 07 JAN 45 | EZQAI | 8.1 | 54.22 | 0 | 11.1 | 40.5 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| UNH | 49.56 | 06 SEP 55 | UHBIK | 0.10 | 07 JAN 47.5 | UHBAW | 5.7 | 52.21 | 0 | 6.8 | 21.4 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| FRX | 47.97 | 06 SEP 55 | FHAIK | 0.05 | 07 JAN 45 | FHAAI | 5.9 | 49.75 | 0 | 6.9 | 17.9 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| FRX | 47.97 | 06 SEP 55 | FHAIK | 0.05 | 07 FEB 45 | FHABI | 6.3 | 49.75 | 0 | 7.3 | 16.8 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| MAFB | 41.55 | 06 SEP 45 | MUNII | 0.05 | 07 FEB 40 | MUNBH | 3.4 | 41.83 | 0 | 3.1 | -7.5 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Analysis
The average return of the calendar call spread strategy was a whopping +26.4% with a success rate of 86%. Even though MAFB exhibited a loss, it was more than compensated for by the other positions. As usual the pundits would probably say “yes, but that’s only for one month”.
Using the same selection criteria for stock options expiration in the months of June, July and August exhibited returns of +6.2%, +22.9% and +24.9%, respectively. It should be noted, for each month different positions were selected as the dynamics of the market change from month to month.
Join PowerOptions today, and you too can start reaping the benefits of the recession proof calendar call spread investment strategy.
PowerOptions provides Internet based tools for analyzing stock options with specific search criteria and for finding potentially lucrative option income. For those seeking to execute a calendar call spread investment strategy for their personal portfolios, PowerOptions provides an Internet based search engine for finding potentially lucrative income producing calendar call spread options positions.
[tags]stock options, option income, investment strategy, calendar options, calendar call spreads[/tags]