Copyright 2018
Arrow Publications
ARROW PUBLICATIONS

 
                          
                         

      
"Books 
that 
       Behave
SHORT SPIDER STRADDLES PRIMARY PROGRAM RESULTS
(Cumulative YTD Annualized Return since May, 2009 = 19.75%)
email me
The following are actual results of the Short Spider Straddles investment program as described at the end of Chapter 5 of the book. These results, posted since publication of the book, are per put/call contract straddle (1 put contract and 1 call contract). They will be posted at the end of each expiration month and can be readily verified. The market prices for SPY and the put/call options are always the opening prices on the Monday following expiration. The strike price chosen is the strike price rounded up or down to the nearest dollar. Your results may differ slightly depending on the prices at the time your transactions were executed. Initial margin requirement per straddle is now approximately $8,800 asssuming a conservative 30% margin factor. Many brokerages require less margin.
Please read the statement at the bottom of this page for suitability information.
ARROW PUBLICATIONS






TRADE
DATE

EXPIR.
DATE

DAYS
TO 
EXP.
SPY PRICE
AT TRADE

SPY STRIKE
PRICE

SPY PRICE
AT EXPIR.

INITIAL
STRADDLE
PREMIUMS

GAIN/LOSS
PER SHARE
GAIN/LOSS
PER CONT.
MO. %
RETURN
ANN. %
RETURN
18-May-09
22-Jun-09
20-Jul-09
24-Aug-09
21-Sep-09
19-Oct-09
23-Nov-09
21-Dec-09
19-Jan-10
22-Feb-10
22-Mar-10
19-Apr-10
24-May-10
21-Jun-10
19-Jul-10
23-Aug-10
20-Sep-10
18-Oct-10
22-Nov-10
20-Dec-10
24-Jan-11
22-Feb-11
21-Mar-11
18-Apr-11
23-May-11
20-Jun-11
18-Jul-11
22-Aug-11
19-Sep-11
24-Oct-11
21-Nov-11
19-Dec-11
23-Jan-12
21-Feb-12
19-Mar-12
23-Apr-12
21-May-12
18-Jun-12
23-Jul-12
20-Aug-12
24-Sep-12
22-Oct-12
19-Nov-12
24-Dec-12
22-Jan-13
19-Feb-13
18-Mar-13
22-Apr-13
20-May-13
24-Jun-13
22-Jul-13
19-Aug-13
23-Sep-13
21-Oct-13
18-Nov-13
23-Dec-13
21-Jan-14
24-Feb-14
24-Mar-14
21-Apr-14
19-May-14
23-Jun-14
21-Jul-14
18-Aug-14
22-Sep-14
20-Oct-14
24-Nov-14
22-Dec-14
20-Jan-15
23-Feb-15
23-Mar-15
20-Apr-15
18-May-15
22-Jun-15
20-Jul-15
24-Aug-15
21-Sep-15
19-Oct-15
23-Nov-15
21-Dec-15
19-Jan-16
22-Feb-16
21-Mar-16
18-Apr-16
23-May-16
20-Jun-16
18-Jul-16
22-Aug-16
19-Sep-16
24-Oct-16
21-Nov-16
19-Dec-16
23-Jan-17
21-Feb-17
20-Mar-17
24-Apr-17
22-May-17
19-Jun-17
24-Jul-17
21-Aug-17
18-Sep-17
23-Oct-17
20-Nov-17
18-Dec-17
22-Jan-18
20-Feb-18
19-Mar-18
23-Apr-18​
​21-May-18
​18-Jun-18
23-Jul-18
20-Aug-18
24-Sep-18
22-Oct-18
19-Nov-18
19-Jun-09
17-Jul-09
21-Aug-09
18-Sep-09
16-Oct-09
20-Nov-09
18-Dec-09
15-Jan-10
19-Feb-10
19-Mar-10
16-Apr-10
21-May-10
18-Jun-10
16-Jul-10
20-Aug-10
17-Sep-10
15-Oct-10
19-Nov-10
17-Dec-10
21-Jan-11
18-Feb11
18-Mar-11
15-Apr-11
20-May-11
17-Jun-11
15-Jul-11
19-Aug-11
16-Sep-11
21-Oct-11
18-Nov-11
16-Dec-11
20-Jan-12
17-Feb-12
16-Mar-12
20-Apr-12
18-May-12
15-Jun-12
20-Jul-12
17-Aug-12
21-Sep-12
19-Oct-12
16-Nov-12
21-Dec-12
18-Jan-13
15-Feb-13
15-Mar-13
19-Apr-13
17-May-13
21-Jun-13
19-Jul-13
16-Aug-13
20-Sep-13
18-Oct-13
15-Nov-13
20-Dec-13
17-Jan-14
21-Feb-14
21-Mar-14
18-Apr-14
16-May-14
20-Jun-14
18-Jul-14
15-Aug-14
19-Sep-14
17-Oct-14
21-Nov-14
19-Dec-14
16-Jan-15
20-Feb-15
20-Mar-15
17-Apr-15
15-May-15
19-Jun-15
17-Jul-15
21-Aug-15
18-Sep-15
16-Oct-15
20-Nov-15
18-Dec-15
15-Jan-16
19-Feb-16
18-Mar-16
15-Apr-16
20-May-16
17-Jun-16
15-Jul-16
19-Aug-16
16-Sep-16
21-Oct-16
18-Nov-16
16-Dec-16
20-Jan-17
17-Feb-17
17-Mar-17
21-Apr-17
19-May-17
16-Jun-17
21-Jul-17
18-Aug-17
15-Sep-17
20-Oct-17
17-Nov-17
15-Dec-17
19-Jan-18
16-Feb-18
16-Mar-18
20-Apr-18
18-May-18​
​15-Jun-18
20-Jul-18
17-Aug-18
21-Sep-18
19-Oct-18
16-Nov-18
21-Dec-18
32
25
32
25
25
32
25
25
25
25
25
32
25
25
32
25
25
32
25
32
25
24
25
32
25
25
32
25
32
25
25
32
25
24
32
25
25
32
25
32
25
25
32
25
24
24
32
25
32
25
25
32
25
25
32
25
31
25
25
25
32
25
25
32
25
32
25
25
31
25
25
25
32
25
32
25
25
32
25
25
31
25
25
32
25
25
32
25
32
25
25
32
25
24
32
25
25
32
25
25
32
25
25
32
25
24
32
25
25
32
​25    
32    
25
25
32
$89.55
$91.14
$94.68
$103.39
$105.89
$109.07
$110.72
$110.76
$113.62
$111.55
$115.31
$119.01
$108.52
$113.12
$107.05
$108.04
$112.88
$117.55
$119.69
$124.64
$128.28
$133.12
$129.35
$130.59
$131.98
$126.62
$131.08
$115.17
$119.53
$124.17
$120.20
$122.06
$131.51
$136.73
$140.21
$136.54
$130.16
$133.58
$134.47
$141.98
$145.15
$143.15
$137.90
$142.48
$148.33
$152.37
$154.34
$155.78
$166.78
$157.41
$169.41
$165.64
$170.49
$174.45
$180.35
$182.41
$184.70
$184.28
$186.82
$186.44
$187.69
$195.97
$197.09
$196.80
$200.35
$188.13
$207.17
$206.75
$202.40
$210.94
$210.42
$209.06
$212.24
$211.90
$212.75
$187.49
$196.44
$202.50
$209.38
$201.41
$189.96
$193.87
$204.07
$207.14
$205.51
$208.82
$215.97
$218.26
$214.13
$215.00
$219.17
$225.25
$226.35
$235.52
$237.03
$237.18
$238.90
$243.59
$246.79
$242.64
$249.61
$257.48
$258.14
$268.10
$280.17
$272.03
$273.35
$267.26
$273.01
​$275.49
$279.45
$285.57
$291.34
$277.00
$273.05
$90.00
$91.00
$95.00
$103.00
$106.00
$109.00
$111.00
$111.00
$114.00
$112.00
$115.00
$119.00
$109.00
$113.00
$107.00
$108.00
$113.00
$118.00
$120.00
$125.00
$128.00
$133.00
$129.00
$131.00
$132.00
$127.00
$131.00
$115.00
$120.00
$124.00
$120.00
$122.00
$132.00
$137.00
$140.00
$137.00
$130.00
$134.00
$134.00
$142.00
$145.00
$143.00
$138.00
$142.00
$148.00
$152.00
$154.00
$156.00
$167.00
$157.00
$169.00
$166.00
$170.00
$174.00
$180.00
$182.00
$184.00
$184.00
$187.00
$186.00
$187.00
$196.00
$197.00
$197.00
$200.00
$188.00
$207.00
$207.00
$202.00
$211.00
$210.00
$209.00
$212.00
$212.00
$213.00
$187.00
$196.00
$203.00
$209.00
$201.00
$190.00
$194.00
$204.00
$207.00
$206.00
$209.00
$216.00
$218.00
$214.00
$215.00
$219.00
$225.00
$226.00
$236.00
$237.00
$237.00
$239.00
$244.00
$247.00
$243.00
$250.00
$257.00
$258.00
$268.00
$280.00
$272.00
$273.00
$267.00
$273.00
$275.00
$279.00
$286.00
$291.00
$277.00
$273.00
$92.04
$94.13
$102.97
$106.72
$108.89
$109.43
$110.21
$113,64
$111.14
$115.97
$119.36
$109.11
$111.73
$106.66
$107.53
$112.49
$117.70
$120.29
$124.30
$128.37
$134.53
$127.76
$132.04
$133.61
$127.05
$131.69
$112.64
$121.52
$123.97
$121.98
$121.59
$131.54
$136.41
$140.30
$137.95
$129.74
$134.14
$136.47
$142.18
$145.87
$143.39
$136.37
$142.79
$148.33
$152.11
$155.83
$155.48
$166.88
$159.07
$169.17
$165.83
$170.72
$174.38
$180.05
$181.56
$183.63
$183.89
$186.20
$186.39
$188.05
$195.94
$197.71
$195.72
$200.70
$188.47
$206.68
$206.52
$201.63
$211.24
$210.41
$207.95
$212.44
$210.81
$212.47
$197.63
$195.45
$203.27
$209.31
$200.02
$187.81
$192.00
$204.38
$207.78
$205.49
$206.52
$215.83
$218.54
$213.37
$213.98
$218.50
$225.04
$226.74
$235.09
$237.03
$234.59
$238.31
$242.64
$246.88
$242.71
$249.19
$257.11
$257.86
$266.51
$280.41
$271.33
$274.20
 $266.61
$271.33
$277.13​
​$279,68
$285.06
$291.99
$276.25
$273.73
$6.31
$5.07
$5.20
$5.09
$5.08
$5.20
$4.52
$4.32
$4.35
$4.24
$3.75
$4.58
$7.74
$4.51
$6.27
$5.22
$4.55
$5.17
$4.44
$4.18
$4.27
$4.45
$5.32
$4.72
$4.71
$5.30
$5.72
$8.35
$8.60
$7.27
$8.20
$6.76
$4.32
$4.41
$4.48
$5.04
$6.14
$6.20
$4.91
$4.56
$3.79
$4.52
$5.12
$4.74
$3.51
$3.55
$4.32
$4.24
$4.93
$6.60
$4.28
$5.62
$4.52
$4.09
$4.94
$4.04
$4.70
$4.85
$4.65
$5.05
$5.50
$3.55
$4.31
$5.02
$4.24
$8.43
$4.78
$5.82
$8.36
$5.79
$5.18
$5.45
$6.13
$5.25
$5.16
$17.91
$8.02
$6.56
$6.54
$7.52
$9.76
$6.66
$5.45
$6.18
$6.31
$6.53
$5.55
$4.62
$6.90
$5.29
$5.63
$5.58
$4.69
$4.81
$4.99
$4.76
$5.00
$4.55
$3.78
$6.13
$4.32
$4.06
$5.14
$4.55
$5.57
$9.24
$8.25
​$7.98
$6.31
$6.92
$5.97
$6.59
$5.75
$9.73
$11.37
$4.27
$1.94
-$2.77
$1.37
$2.19
$4.77
$3.73
$1.68
$1.49
$0.27
-$0.61
-$5.31
$5.01
-$1.83
$5.74
$0.73
-$0.15
$2.88
$0.14
$0.81
-$2.26
-$0.79
$2.28
$2.11
-$0.24
$0.61
-$12.64
$1.83
$4.63
$5.25
$6.61
-$2.78
-$0.09
$1.11
$2.43
-$2.22
$2.00
$3.73
-$3.27
$0.69
$2.18
-$2.11
-$0.33
-$1.59
-$0.60
-$0.28
$2.84
-$6.64
-$3.00
-$5.57
$1.11
$0.90
$0.14
-$1.96
$3.38
$2.41
$4.59
$2.65
$4.04
$3.00
-$3.44
$1.84
$3.03
$1.32
-$7.29
-$10.25
$4.30
$0.45
-$.88
$5.20
$3.13
$2.01
$4.94
$4.78
-$10.21
$9.46
$0.75
$0.25
-$2.44
-$5.67
$7.76
-$3.72
$1.67
$4.67
$5.79
-$.30
$3.01
-$.01
$6.88
$1.79
-$.41
$3.84
-$4.40
$3.78
$2.58
$3.45
$1.36
$1.67
-$.51
-$.06
-$2.79
$3.20
-$3.37
-$7.86
-$3.10
$7.04
$1.86
​$3.65
$2.18
$2.24
-$.09
$.60
-$9.00
$6.46
$427.00
$194.00
-$277.00
$137.00
$219.00
$477.00
$373.00
$168.00
$149.00
$  27.00
-$  60.76
-$531.00
$501.00
-$183.00
$574.00
$  73.00
-$  15.00
$288.00
$14.00
$81.00
-$226.00
-$79.00
$228.00
$211.00
-$24.00
$61.00
-$1,264.00
$183.00
$463.00
$525.00
$661.00
-$278.00
-$9.00
$111.00
$243.00
-$222.00
$200.00
$373.00
-$327.00
$69.00
$218.00
-$211.00
$33.00
-$159.00
-$60.00
-$28.00
$284.00
-$664.00
-$300.00
-$557.00
$111.00
$90.00
$14.00
-$196.00
$338.00
$241.00
$459.00
$265.00
$404.00
$300.00
-$344.00
$184.00
$303.00
$132.00
-$729.00
-$1,025.00
$430.00
$45.00
-$88.00
$520.00
$313.00
$201.00
$494.00
$478.00
-$1,021.00
$946.00
$75.00
$25.00
-$244.00
-$567.00
$776.00
-$372.00
$167.00
$467.00
$579.00
-$30.00
$301.00
-$1.00
$688.00
$179.00
-$41.00
$384.00
-$440.00
$378.00
$258.00
$345.00
$136.00
$167.00
-$51.00
-$6.00
-$279.00
$320.00
-$337.00
-$786.00
-$310.00
$704.00
$186.00
$365.00
$218.00
$224.00
-$9.00
$60.00
-$900.00
$646.00
   164.71%
94.36%
-102.97%
58.91%
93.50%
153.73%
154.73%
69.78%
48.89%
11.22%
-24.12%
-159.37%
203.49%
-73.58%
185.47%
30.40%
-6.08%
87.83%
5.40%
23.62%
-80.68%
-28.42%
79.61%
58.52%
-8.36%
22.12%
-341.13%
68.69%
133.06%
186.70%
239.11%
-79.16%
-3.20%
39.30%
62.27%
-75.34%
69.07%
99.51%
-110.35%
17.55%
69.81%
-67.92%
8.59%
-50.91%
-19.59%
-8.90%
66.38%
-199.33%
-65.45%
-159.66%
30.36%
19.69%
3.79%
-52.19%
67.73%
61.56%
92.45%
66.72%
101.36%
74.37%
-47.37%
44.38%
72.08%
24.54%
-170.09%
-192.34%
97.02%
10.16%
-15.87%
114.83%
69.10%
44.80%
84.13%
105.59%
-174.36%
211.22%
17.23%
4.40$
-53.74%
-127.69%
147.51%
-88.28%
38.08%
81.40%
129.53%
-6.62%
50.81%
-.22%
115.42%
38.44%
-8.80%
61.76%
-90.58%
77.66
39.88%
68.19%
26.62%
25.13%
-9.78%
-1.14%
-41.08%
58.33%
-61.43
-19.89%
-52.02%
124.06%
​24.41%
62.87%
37.37%
29.35%
-1.50%
7.80%
-144.30%
106.92%
MONTHLY, ANNUALIZED, AND CUMULATIVE YEAR-TO-DATE RESULTS
CUM.
 ANN. %
RETURN
 164.71%
129.53%
52.03%
53.75%
61.70%
77.04%
88.14%
85.84%
81.74%
74.69%
65.70%
46.95%
58.99%
49.52%
58.58%
56.82%
53.12%
55.05%
52.44%
51.00%
44.73%
41.40%
43.06%
43.71%
41.62%
40.87%
26.73%
28.22%
31.84%
37.00%
43.52%
39.69%
38.39%
38.41%
39.10%
35.92%
36.81%
38.46%
34.65%
34.22%
35.09%
32.64%
32.08%
30.19%
29.08%
28.26%
29.07%
24.31%
22.48%
18.84%
19.06%
19.07%
18.79%
17.47%
18.39%
19.16%
20.44%
21.24%
22.60%
23.46%
22.30%
22.66%
23.44%
23.46%
20.48%
17.26%
18.45%
18.32%
17.83%
19.21%
19.92%
20.26%
21.14%
22.28%
19.66%
22.18%
22.11%
21.89%
20.93%
19.07%
20.66%
19.33%
19.55%
20.29%
21.58%
21.25%
21.59%
21.34%
22.40%
22.57%
22.23%
22.66%
21.44%
22.04%
22.23%
22.71%
22.75%
22.77%
22.44%
22.21%
21.58%
21.94%
21.13%
19.89%
19.20%
20.19%
20.23%
20.63%
20.78%
20.86%
20.66%
20.54%
18.98%
19.75%
14.44%
6.46%
-9.03%
4.04%
6.40%
13.48%
10.60%
4.78%
4.15%
0.77%
-1.65%
-13.97%
13.94%
-5.04%
16.26%
2.08%
-0.42%
7.70%
0.37%
2.07%
-5.53%
-1.87%
5.45%
5.13%
-0.57%
1.52%
-29.91%
4.70%
11.67%
12.79%
16.38%
-6.94%
-0.22%
2.58%
5.46%
-5.16%
4.73%
8.72%
-7.56%
1.54%
4.78%
-4.65%
0.75%
-3.49%
-1.29%
-0.59%
5.82%
-13.65%
-5.74%
-10.94%
2.08%
1.73%
0.26%
-3.57%
5.94%
4.22%
7.85%
4.57%
6.94%
5.09%
-4.15%
3.04%
4.94%
2.15%
-11.65%
-16.86%
6.64%
0.70%
-1.35%
7.86%
4.73%
3.07%
7.38%
7.23%
-15.29%
14.47%
1.18%
0.39%
-3.68%
-8.75%
12.53%
-6.05%
2.61%
7.14%
8.87%
-.45%
4.45%
-.01%
10.12%
2.63%
-.60%
5.41%
-6.20%
5.11%
3.50%
4.67%
1.82%
2.20%
-.67%
-.08%
-3.60%
4.00%
-4.21%
9.47%
-3.56%
8.16%
2.14%​
4.31%​
2.56%
2.57%
-.10%
.68%
-9.88%
7.32%
SUITABILITY OF UTILIZING THIS INVESTMENT STRATEGY


Please note that the following statement is contained in Chapter 5 of Short Spider Straddles

"Since volatility is a key factor in option premium prices, what the future holds for this strategy will largely depend on levels of volatility. We have seen that the higher the VIX (within the range of 20 to 30), the more profitable this strategy will likely be. If the VIX reverts to long-term historic norms at or below the 20 level, this strategy will likely be less profitable, but will still exceed the level of returns available by most alternative measures. Fortunately there is nothing that locks an investor into this strategy. We have the opportunity to measure the VIX and our investment results using this straddle strategy on a monthly, even a daily basis. If the returns stop being attractive and other better alternatives present themselves, we can simply stop using this strategy and begin using other ones."

The historical data provided in the book points to increasingly smaller returns as the VIX declines below the 20 level. Investors using this program may wish to consider the suitability of utilizing this strategy when VIX levels are below the 20 level.