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Friday, June 5, 2009

60 ETF Option Strategies Spreadsheet Download

As posted previously in my blog, ETFs are some of the safest securities to purchase when planning on investing. An even more conservative way to invest with ETFs is to write covered calls on them once purchased. Writing call options allows you to get some of your investment back immediately (gives you some downside protection), however if the stock takes off you cap your upside.

The buy/write option strategy seems ideal when purchasing diversified ETFs. This is because diversified ETFs are less volatile than purchasing specific stocks (however leveraged ETFs are extremely volatile and click here to see why I don't believe they are investment vehicles).

Below is a list of 60 ETFs and their % probability (risk-neutral) of expiring above the indicated strike, as well as the % return if they expire above the indicated strike. The list below is sorted alphabetically, and all options are for the July expiration (July 18, 2009). Every strike price is near the money unless indicated in the money (denoted by IN $).

(All option data priced as of pre-market Friday June 5, 2009).

Stock Ticker Strike % Probability % Return
Consumer Discret Select Sector SPDR XLY 24 54.2 3.9 IN $
Consumer Staples Select Sector SPDR XLP 24 42 2.7
DIAMONDS Trust, Series 1 DIA 88 47.8 3.5
Direxion Daily 10 Yr Trsy Bull 3X Shares TYD 50 68 2.6
Direxion Daily 30 Yr Trsy Bull 3X Shares TMF 40 42.3 16.9
Direxion Daily Devlpd Mrkts Bull 3X Shrs DZK 55 59.1 9.7 IN $
Direxion Daily Energy Bull 3X Shares ERX 40 48 16.4
Direxion Daily Financial Bear 3X Shares FAZ 5 49.1 27.7
Direxion Daily Financial Bull 3X Shares FAS 10 62.8 12.9
Direxion Daily Large Cap Bear 3X Shares BGZ 35 49.3 13.9
Direxion Daily Large Cap Bull 3X Shares BGU 35 62.4 8.6 IN $
Direxion Daily Small Cap Bear 3X Shares TZA 22.5 46.9 20.3
Direxion Daily Small Cap Bull 3X Shares TNA 32 56.6 12.8
Direxion Daily Technology Bull 3X Shares TYH 85 61.4 8.2 IN $
Energy Select Sector SPDR XLE 53 48.8 5
Financial Select Sector SPDR XLF 12 61 4.7 IN $
Industrial Select Sector SPDR XLI 23 59.2 3.3 IN $
iShares Dow Jones US Energy IYE 30 65.7 2.4 IN $
iShares Dow Jones US Real Estate IYR 35 54.9 5.5 IN $
iShares MSCI EAFE Index EFA 48 50.2 3.5
iShares Russell 2000 Growth Index IWO 59 48.7 4.6
iShares Russell Midcap Growth Index IWP 35 73.1 0.85 IN $
iShares Russell Midcap Index IWR 65 65.7 2.1 IN $
iShares S&P 100 Index OEF 44 50.3 3.2
iShares S&P 500 Index IVV 95 49.9 3.4
iShares Silver Trust SLV 15 64.5 3.8 IN $
Materials Select Sector SPDR XLB 28 50 4.7
MidCap SPDRs MDY 110 47.5 4.6
PowerShares QQQ QQQQ 37 49.1 4.2
Retail HOLDRs RTH 80 54.4 3.8 IN $
Short Dow30 ProShares DOG 66 43.7 5.2
Short Financials ProShares SEF 59 40.8 10.8
Short QQQ ProShares PSQ 55 60.2 3 IN $
Short Russell2000 ProShares RWM 55 51.7 5.3
Short S&P500 ProShares SH 66 42 5.2
SPDR Gold Shares GLD 97 49.2 4.2
SPDR S&P 500 SPY 95 48.9 3.7
SPDR S&P Metals & Mining XME 40 53.4 8
SPDR S&P Retail XRT 30 38.6 8.1
Technology Select Sector SPDR XLK 18 56 3.3 IN $
Ultra Basic Materials ProShares UYM 21 55.2 9.4 IN $
Ultra DJ-AIG Crude Oil ProShares UCO 12.5 61.7 8.4 IN $
Ultra Dow30 ProShares DDM 31 51.8 6.2
Ultra Financials ProShares UYG 4 64.2 8.2 IN $
Ultra Gold ProShares UGL 37 55.5 6.6 IN $
Ultra Industrials ProShares UXI 22.5 72.5 8.5
Ultra Oil & Gas ProShares DIG 31 54.8 8.2 IN $
Ultra QQQ ProShares QLD 40 47.6 8.6
Ultra Real Estate ProShares URE 4 61.7 9.7 IN $
Ultra Russell2000 ProShares UWM 21 54.5 8.7 IN $
Ultra S&P500 ProShares SSO 28 48.6 7.8
Ultra Semiconductor ProShares USD 20 52 9.7
Ultra Technology ProShares ROM 30 65.7 5.2 IN $
UltraShort Financials ProShares SKF 42 48.2 15.1
UltraShort Oil & Gas ProShares DUG 18 39.2 15.6
UltraShort QQQ ProShares QID 34 41.4 12.9
UltraShort S&P500 ProShares SDS 55 47.5 9.4
United States Natural Gas UNG 15 50.4 11.4
United States Oil USO 38 51.1 6.3
Utilities Select Sector SPDR XLV 26 44.5 3.1

The table above allows you to see which ETFs (out of my list of 60 chosen) have the best chances at the highest possible returns ("best bang for your buck"). I use this method to choose which ETFs I'll be buying to write out immediately. As a high risk investor, from this table I am most interested in the following ETFs: SPDR S&P Metals & Mining (XME), Direxion Daily Technology Bull 3X Shares (TYH), and the Direxion Daily Small Cap Bull 3X Shares (TNA). This is because all three of these ETFs (two of the three leveraged) have higher than average returns, and probabilities (of the 60 ETFs analyzed).

When writing in the money calls for expirations greater than 30 days, I usually use ETFs. This is because they are less volatile (on average) than individual stocks. As you can see from the table above, some ETFs written in the money will return a decent profit, while others return very high profit (considering the options expiration is 43 days away).

I like using this strategy especially with ETFs, because even if I'm not called out on the ETF (at expiration), I'll still have it to write out again at my desired strike price and date again for another premium. Check out my blog for more strategies like the ones mentioned above, options pricing, probabilities, and more.

Using this strategy during the months of September, October (2008) allowed me to protect my portfolio greatly, and I actually returned a profit in November (2008).

For your convenience I have ranked these 60 ETFs by return % and % probability. To download these spreadsheets for the July expiration click here (Excel 2007 and Mozilla Firefox recommended).

The first sheet has the ETF's ranked by return %. The second sheet has the ETF's ranked by probabilities they'll expire in the money.

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Anonymous said...

Marco, great blog, i cant open the download, any thoughts?

Option Maestro said...

Thanks for the comment! Do you have Excel 2007? If not I don't think it will work.

Anonymous said...

Marco - I've got Excel 2007. The zipped file is not complete. Only the XML files and other supporting files are in the archive.

Option Maestro said...

Thanks for reminding me of this error! The spreadsheets should be opened using Mozilla Firefox. Ironically it does that "zipped" file when downloading via IE, it shouldn't be a zipped file. If you can download Mozilla Firefox you'll be able to get access to the spreadsheets. I am sorry for the inconvenience, but I cannot explain why IE is not compatible with my spreadsheets.

Anonymous said...

Thanks! - I got it. I managed to work it without using Firefox. It's likely a security issue with IE. Since the link is to etfoptions.xlsx, I can see why it's not a good idea to download a potentially malicious XLS file that could hold a nasty payload that automatically runs on download.
The alternative is to download the file, then change the extension back from .zip to .xlsx.

Love the site. You following Oil,Gas,NatGas or Energy plays?

Anonymous said...

Marco, I tried to open the July expiration spreadsheet, but cannot. Never had a problem with one of your previous spreadsheets before. Also, I really liked your book. Refer to it all the time. Thanks for keeping it affordable.

Love Loo said...

Marco - what are these recommendations? They are all NTM long calls for the JUL09? What are you doing with these?

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