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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