Portfolio Overview
Net P/L (Total Value)
Total Return based on 10,000 unit underlying scaling.
Equates to +$21.53 per share net performance over 7 days (MtM Included).
Tail Risk: VaR & CVaR (99%)
Click to analyze| Horizon | Value at Risk (VaR) | Expected Shortfall (ES) |
|---|---|---|
| 5-Day | -$231,322 | -$265,027 |
| 1-Month | -$474,064 | -$543,153 |
| 1-Year | -$1,642,525 | -$1,882,001 |
- Value at Risk (-$231k): Indicates that 99% of the time, the portfolio will safely avoid losing more than $231k over 5 days. It's the floor threshold of normally-distributed risk.
- Expected Shortfall (-$265k): Conditional VaR (CVaR). If that 1% black swan event actually triggers, ES calculates the *average* severity of the crash beyond the VaR threshold.
- Delta-Eq Profile: Both metrics derive from the Options Delta-Equivalent exposure ($7.28M) mapping total directional and derivative volatility directly to the S&P distribution curve.
Current Portfolio Greeks
Click to analyze| Delta (incl. Base ETF) | +10,282.7 |
| Gamma | -14.54 |
| Theta (Daily) | +$125.45 |
| Vega | -1,066.4 |
- Delta (+10,282.7): Our 10,000 SPY shares generate exactly +10,000. The remaining +282.7 originates from our Condor skewing net-long Delta because the market drifted downward, making short calls lose delta faster than short puts.
- Gamma (-14.54): Strictly negative because we are net-short options premium. For every $1 rise in SPY, our portfolio loses 14.54 points of positive directional delta. This validates our neutral yield structure.
- Theta (+$125.45): Excellent tracking. Every single day that passes without a massive market crash quietly injects +$125.45 of pure cash value directly into the portfolio via time decay.
- Vega (-1,066.4): Strong negative Vega. A 1% structural increase in aggregate market implied volatility will artificially penalize the portfolio by roughly -$1,066.40. Conversely, if IV crushes, the portfolio rapidly gains profitability!
Active Institutional Inventory
| Asset | Qty | Type |
|---|---|---|
| SPY Holding Base | 10,000 | Shares |
| $720 Call (May 29) | -100 | Contracts |
| $710 Put/Call Center (May 29) | -200 | Contracts |
| $695 Put (May 29) | +100 | Contracts |
Current Market Assessment
Execution Strategy: Perpetual 45-DTE Yield Generation.
Simulation proves out. By transitioning into a 45-day maturity window, the Options Sub-portfolio absorbed transient volatility drop via its wider breakevens, successfully harvesting structural alpha without collapsing into equity assignment logic on standard Friday expirations.
Long SPY, adjusting to VOLATILITY
Our strategy dictates holding a core Long SPY portfolio while dynamically selling or buying options based on the predicted volatility environment. To assess this environment, we utilize the mathematically rigorous HAR-IVOG volatility prediction model.
This model aligns tightly with real-world VIX movements but utilizes cascading realized metrics. Statistically, our implementation highlights a powerful one-day lead effect to SPY price direction (detailed structurally in the Model tab).
The Volatility Threshold Benchmark
Before executing options, we compare our predicted short-term volatility against a 252-day Exponential Moving Average (EMA) Volatility Threshold. We use this moving anchor because it filters out daily options pricing noise and panics, anchoring our strategic decisions securely against the true long-term structural variance regime of the market.
Scenario 1: Predicted Volatility < Threshold
Deployment: Base Long SPY + Skewed Iron Condor
When our predicted volatility rests comfortably beneath the structural boundary (the market is
"calm"), we deploy a Skewed Iron Condor. We harvest yield by selling options around the spot,
but purchase a thickened Out-of-the-Money lower Put wing to limit downside catastrophe.
Scenario 2: Predicted Volatility >= Threshold
Deployment: Base Long SPY + Naked Long Protective Puts
If the predictive spread punctures the upper threshold (panicked market regime), we completely
transition out of yield-harvesting and violently bias toward risk-off capital preservation. We
purchase heavy naked put hedges to flatten downside sequence risk.
Portfolio Simulation Ledger
Final Portfolio Metrics (Mark-To-Market)
| Metric | Value |
|---|---|
| Final Spot Price (04-20) | $708.72 |
| Total SPY Investment Basis | $6,861,000.00 |
| Total Options Realized Cash Flow (Open+Closed) | +$91,300.00 |
| Total Options MtM Liability (Open Condor) | -$102,200.00 |
| Total Net P/L Value | +$215,300.00 |
| ROI (%) | +3.14% |
| Return to 1-Year VaR (7-Day Act.) | +13.11% |
Parametric Tail Risk: VaR & Expected Shortfall (CVaR)
Calculations strictly mandate the Delta-Equivalent Exposure ($7,287,553) combined with the predictive volatility scalar (9.69%). While VaR (Z-Score = 2.326) defines the 99% cutoff threshold, Expected Shortfall applies the conditional tail expectation multiplier (2.665) to quantify the specific magnitude of outlier losses.
| Time Horizon | Variance Multiplier | 99% VaR Limit (Z=2.326) | 99% Shortfall Limit (ES=2.665) |
|---|---|---|---|
| 5-Day Tactical | 0.1408 | -$231,322 | -$265,027 |
| 1-Month (21-Day) | 0.2886 | -$474,064 | -$543,153 |
| 1-Year (252-Day) | 1.0000 | -$1,642,525 | -$1,882,001 |
Daily Trading Execution Log (100x Capital Scale)
This ledger tracks our interactive, out-of-sample portfolio administration across a 7-day live period, culminating in forced SPY assignment.
| Date | SPY Spot | Vol (%) | Threshold (%) | Strategy Action | Type | Strike | Price | Units | Cash Flow |
|---|---|---|---|---|---|---|---|---|---|
| 2026-04-13 | $686.10 | 9.09 | 12.79 | Initial SPY Long | Equity | N/A | $686.10 | 10000 | -$6,861,000 |
| Short Iron Condor Center | Call | 686 | 4.74 | -100 | +$47,400 | ||||
| Short Iron Condor Center | Put | 686 | 4.24 | -100 | +$42,400 | ||||
| Long Iron Condor Wing | Call | 695 | 1.05 | 100 | -$10,500 | ||||
| Long Iron Condor Wing | Put | 670 | 1.00 | 100 | -$10,000 | ||||
| 2026-04-14 | $694.46 | 9.03 | 12.79 | Close Iron Condor Center | Call | 686 | 9.72 | 100 | -$97,200 |
| Close Iron Condor Center | Put | 686 | 1.53 | 100 | -$15,300 | ||||
| Close Iron Condor Wing | Call | 695 | 3.30 | -100 | +$33,000 | ||||
| Close Iron Condor Wing | Put | 670 | 0.38 | -100 | +$3,800 | ||||
| Roll New Condor Center | Call | 695 | 3.30 | -100 | +$33,000 | ||||
| Roll New Condor Center | Put | 694 | 3.53 | -100 | +$35,300 | ||||
| Roll New Condor Wing | Call | 700 | 1.15 | 100 | -$11,500 | ||||
| Roll New Condor Wing | Put | 680 | 0.86 | 100 | -$8,600 | ||||
| 2026-04-15 | $699.94 | 8.63 | 12.75 | Close Iron Condor Center | Call | 695 | 6.06 | 100 | -$60,600 |
| Close Iron Condor Center | Put | 694 | 1.26 | 100 | -$12,600 | ||||
| Close Iron Condor Wing | Call | 700 | 2.76 | -100 | +$27,600 | ||||
| Close Iron Condor Wing | Put | 680 | 0.26 | -100 | +$2,600 | ||||
| Roll New Condor Center | Call | 700 | 2.76 | -100 | +$27,600 | ||||
| Roll New Condor Center | Put | 700 | 3.07 | -100 | +$30,700 | ||||
| Roll New Condor Wing | Call | 705 | 0.89 | 100 | -$8,900 | ||||
| Roll New Condor Wing | Put | 690 | 0.75 | 100 | -$7,500 | ||||
| 2026-04-16 | $701.66 | 8.29 | 12.70 | Hold Current Position | |||||
| 2026-04-17 | $710.14 | 8.58 | 12.75 | Close Iron Condor Center | Call | 700 | 10.42 | 100 | -$104,200 |
| Close Iron Condor Center | Put | 700 | 0.01 | 100 | -$100 | ||||
| Close Iron Condor Wing | Call | 705 | 5.48 | -100 | +$54,800 | ||||
| Close Iron Condor Wing | Put | 690 | 0.01 | -100 | +$100 | ||||
| Roll Condor Center (May 29) | Call | 710 | 15.88 | -100 | +$158,800 | ||||
| Roll Condor Center (May 29) | Put | 710 | 12.52 | -100 | +$125,200 | ||||
| Roll Condor Wing (May 29) | Call | 720 | 10.17 | 100 | -$101,700 | ||||
| Roll Condor Wing (May 29) | Put | 695 | 8.23 | 100 | -$82,300 | ||||
| 2026-04-20 | $708.72 | 9.69 | 12.67 | Hold Open Position (MtM Audit Completed) | |||||
The HAR-IVOG Academic Model
The volatility forecasting pipeline rests on a Heterogeneous Autoregressive (HAR) base framework following Kambouroudis et al. (2021). We augment typical realized historical data with forward-looking Options Implied Volatility (IV), overnight return modeled, and GARCH variance.
The Mathematical Formulation
Variable Matrix & Cascade Logic
| Variable | Structural Definition | Calculation / Transformation |
|---|---|---|
| $RV$ | Realized Variance | Intraday 1-hour log returns parsed dynamically via realized variance arrays across $d=1$ (Daily), $w=5$ (Weekly), $m=22$ (Monthly) localized horizons. |
| $IV$ | Implied Volatility | Forward expectations extracted natively from the CBOE VIX index, cascaded inversely across the exact same $d, w, m$ matrix. |
| $R^{on}$ | Overnight Return | Measurement as $R^{on}=ln(P_{t}^{open}/P_{t-1}^{close})$ to capture information flow during off market. |
| $\sigma_t^2$ | Conditional Variance | Captured via the trailing GARCH(1,1) error-term innovation loop to catch clustering decay that pure AR loops notoriously ignore. |
Academic References
Kambouroudis, D. S., McMillan, D. G., & Tsakou, K. (2021). Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility. Journal of Futures Markets, View Paper Online