With SPY at about $137.30, our risk-management trade signal is no longer valid. We have more than a two-point margin to the downside before we hit our expiration-Friday break-even, so we won't be making any modification to our positions this afternoon.
Thursday, July 8, 2010
S&P futures are surging after a better-than-expected jobless claims report. If we don’t see a significant reversal within the first hour of trading, we’re going to have to make a major adjustment to our open July position, and possibly open another position to further hedge the upside. I expect to put out a trade alert between about 10:00 and 11:00 edt; if not, I’ll send out another update.
Wednesday, July 7, 2010
Today’s 3% rally in the S&P, accompanied by a 9% drop in implied volatility, took a toll on our open July position and triggered an intraday adjustment—but not until about 10 minutes before the close. If IV drops another 8%–9% tomorrow, we may be able to bolster our portfolio with a new trade at 108 or 109. That’s unlikely to happen within the first hour or two of trading, though, so we’re going to be on adjustment watch for rolling…
Wednesday, June 30, 2010
It looks like the tables have turned since my pre-market briefing: WMT is floundering near our adjustment price level, while the broader market appears to have found some support for now. Ideally, I’d like to get next-day confirmation of a closing price before committing to an adjustment, especially considering how close both issues are to major support…but if either starts to go south in a big way, we’ll do what we have to this afternoon in order to protect our…
Wednesday, June 30, 2010
S&P futures are flat this morning, and SPY looks set to open below yesterday’s closing price of 104.21 after ADP’s payroll numbers fell far short of expectations. Whether we’ll see another intraday adjustment trigger depends a lot on implied volatility, which won’t give us a clear reading until options start trading. In other words, we’re still on adjustment watch for now. The good news is that WMT is looking stronger in pre-market trading, making it less likely that we’ll need…
Tuesday, June 29, 2010
As of 12:45pm edt, SPY is trading about $0.60 under our current risk-management price threshold. If the S&P breaks support in the 1040–1042 range, it could trigger an intraday adjustment; otherwise, we’ll be looking for a close below SPY $105.25 to put us on adjustment watch tomorrow morning. Our WMT Supplemental Trade is also nearing adjustment territory, although the stock has yet to reach our portfolio-level adjustment point and our net unrealized loss is still less than 5%. Note, however,…
Friday, June 25, 2010
SPY is up slightly in pre-market trading, but not enough (so far) to cancel yesterday’s adjustment watch. If the ETF is still below $108.60 after the consumer-sentiment announcement around 10:00, we’ll send out an adjustment trade alert once the volatility from that event settles down.
Thursday, June 24, 2010
It’s all but certain that SPY will close below our downside risk-management price threshold today, so we”ll be on adjustment watch tomorrow morning. As I write this update, our unrealized loss is about 13% (3.25% in terms of our Model Portfolio)…that’s well below our intraday stop-loss adjustment trigger, so we’re going to adhere to our whipsaw-filter rule (adjust on next-day confirmation of a closing price exceeding a price-level adjustment threshold). Look for another update before the market opens tomorrow morning,…
Tuesday, June 8, 2010
With screens flashing green in the final half-hour of the session, it looks like there will be no need for a risk-management trade today. Going forward, our adjustment triggers remain either next-day confirmation of a close below SPY $105.50, or an intraday failure of support in the $104.65 to $104.75 range.
Tuesday, June 8, 2010
Yesterday SPY closed above our portfolio-level adjustment threshold, and our unrealized loss for the June cycle remained negligible even at the low point in this morning’s churn downward. Nevertheless, I haven’t ruled out an intraday adjustment trade today, considering the S&P’s dip below its February low and the failure of weekly pivot support, for the second time, this afternoon. Our core strategy includes a whipsaw filter requiring next-day confirmation of a closing price beyond the adjustment point—but the double-diagonal strategy…
Thursday, May 6, 2010
As I’m sure few members failed to notice, we took a wild ride this afternoon. SPY bottomed out at $105—more than $11 below where it opened. Old-school fundamental analysts went straight to the Correlation Game, blaming fears of European debt contagion, while those who understand how the market works under the hood pointed to a possible fat-finger trade that destabilized the Program-Trading Matrix. As a mathematician looking at a 512-tick chart of SPY during the Event,…
Jared Woodard is a registered commodity trading advisor who specializes in trading volatility as an asset class. With over a decade of experience trading options, futures ... Read More
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