The uptrend in the S&P has continued so far today, and SPY is approaching our current portfolio-level adjustment point. Our rule is to adjust on next-day confirmation of a closing price beyond the risk-management price threshold—but we also have a rule that triggers an intraday adjustment trade if a position reaches a loss of 25%…and that’s about where the remaining side of our Sep/Oct double-diagonal will be if SPY moves past $111.60.
On a technical basis, there’s a higher-than-usual chance…
We’re closing the put side of our September/October double-diagonal with the following order:
Day limit order
Buy to close 2 SPY Sep 102 puts
Sell to close 2 SPY Oct 97 puts
for a net credit of $0.30 or better.
Note that the 2 contracts specified above represent our entire position in the Sep/Oct 102/97 put diagonal. This trade adds a little bit of positive delta to our portfolio and, more important, it frees up cash for…
A week of range-bound trading is beginning to build up a profit in both our core newsletter portfolio and our KO Supplemental Trade:
SPY September/October Double-Diagonal ( 97/102/109/114): A few minutes before the close yesterday, our open newsletter position was showing an unrealized gain of about 3.3% on capital at risk. Delta was close to neutral, at about –4.0 per base-position unit (or about 0.41% of capital at risk).
KO September/October Double-Calendar (55/57.5): This position closed the session with…
With the S&P down about 1/2% and the VIX up almost 2%, we’re opening the following position for September expiration:
Day limit order
Buy to open 2 SPY Oct 114 calls
Sell to open 2 SPY Sep 109 calls
Buy to open 2 SPY Oct 97 puts
Sell to open 2 SPY Sep 102 puts
for a net credit of $0.15 or better.
Note that 2 contracts per leg is our base position size for…
July was our most challenging month since February, when our Model Portfolio loss was more than 9%. In the two weeks after we opened CS#1, SPY plunged 9.6%, and over the next two weeks it rallied 8.9%—as implied volatility collapsed, dropping more than 35% right into expiration week. In short, this month was about as tough as it gets for calendar traders (market crashes aside), and yet we still significantly outperformed the S&P 500.[...]
Last week we booked a 6.34% Model Portfolio return for June, compared to a 2.74% return for the S&P 500 Index and a 4.35% return for the CBOE S&P 500 Volatility Arbitrage Index. For the record, here are the details:
SPY June/July DD#1 (98/103/113/118): We closed this position for a 7.36% return on capital at risk.
SPY June/July DD#2 (103/108/116/121): We exited this position in our target return range, for an 18% return on capital at risk.…
Members willing to bet on a market pullback/IV pop might want to keep this position open, but officially we’re putting in the following order to close our remaining June position:
Day limit order
Buy to close 2 SPY June 116 calls
Sell to close 2 SPY July 121 calls
Buy to close 2 SPY June 108 puts
Sell to close 2 SPY July 103 puts
for a net credit of $0.77 or better.
Note, again,…
The S&P is up against major resistance, and it looks like a slight pullback is in the making–but our strategy is to generate steady income, not to hit the lottery. With only three days left until June expiration, the market in rally mode and implied volatility contracting, we’re protecting our June profit by closing out our portfolio, starting with the position most at risk:
Day limit order
Buy to close 2 SPY June 113 calls
Sell to close…
Last Tuesday’s turnaround (along with our whipsaw-filter rule) allowed us to avoid an unnecessary adjustment, and we’ve been on track to reach our 15% minimum profit target for double-diagonals ever since. A few minutes before the bell today, this was the status of our June positions:
SPY June/July DD#1 (98/103/113/118): This trade was mid-priced around $0.73, for an unrealized return on capital at risk of about 13.9%. The base-position delta was about –16.
SPY June/July DD#2 (103/108/116/121):…
While all the buy-and-holds continued to sweat out their losses this week, we’ve been comfortably staying within our profit zone. Our June portfolio remains profitable, as follows:
SPY June/July DD#1 (98/103/113/118): At today’s close, this position was mid-priced around $0.36, for an unrealized return on capital at risk of about 6.6%. The base-position delta was about 3.9.
SPY June/July DD#2 (103/108/116/121): This position ended the week mid-priced at a credit (i.e., debit for us sellers) of about $0.23, which…
Friday, September 10, 2010
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