Our September KO Supplemental Trades went very well, with an average return per trade of 8.99% on total capital risked and a Model Portfolio return of 6.08%. Even so, a few members wrote in to say that they felt overwhelmed by the frequent e-mail that resulted from opening and managing a full portfolio of Supplemental Trades in addition to the core newsletter portfolio. Our new practice of sending advance Trade Notices no doubt contributes to Inbox Overload Syndrome as well,…
Now that we’ve been filled on the 57.5 single-calendar we’re closing the remaining double-calendar for a 19.7% return on capital risked:
Day limit order
Buy to close 2 KO Sep 60 calls
Sell to close 2 KO Oct 60 calls
Buy to close 2 KO Sep 57.5 puts
Sell to close 2 KO Oct 57.5 puts
for a net credit of $0.91 or better.
Note that the 2 contracts specified above represent our entire position…
We’re closing our KO Sep/Oct 57.5 put calendar for a 26.4% return on capital risked, with the following order:
Day limit order
Buy to close 4 KO Sep 57.5 puts
Sell to close 4 KO Oct 57.5 puts
for a net credit of $0.67 or better.
Note that the 4 contracts specified above represent our entire position in this trade, leaving us with only the 57.5/60 double-calendar still open.
*NOTE: As a Supplemental Trade, this trade is…
Yesterday afternoon we began closing September positions, on the defensive against a steep rally that appears bent on testing the full range of the SPX 1105–1130 resistance zone. We may have to take more aggressive action next week, but I’ll talk more about that after a look at the status of our positions:
SPY September/October Double-Diagonal (97/102/109/114): Closed at a loss of 22.54% on total capital risked. When we reach our maximum allowable loss range earlier in the cycle,…
We’re reducing the negative delta bias of our KO portfolio, as a percentage of total capital at risk, from about 15% to approximately 8.5% with the following closing trade:
Day limit order
Buy to close 2 KO Sep 57.5 puts
Sell to close 2 KO Oct 57.5 puts
Buy to close 2 KO Sep 55 puts
Sell to close 2 KO Oct 55 puts
for a net credit of $0.80 or better.
Note that the…
There’s been no change in the KO September 57.5 call premium, so we’re selling the call calendar and replacing it with the 57.5 put calendar, as follows:
Day limit order
Buy to close 2 KO Sep 57.5 calls
Sell to close 2 KO Oct 57.5 calls
Buy to open 2 KO Oct 57.5 puts
Sell to open 2 KO Sep 57.7 puts
for a net debit of $0.12 or better.
Note, again, that 2 contracts…
As of 2:35pm edt, the premium in the KO Sep 57.5 calls was about $0.25—still well below the $0.44 second-quarter dividend. It’s a little early for a dividend arbitrage play, but we want to make sure we avoid assignment, just to keep everyone on the same page. Absent a big sell-off/jump in IV, we’re planning either to close our call position at the 57.5 strike or to roll it up in the last hour of the session today, depending on…
We’re adding the following Supplemental Trades position to our September KO portfolio:
Day limit order
Buy to open 2 KO Oct 60 calls
Sell to open 2 KO Sep 60 calls
Buy to open 2 KO Oct 57.5 puts
Sell to open 2 KO Sep 57.7 puts
for a net debit of $0.76 or better.
Note that 2 contracts is our base position for double-calendars. Trading whole-number multiples of the base size ensures that adjustments…
KO appears to have found support above $57.25, so we’re adding the following position to our September Supplemental Trades portfolio:
Day limit order
Buy to open 4 KO Oct 57.5 puts
Sell to open 4 KO Sep 57.5 puts
for a net debit of $0.53 or better.
Note, as usual, that 4 contracts is our base position for calendar spreads. Trading whole-number multiples of the base size ensures that adjustments will not result in unbalanced positions. Also…
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…
Monday, September 27, 2010
0 Comments