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Saturday, February 18, 2012

Weekend Market Analysis (02-18-2012)

This was a very active week, with the markets still moving up with no significant retracement and holding the 10EMA with confidence. Friday marked February expiration, and therefore, the trades for the month of February are now history and the track record updated accordingly.

The SPY Bear Call Spread was closed on Thursday, It could have been a better winner had I hold it, also saving in commissions, but I didn't want to risk losing it with SPY threatening the 137 level. February ended with 3 winners, no loser and a 4.48% return on the portfolio before commissions which gets reduced to 2.84% after commissions. I spent the whole month trying to catch the reversal, betting against the trend, and considering I was mistaken all the time, it was a good month, with favorable returns and good risk management.

Now moving on to the March expiration cycle, a lot has happened already. First the small loss on the SPY Bear Call Spread on SPY using strikes 139/141. I decided to do this as 139 seems perfectly possible. And then took advantage of some more upside movements and entered the same position but using the 141/143 strikes, definitely more comfortable.

And finally the IWM positions. The 88/90 Credit call spread and the 76/74 credit put spread making up an Iron Condor that looks very comfortable by now.

These is how the March portfolio looks Beta-weighted vs the SPX index:

(Click on image to enlarge)

Profitability with SPX between 1266 and 1411 in the next 24 days.

This week will be slightly light in news, so I'm gonna take it easy, probably won't open new positions, and if the same slow moves keep taking place, I probably won't have to close any of my 3 positions. On Tuesday, when the market opens, we will be  24 days away from expiration, and with 3 positions already on, most of the March action has already been played. Now it's time to babysit these babes for a few days to see how it all ends.

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