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Sunday, July 1, 2012

Weekend Portfolio Analysis (07-01-2012)

What a busy Sunday here in Toronto! We have the Canada Day celebrations, Gay Pride, and on top of that the final of the Eurocope 2012. What am I even doing blogging?

Ok, back to business. Exciting week, with decent move, including a monster Friday, with gap up and follow through. This giant move broke the upper end of the up trend channel and we are now around horizontal support at SPY 136:

(Click on image to enlarge)

So, where are we going from here? And the answer is: I don't have the slightest idea hehe. But I don't need to. The McClellan Oscillator is at an extreme 236 on SPY, and over 79% of stocks are over their 20SMA which is also extreme. RSI and Stochastics on the other hand are not overbought yet. So, we could see a little follow through in the upside, in which case I will be really happy to sell August Calls. My candidates now are the 143 and 144 strikes.

If the markets decide to stay sideways, or if they go down, I won't sell puts just yet. As it wouldn't be an oversold environment yet. So, it is not time for me to start thinking about Put selling. If anything, I am tempted to sell Calls in August, which I will probably do this week if SPY hits 137 or higher.

As for the July portfolio, both positions are still comfortable. The SPX 1415/1420 Bear Call Spread is fine. With SPY around 136, there is still room, and I won't adjust this trade until the SPY 140 level is broken. As for the SPY 118/116 Bull Put spread, there is nothing to worry about at this point. So, far the July positions have been really easy to baby sit, without serious threads at all.

Beta-weitghting the July portfolio vs the SPX

(Click on image to enlarge)

Profitability in 19 days if SPX ends between 1175 and 1415. And a 82.99% probability of success.

This is going to be an interesting week, as it usually happens the first week of the month with important economic releases. ISM Manufacturing on Monday. ISM non manufacturing and Initial claims on Thursday, and finally the Unemployment report on Friday.

Have a nice week, and good luck!

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