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Sunday, September 30, 2012

Weekend Portfolio Analysis (09-30-2012)

The SP500 started the week at 1459.76 and closed at 1440.67 on Friday. A loss of -1.31% for the week. That's pretty much in line with my expectations on last weekend portfolio analysis of a move smaller than 2%. We were reminded how weak current conditions are with a terrible 1.3% GDP vs 1.7% expected and an awful Chicago PMI of 49.7 vs 52.8. The markets, however, didn't tank.

There was no new trade on the portfolio,During the pull back on Wednesday I tried a RUT 790/785 for a 0.65 credit which never got triggered. Then on Thursday I tried the same spread for 0.55 credit, and never got a fill either. With RUT around 835 I didn't want to sell the 800 any more as in my opinion it is just too close. That's barely a 4% move for RUT, which can be easily achieved in 3 weeks. Specially considering that although the markets were entering oversold territory (McCLellan around -140), the number of stocks above their 20 SMA was above 60%. Meaning pleeeeeenty of downside room. So, I figured, If I enter this position, it has to be farther down, and for a decent credit that makes me feel good. Didn't happen, so be it. But I didin't feel comfortable chasing prices.

The only position remaining in the October expiration cycle is the RUT 910/915 Bear call spread.


(Click on image to enlarge)

 Probability of success 95.31% at expiration. My plan is to let it expire worthless in 19 days.

Plan for the week

I'm done with the October expiration cycle now. I think there's just too little theta in the options chain now that it is not worth it for me. So, my next position will be using November options.

If the markets go up, RUT needs to go up to the 860 - 865 area for this market to be overbought. In that case I'll probably see myself selling the 910/915 Credit Call spread or the 915/920. Always for a credit higher than 0.65.

If RUT goes down to around 820, I will then try to sell a 730/720 Credit Put spread, or a 740/730. If RUT doesn't move to those two points (820 - 865) I will probably sit idle.


Market conditions right now

The SPX's uptrend is still intact in spite of the pull back this week.

(Click on image to enlarge)


Stochastics getting out of oversold territory. McClellan at -98.
47.83% of stocks above their 20 SMA and 67.02% above their 50 SMA.
Clearly, no man's land in my opinion, and plenty of room for a move either side.


Possible high impact news this week:

Monday:ISM Manufacturing
Wednesday: ISM Services
Thursday: Retailer Same Store Sales and Factory Orders
Friday: Employment Report

Good luck this week folks!




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