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Saturday, September 14, 2013

Weekend Portfolio Analysis (September 14, 2013)

What boring last couple days we had in the markets! And boring is always music to option premium sellers' ears. Thank God the last two days were boring because the first three were the always nasty type of rally accompanied by vol contraction. SPX jumped from 1656.85 to 1687.99 this week for a +1.88% gain. I took advantage of the move and slightly tweaked the original SPX 1525/1530/1750/1755 October Iron Condor on Tuesday by closing the Put side (1525/1530) and receiving additional credit for the new 1540/1545 Put spread.

Market conditions
(Click on image to enlarge)
Stochastics: 94 (overbought)
McClellan: +112 (neutral)
70.38% of stocks are above their 20SMA (overbought)
56.83% of stocks are above their 50SMA (neutral)

We're close to very overbought conditions. Because of that I believe the upside is starting to look limited at this point. A 1% - 2% push higher, and selling Out of the Money calls in the 1780 area could become very attractive.


September Positions
September SPX Iron Condor(1560/1565/1760/1765)
99% probability of success in the next 6 days.
(Click on image to enlarge)

RUT 935/940 Bull Put spread
100% probability of success. Great play from the beginning.
(Click on image to enlarge) 


October Positions
SPX 1540/1545/1750/1755 Iron Condor Keeping the same 78% probability of success shown last week. Still looking comfortable.
(Click on image to enlarge)


Plan for the week
September positions will be left to expire worthless and they will evaporate on Friday morning, leaving the portfolio 80% cash.

The October Iron Condor, I believe won't have any problems this week. The upper strike (1750) is still far enough.

My plan for the week is to enter the first November position on Friday, an Iron Condor exactly 8 weeks to November expiration. I will use the short strikes with about 10 deltas or around 10% probability of expiring in the money. Right now that is 1515 and 1775,although those numbers can change. I'll play it small due to the volatility contraction we are seeing now in the VIX.


Economic Calendar
Tuesday - US CPI
Wednesday - US Home starts and Building permits
Thursday - Initial Jobless claims, Existing Home Sales

Good luck this week folks!


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