Weekend Portfolio Analysis (February 21, 2016)

 Spanish-American War Monument at Forsyth Park.
Savannah, Georgia, USA.

Writing to you today from Savannah, Georgia, a place full of History. The picture above is a monument to the Spanish-American War, initiated in 1898 and whose epicenter was Cuba, so I naturally felt identified. This war ended more than 4 centuries of colonization by the Spanish Metropoli and started a Pseudo-Republic in Cuba, mostly controlled by the Americans until 1959. I bet you didn't know that one.

But what the hell is this? Are you visiting the correct website? Let's double check that url. Yes, you are! So, again, what the hell is this? This is not trip advisor, this is not about trips and tribulations of a random Cuban on the internet. This is the LT site, where we talk about lazily beating the market. So, let's get down to business shall we?

S&P500 from 1833.40 to 1,917.78 this week, obeying my commands. Now down 6.17% for the year. I am glad to see a VIX above 20 even though there was a decent rally. Music to the ears of the Bravest Options Sellers.

Recent Trading Activity

- Initiated Jun30 1500/1525/2150/2175 SPX unbalanced Iron Condor on Thursday

- Closed Apr29 1450/1475 SPX Credit Put spread for a $880 gain the same day to relieve downside exposure

Market Conditions
(Click on image to enlarge)

Stochastics: 92 (overbought)
McClellan: +159 (overbought)
Stocks above their 20 DMA: 60% (neutral)

Almost all the stars aligned to signal a short term extremely optimistic condition. A trip near 1,950 would get us there and I would be ready to sell out of the money Calls. At this exact moment this is no man's land according to my rules, and therefore the right moment for Iron Condors. I have two on already so, it may be time for a little rest for yours truly until we just reach an extreme reading.

Current Portfolio

March IWM 112/112/120 Synthetic Stock Hedged
Speculative bullish bet on the Russell Index. Quite possibly a lost cause. Max risk on this play is only $520. Not looking at it at all.

May31 SPX 1475/1500 Credit Put Spread
$1,560 credit. 6 deltas. Looking great.

April SPY 204 Long Calls
Speculative small bullish play using only $420 debit. Less than 0.5% of the portfolio. I'm just happy exiting for break-even here, which may happen on a move to SPX 1940-1950.

May31 SPX 2125/2150 Credit Call Spread
$1,250 total Credit. Showing nice gains and only 6 deltas at the moment. No concerns for now.

June30 SPX 1500/1525/2150/2175 Unbalanced Iron Condor
$2,580 credit. New position initiated 72 hours ago. Lots of baby-sitting ahead. 7 deltas on the Call side, 9 on the Put side at the moment.

Action Plan for the Week

- All the Credit Spreads in the portfolio are very healthy, showing less than 10 deltas. All very safe and far from adjustment points. They will not need any defensive moves this week.

- Exit the April SPY 204 Calls for break-even given the opportunity.

- If we fall hard, reaching an oversold condition, sell May31 RUT 720/710 for 0.80 credit or better.

- If we rally into the 1950's, reaching an overbought condition, sell a 2175/2200 Credit Call spread on SPX looking for 2.25 credit or better. June30 expiration.

- Updated adjustment points for existing Credit Spread positions:
   . Defend May31 1500/1475 Credit Put spread if SPX falls to around 1,620 (very unlikely)
   . Defend May31 2125/2150 Credit Call spread if SPX reaches 2,030 (unlikely)
   . Defend Jun30 2150/2175 Credit Call spread if SPX reaches 2,050 (unlikely)
   . Defend Jun30 1500/1525 Credit Put spread if SPX reaches 1,660 (very unlikely)

I have been thinking of deploying two Iron Condors in the same expiration cycle, just because I mostly trade with more than half of my capital sitting idle. Right now we are 64% in cash. Of course, more capital exposure implies the danger of larger draw-downs in the portfolio. But I don't know. I feel it may be worth it in the long run. I'm tempted to sell a RUT unbalanced Iron Condor with June30 options if we keep moving sideways. We'll see.


Forex
The LT Trend Sniper robot closed its long EURUSD position when it was clear that the rally had lost steam. The final result was a small 33.9 pip gain, from 1.11081 to 1.11420, representing a +0.63% return for the account.

The GOLD position, via the XAUUSD symbol, was also closed. This was a nicer gain of +3.73% for the account. Bought at 1,189.98, stopped out at 1,230.521 after having trailed the SL several times.

The FX Account is up +4.36% year to date. These two trades were not the Homeruns I usually expect, but good hits nonetheless to start off the year. My goal with the addition of GOLD, is to obtain a +15% return this year, while never exceeding a 10% draw-down in the account.

As for new entries, they look unlikely now. It is a little more likely in Gold, where the Sniper would go long on a close above 1,246 (current spot Gold price is 1225.91).

Economic Calendar
Tuesday: US CB Consumer Confidence, Existing Home Sales. A couple of FOMC members will speak.

Wednesday: New Home Sales. Crude Oil Inventories.

Thursday: Europe CPI. US Core Durable Goods.

Friday: US GDP.


Options Trading results - With closed positions and trading costs included, we are down 2.19% for 2016 while the market is down 6.17%. The portfolio is currently 36% at risk, 64% in cash.

Forex Trading results - Up +4.36% for the year. 100% cash at the moment.

Thanks for reading. Good luck this week folks!
LT

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