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Sunday, June 26, 2016

Weekend Portfolio Analysis (June 26, 2016)

Of one thing we can all be sure: British pollsters suck.
If I built software with the same quality that British pollsters go about their business, I would have been punted since 2,000 B.C. What's wrong with you guys?!?

I didn't get to read a single poll, not one, forecasting a Brexit victory. Absolutely everything I read in the days prior to the vote, pointed to the Remain camp winning. By a wider or thinner margin, but every piece pointed to the unequivocal victory of the Remain side. But, así es la vida.

Recent Trading Activity

- Nothing. I just watched the world fall into pieces. At this pace, only 28 more trading days until the S&P 500 hits zero.

Market Conditions
(Click on image to enlarge)
Stochastics: 58 (neutral)
McClellan: -68 (neutral)
Stocks above their 20 DMA: 27% (oversold)

No man's land, but a weird no man's land where the number of stocks above their 20 DMA is unusually low. It was my time to sell an August Iron Condor last Friday, but the Put side was too close to the existing 1760/1750 Credit Put spread. It would have been too much risk concentration near the same spot, which is something I try to avoid. I passed and controlled the itch to trade. As the feces hit the air mover on Friday, the need to be more calm throughout the session increased. Patience and a cold head will be necessary early this week. After a bar like Friday's, we should expect to see lower prices on Monday, at least on an intra-day basis. You have to give it to the Home of the Brave though. It held its ground way better than all international markets, which fell 6, 7 and 8 percent. The Yanks are the Yanks.

I may be underestimating this whole thing, but I still think the damage will be controlled and the world will soon move on to the next big thing. It's important to remember that in times like this, the financial media loves to sell fear. In a few days, pundits over at marketwatch will be saying that important support lies and should hold around SPX 1,570. Bias and useless hunches aside, I'll simply be following my rules as usual, purely dictated by price action and in many cases against my will, forcing me to overcome ancestral herd instincts.

Current Portfolio

July SPY Long 169 Puts
Portfolio Insurance.

August SPX 1750/1760 Credit Put spread
Looking good at just 10 deltas. No concerns yet. Adjustment point around 1,865. If that level of madness is reached, the adjustment would be deployed in the 1500's.

September SPX 1825/1800 Debit Put Spread + 1625/1600 Credit Put Spread
Portfolio Insurance

July SPX 1890/1900/2175/2185 unbalanced Iron Condor
3 weeks to expiration now. Concerns over the Call side have disappeared. The Put side is molesting me a but with its 16 deltas at the moment. Adjustment point this week situated around 1,980. If it happens, then the adjustment would be deployed in the low 1800's, still July options.

Action Plan for the Week

- We may reach an oversold condition Monday or Tuesday. In that case I'll initiate a RUT Credit Put spread (August expiration) in the low 900's or high 800's.

- Invest in more portfolio insurance via October SPX 1825/1800 Debit Put Spread + 1625/1600 Credit Put spread 2/4 ratio.

- If we see some sort of rebound, I'd like to invest in a RUT Iron Condor. Put side around 1,000 and Call side hopefully above 1,240, also August options.

-Other than this, the adjustment points mentioned earlier for the existing Credit Put spreads would force me to act and defend those positions.

The Forex Gods played a practical joke with me this week, when Gold (XAUUSD) stopped the Sniper out of his long position literally a couple of hours before the huge spike seen during Brexit. Trading is a frustrating endeavor at times folks, especially pure directional bets with stop loss levels set. 
It hasn't been a good year for the LT Trend Sniper, now with 2 wins, 5 losses and overall YTD performance of  -3.05%. Today, a new Buy order will be triggered as soon as the futures markets open. All 4 Gold positions this year in Gold have been Buys (as well as in the Euro). But both instruments have been pretty much range-bound in 2016, which affects trend following strategies. We'll see how this new long Gold position goes, starting today. I may remove the spread filter parameter in the EA, as bid-ask spreads tend to be a little wider on Sundays, preventing the Sniper from immediately acting on its signals.

A short EURUSD position will also be triggered, first Short of the year by the way. So, two positions at the same time: Long XAUUSD, and Short EURUSD.

Economic Calendar
Tuesday: US GDP, Consumer Confidence
Wednesday: Pending Home Sales,  Crude Oil Inventories
Thursday: German Unemployment, Europe CPI, China's Manufacturing PMI
Friday: German PMI, ISM Manufacturing PMI

Options Trading results: Up +2.05% YTD vs S&P up -0.32%. Portfolio 41% invested, 59% cash.
Forex Trading results: Down 3.05% for the year. Going long Spot Gold (XAUUSD) on Sunday open.

Take it easy, but take it anyways.

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