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Saturday, April 15, 2017

Weekend Portfolio Analysis (April 15, 2017)

This week's analysis has been published at

Download Weekend Portfolio Analysis (2017-04-15).pdf

If the above link doesn't work for you, simply log in to, navigate to the "Weekly Analysis" tab and download the document from there.

The Weekend Portfolio Analysis will be available on this site next week for historical reference.

All currently open positions can be seen on the Track Record page

Last Weekend Analysis now available: Weekend Portfolio Analysis (April 8, 2017) 
Recent Trading Activity

- No Activity. I tried to close the April RUT Unbalanced Elephant on Wednesday and Thursday but my closing orders never got filled. Knowing the low odds of being filled on the Call side, I decided to just try to close the Credit Put spread on Thursday, with the intent of leaving the Call side untouched as it is not a concern at all. So, I tried the Credit Put spread at 0.10 debit, no luck. Then 0.15 debit, nop. Nothing. I didn't want to sacrifice any more premium than that. I would have probably gotten filled had I tried 0.20 debit, but then I remembered we had a three-day weekend right ahead of us to strengthen the position even more via time decay and I decided to not rush it.

Market Conditions
(Click on image to enlarge)

Stochastics: 19 (down from 45 last week) (oversold)
McClellan: -50 (down from +42 last week) (neutral)
Stocks above their 20 DMA: 38% (down from 51% last week) (neutral)

No man's land but it looks like the market wants to reach a short term oversold condition. It would be the first one this year according to my rules. I think a 2% decline will get us there. The VIX is now above 15 and a 2% decline would make the selling of Puts even more attractive. Of course, if the decline happens in one session, the VIX would likely increase faster than if the decline is slow during the week. I have some downside risk concentration, so I am not rooting for a market fall. At least not for a significant one.

I plotted two horizontal levels to look at for possible support. The first one 2,323 and the second one 2,255. After that we have the lower end of the long term up-trending channel. It's hard to think the market will go down there, after being so conditioned to seeing it go up in the face of any type of news for so long. But really, those levels are not that far, and both are still above the 200-Day Average (2,255 and the lower end of the up-trending channel).

And here's the Russell 2000:
(Click on image to enlarge)
 I added two potential support levels, 1335 and 1310. I also added a diagonal, declining line that can serve as resistance in the short term. The markets are getting interesting folks, after so much boredom. For the first time in a while there is some fun to be had drawing all these additional support and resistance lines.

Current Portfolio

APR SPX 2175/2180 Credit Put spread
Used to be an Iron Condor until the 2455/2460 was taken off the table. $960 credit on the remaining Credit Put spreads. Will expire this upcoming Friday. There should be no problems here.

APR RUT/IWM 1260/1270/1450/1460/129/146 Unbalanced Elephant
$1,396 net credit, 1 week to expiration. Looking good. The Call side is a winner. The Put side not bad at all at 4 deltas. Only a sudden and significant decline would hit me here. More than $1,200 in open profits.

I only care about the defense line on the Put side, which I set at 1,295 this week. I'll be a responsible trader with all the downside risk concentration in the portfolio. So, I will try to close the Credit Put spread of this Elephant on Monday for 0.10 debit, leaving the entire Call side open. I would also be closing the long IWM Puts. However, if I don't get my fill and the market rebounds violently, I will ride the whole thing to expiration.

MAY SPX/SPY 2150/2160/2440/2450/221/245 Unbalanced Elephant
$1,529 net credit, 5 weeks to expiration. Not looking too bad after all despite the recent market weakness. 11 deltas on the Credit Put spreads and close to Max Gains on the Call side.

Defense line is 2,235 to the downside (adjust Credit Put spread) and 2,420 to the upside (close Call side for small loss and ride the Put side to expiration to obtain an overall net gain despite the Call loss). I'll consider taking the Call side off for almost Max gains for a chance to potentially reload it on a market rebound.

MAY RUT/IWM 1230/1240/1450/1460/126/146 Unbalanced Elephant
Net credit: $1416. Five weeks to expiration. This is perhaps the most concerning position in the portfolio, and even this one is not looking that terrible. Put side at 13 deltas.

Defense lines: 1,300 and 1,410. If the decline in the market is abrupt then the downside defense line may even be 1,305. Again, just look at the short option of the Credit spread reaching 30 deltas. These 1,300 - 1,305 price levels are just estimations.

Action Plan for the Week

- The game plan is to close the Put side of the April RUT Elephant early in the week, to avoid a major calamity should the markets abruptly fall. I'll try to close the Credit Put spread for 0.10 debit or better. I will also close the IWM Long Puts for whatever credit is left in them. It is never hard to get filled on IWM options.

- Adjust Put side of May RUT Elephant if RUT reaches 1,300. Close the Call side if RUT rallies past 1,410. Do nothing with this position if RUT stays in between the defense lines.

- Close the Call side of the May SPX Unbalanced Lazy Elephant for $300 net gain or better (Max gain in my case is $340 when the debit spent on the SPY Long Calls is factored-in. The idea is to give myself a chance to reload it in case the markets rebound. This move is optional and not really high on my priorities as the Call side of Elephants is never a big concern.

- Initiate the first June position. This may be a Credit Put spread if we reach an oversold condition any time during the week, or a neutral position on Friday if by then, the markets never reached oversold territory. If this happens, I will go with an Unbalanced Elephant if the indexes are too close or below their 50 day average. For details on the selection of strike prices, credits, number of contracts, etc Read the guideline for entry of Unbalanced Elephant positions. If the indexes happen to be 1% higher than their 50 day average or more, then I will go with the Unbalanced Iron Condor (as usual ten deltas on both sides).

The LT Trend Sniper system entered the second position of 2017. This time it went long Gold and the position made some favorable progress.

Stop Loss has been cut in half at this point. The position will not be closed this upcoming week. Unless of course, Stop Loss is hit.

If you want to learn more about this fully automated trend following system, feel free to read this article.

Economic Calendar
Sunday: China's GDP and Industrial Production
Tuesday: US Building Permits and Housing Starts
Thursday: US Philly Fed Index
Friday: US Existing Home Sales. Services PMI and Manufacturing PMI.

Good luck this week folks,

If you are interested in a responsible and sustainable way of trading options for consistent income with solid risk management, consider acquiring LTOptions, my options trading system to the last detail.

Check out 2017 Track Record

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