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Saturday, April 29, 2017

Weekend Portfolio Analysis (April 29, 2017)

This week's analysis has been published at

Download Weekend Portfolio Analysis (2017-04-29).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The Weekend Portfolio Analysis will be available on this site next week for historical reference.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 22, 2017) 
Recent Trading Activity

- Closed Call side of May RUT Elephant at a $716 loss on Tuesday. A bit frustrating yes, but the Put side is still in play and now at only 2 deltas and with a credit that is greater than this initial loss from the Call side. So, in the end the position will be a winner overall, just a smaller one than we would have liked.

Market Conditions
(Click on image to enlarge)
Stochastics: 82 (Overbought. Up from 52 last week)
McClellan: +25 (Neutral. Up from +19 last week)
Stocks above their 20 DMA: 62% (Neutral. Up from 59% last week)

No man's land. Indicators modestly up from last week.

VIX below 11 again. Not attractive for the Options selling business as it has mostly been the norm so far this year. But, I'll put more capital to work. You can opt to just make smaller bets during these environments. I'll go with an Unbalanced Elephant or Iron Condor this week if the neutral conditions persist. On the chart above there are now two potential horizontal lines, ideally the index stays between 2,325 and 2,400 for a while. That would allow us to make some money even in ultra low VIX environments.

And the Russell 2000, where I know have less upside exposure and the May expiration Puts look like sure winners:
(Click on image to enlarge)
Resistance at the upper end of the long-term uptrend channel held beautifully this week.

Current Portfolio

MAY SPX/SPY 2150/2160/2440/2450/221/245 Unbalanced Elephant
$1,529 net credit, 3 more weeks to expiration. Looking safe on the Put side, and relatively safe on the Call side, but not a slam dunk.

Defense line is SPX 2,215 to the downside (adjust Credit Put spread) and 2,415 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). It was not possible to take this one off the table for the $1,200 I mentioned in the previous Action Plan. Things improved a bit with seven more days of Theta, decreased volatility and the small decline late in the week. The position is now showing roughly $1,100 in open profits out of $1,529 max potential. That's 72% of the max profit achieved in 62% of the days (5 weeks in play out of 8 weeks to expiration when it was entered). So, not too bad.

Given the loss taken on Call side of the May RUT Elephant, I'm thinking of closing the Call side of this May SPX Elephant for a scratch (small win or break-even). Even though the Call side of an Elephant is never a concern, I just don't want to see a second winner reduced in the same expiration cycle. The other thing we can do, is to just close the Credit Call spreads, which at 6 deltas are currently showing +$240 gains, and leave the long SPY Call options in play, almost worthless now at just 0.06 debit.

That would leave us with the following risk profile:
With just 3 weeks to expiration, the index would have to react in our favor quickly in order to truly leverage that unlimited upside potential. But it is an interesting idea that can be exploited and perhaps with more days to expiration in the future, which would be nice.

MAY RUT 1230/1240 Credit Put spread hedged with IWM 126 Long Puts
Net credit: $1092. Three weeks to expiration.
This is the remainder of the May RUT unbalanced Lazy Elephant.
Defense line: 1,280.
The IWM long 126 strike Puts are worth 0.10 each. They are unlikely to be needed and you can consider taking them off and save $20 bucks (minus commissions) before they expire worthless. Personally, I think I'll just leave them there.

JUN RUT/IWM 1220/1230/1470/1480/126/148 Unbalanced Elephant
Seven weeks to expiration. Credit Put spread side comfortable at 5 deltas. Call side not in terrible shape but not so comfortable:

Defense lines are 1,285 and 1,430.

Action Plan for the Week

- Close the entire Call side of May SPX Elephant for a scratch early in the week. Consider leaving the SPY Long Call options in play to produce an unlimited potential profit situation as illustrated earlier. If the market gaps up and it is not possible to close the Elephant's call side for a scratch then close at a loss if SPX rallies past 2,415. If the market gaps down on Monday and the whole Elephant suddenly shows +$1,200 in open profits, I'll close the whole thing.

- Close the Call side of June RUT Elephant with RUT rallying past 1,430. Consider taking Call side off the table for small gain (currently showing loss) if RUT keeps getting weak.

- Initiate the second June position. I want to use SPX this time and most likely an Unbalanced Iron Condor (short Puts and short Calls around 10 delta mark). If the index gets too close to its 50-day average, or falls below it, I will then use an Unbalanced Elephant as I have been doing recently, just to decrease the chances of being hurt too much on the Call side in the near future.  

The LT Trend Sniper system lost its long XAUUSD (Gold) bet after having reduced Stop Loss by 3/4. So, tiny loss.

Immediately after that, a long EURUSD signal was triggered. There was some initial progress and Stop Loss was caught in half. But since then, there hasn't been much follow through.

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

Sniper's results tracked here.

Economic Calendar

The Calendar page has been updated to the new Economic Calendar offered by This new version looks better and offers additional features, but be aware that it links to external sites beyond my control. In particular, I don't really love the "Start Trading" button, which links to a broker site, but I have no way to remove it. So, just use the Calendar as an information tool to learn about relevant upcoming events.

Monday: US Manufacturing. China's Manufacturing.
Wednesday: US ADP Non-Farm Employment Change. ISM Non-Manufacturing PMI. FOMC Statement and Interest Rate Decision.
Thursday: US Core Durable Goods and Pending Home Sales. European Central Bank Conference.
Friday: Non-Farm Payrolls, Unemployment Rate.

Good luck this week my friends,

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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