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Saturday, May 6, 2017

Weekend Portfolio Analysis (May 6, 2017)

This week's analysis has been published at LTOptions.com

Download Weekend Portfolio Analysis (2017-05-06).pdf

If the above link doesn't work for you, simply log in to LTOptions.com, 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The Weekend Portfolio Analysis will be available on this site next week for historical reference.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 29, 2017) 
Recent Trading Activity

- Closed SPX/SPY - May 2150/2160/2440/2450/221/245 Unbalanced Elephant for a $1,090 gain. The Put side looked safe enough and could have been left on, but I just decided to reduce quadruple downside exposure in the portfolio that came with the addition of a new June position.

- Initiated SPX - Jun 2240/2250/2465/2475 Unbalanced Iron Condor. Very conservative on the Call side, using a 4 to 1 ratio of Puts to Calls. Given how low volatility is, adjustment points feel close and would be very uncomfortable to defend. Net Credit only $1,447 but I definitely prefer this very conservative Call side.

Market Conditions
(Click on image to enlarge)
Stochastics: 72 (Neutral. Down from 82 last week)
McClellan: -2 (Neutral. Down from +25 last week)
Stocks above their 20 DMA: 54% (Neutral. Down from 62% last week)

No man's land.
All the indicators saw slight decreases and yet the index is 15 points higher now than a week ago. Price now very close to breaking out of the horizontal range, so this week is going to be defining. Always interesting when so close to resistance, but at the same time all the 3 indicators point to enough room to run and price is less than 1.5% higher than its 50-day average.

The VIX fell below 10 at one point this week, making the Options selling business less attractive. I have no plan of making new additions for now, unless of course, a short term oversold reading is reached, in which case volatility would expand too.

The Russell 2000:
(Click on image to enlarge)
Weakness early in the week provided an opportunity to close the Call side of the June Elephant for small gains as detailed in the Action Plan seven days ago. I honestly don't know why I didn't close it if that was the plan, thought out with calm and cold mind. This is the first this year that I wasn't 100% disciplined.


Current Portfolio

MAY RUT 1230/1240 Credit Put spread hedged with IWM 126 Long Puts
Net credit: $1092. Two weeks to expiration.
With RUT near 1,400 I have no concerns here anymore. The plan is to let this one expire. Defense line would be around RUT 1,270 but that seems too far for this week.


JUN RUT/IWM 1220/1230/1470/1480/126/148 Unbalanced Elephant
Net credit: $1506. Six weeks to expiration.

Defense lines are 1,280 (Adjust Put side) and 1,440 (Close Call options for a loss and keep riding the Put side, whose credit is greater than the Call side loss).


JUN SPX 2240/2250/2465/2475 Unbalanced Iron Condor with SPY 228 long Put
Net credit: $1447. Six weeks to expiration.
Position entered two days ago. Put side at the 9-delta mark, Call side at the 15-delta mark.

Not a big deal if the Call side loses here, as I was especially conservative with a 4 to 1 ratio of Puts to Calls. Defense lines for the week are SPX 2,315 and SPX 2,430. 


Action Plan for the Week

- Close the Call side of June RUT Elephant with RUT hitting 1,440. That would be a 3% move higher for the Russell. Consider taking this Call side off the table for small gain (currently showing small loss) if RUT declines.

- Regarding the June SPX Unbalanced Iron Condor, there are two alternatives when it comes to defending the Call side. 1-) It can be taken off at a loss with SPX reaching 2,430 or so. That would be a $800-$900 loss. If no attempt to defend is made (meaning no adjustment of the Call spread higher up)  the market can rally all it wants past 2,430 and the Credit from the Put side would be enough to overcome the loss on the Call side. This way we have no need to go crazy defending the Call side in such an uncomfortable environment. 2-) Because the ratio of Puts to Calls is 4 to 1, I can delay the Call side adjustment decision to about SPX 2,455 where I would be suffering the typical loss of a 2 to 1 ratio Unbalanced Iron Condor. Obviously, that would give me a lot more room and it would decrease the odds of having to defend. If SPX 2,455 is touched, then a potential adjustment above 2,500 could be made, which looks far out enough for a win. I honestly haven't made up my mind yet, but I'm more inclined towards the second option.

- If the market falls, and $200 bucks can be obtained from the Call side of the June SPX Unbalanced IC, then I will just be closing the Call side for a chance to redeploy it on an eventual rebound as there is still some decent time to June expiration.



Forex
The LT Trend Sniper system is still long EURUSD and the Stop Loss have been moved to break-even. Nothing can be lost here now. There's a 3% portfolio gain here which puts the FX trading activity up for the year. Of course, nothing is firm until this position is closed.
The Sniper is likely to keep riding the position the entire week unless SL is hit of course.
For more details about this fully automated trend following system, feel free to read this article.

Sniper's results tracked here.


Economic Calendar
As usual, pretty light the second week of the month: 

Wednesday: US Crude Oil Inventories. Federal Budget Balance.  
Thursday: ECB Economic Bulletin.
Friday: Europe's Industrial Production. US Core CPI & Retail Sales.

Good luck this week folks,
LT


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Check out 2017 Track Record


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