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Friday, July 21, 2017

Weekend Portfolio Analysis (July 22, 2017)

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

Download Weekend Portfolio Analysis (2017-07-22).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The Weekend Portfolio Analysis will be available on this site next week for historical reference.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 publicly available: Weekend Portfolio Analysis (July 15, 2017) 
Recent Trading Activity

- Initiated a September SPX Unbalanced Iron Condor position on Thursday. Net Credit $1,500. All the details here. Just a 4:1 ratio of Puts to Call as the upside is within the long-term uptrend channel.

- The July RUT Unbalanced Lazy Elephant expired for max profits: $1,417.

Market Conditions
(Click on image to enlarge)
Stochastics: 94 (Overbought. Same as last week)
McClellan: +55 (Neutral. Down from +88 last week)
Stocks above their 20 DMA: 61% (Neutral. Down from 63% last week)

No man's land.

Index price higher than the previous weekend, yet oscillators slightly lower. Small bearish divergence there. We'll see if it becomes more serious and plays out.

You'll notice I extended the uptrend channel right until the end of the year, because....why not? I've been operating all year using this channel and this market has proven over and over again how much it apparently wants to stay in there. Trading rules, as usual, will dictate activity, but I'll be careful with all the Call spreads and will remain cautious and playing them smaller whenever their strike prices are below the upper end of this channel.

SPX price now close to 2% higher than its 50-day average. A further 1% push higher and it starts to become stretched, increasing the chances of sideways digestion for a while.


The Russell 2000:
(Click on image to enlarge)
RUT momentarily broke upside resistance but came back down almost immediately. I'm leaving that resistance line there until price firmly closes above it. Just one Elephant now in play after the July one expired.


Current Portfolio

AUG SPX 2260/2270/2520/2530 Unbalanced Iron Condor
Net Credit: $1,500 and 4 weeks to expiration. Call side at the 10-delta mark, Put side at the 3-delta mark.
Adjustment point to the downside: 2,325. To the upside, given that a small ratio of 1/4 Calls to Puts is played, I'm willing to wait for the Call side to reach 45 - 48 deltas. Roughly SPX 2,515. At that point I'd me making an adjustment to the new 10-delta Calls. SPX 2,515 is significantly above the 50-day average, so chances are good that it won't happen this week.


AUG RUT/IWM 1290/1300/1490/1500/132/150 Unbalanced Elephant
Net Credit: $1,418. Four weeks to expiration.

(Click on image to enlarge)
Defense lines: 1,340 to the downside (adjust the Credit Put spread to the new 10-delta strike price), 1,465 to the upside (close all the Call options for a loss, no adjustments, just keep riding the Credit PUT spreads side).


SEP SPX/SPY 2300/2310/2550/2560 Unbalanced Iron Condor
Net Credit: $1,500. Eight weeks to expiration. The position entered two days ago. Lots of baby-sitting ahead.

(Click on image to enlarge)
Defense lines: 2,370 and 2,545 for now. Both unlikely for the upcoming week.


Action Plan for the Week

- August SPX Unbalanced Iron Condor: Adjust the 2520/2530 Call side if SPX reaches 2,515 (unlikely move for just a week). If SPX price pulls back, close the spread for 0.15 debit if possible. That may happen with the 2,520 strike price reaching 4 or 5 deltas. And that is achieved with a simple 20 point drop in SPX. I'll also be closing the whole position for a $1,200 profit if that is possible. (Current open profit is close to $850)

- August RUT Unbalanced Lazy: 1,340 is the adjustment point to the downside. Close Put spread for a loss, deploy new one around the mid 1,200's. To the upside, close all the Calls for a loss if RUT reaches 1,465 roughly. No adjustment in this case.

- As for the new Sept SPX 2300/2310/2550/2560 Unbalanced Iron Condor, I'll close the Call spreads for 0.10 debit if we see a nice pull back and this debit becomes a real possibility. Otherwise I'll just keep riding the whole thing.

- As for new positions, we are back to waiting mode: Two weeks to let the market reach that elusive oversold scenario that we haven't seen this year. A short term oversold condition may be 3 or 4% lower and at that point a September RUT Credit Put spread would be my go to play. No oversold condition, then no new position this week and we'll just ride the existing inventory.


Economic Calendar

Monday: Existing Home Sales.
Tuesday: Consumer Confidence.
Wednesday: New Home Sales. FOMC Statement.
Thursday: Core Durable Goods Orders.
Friday: US GDP.


Take it easy but take it anyways.
LT


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Check out 2017 Track Record


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