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Saturday, July 29, 2017

Weekend Portfolio Analysis (July 29, 2017)

This week's analysis has been published at

Download Weekend Portfolio Analysis (2017-07-29).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The Weekend Portfolio Analysis will be available on this site next week for historical reference.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 publicly available: Weekend Portfolio Analysis (July 22, 2017) 
Recent Trading Activity

- No Activity

Market Conditions
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Stochastics: 70 (Neutral. Down from 94 last week)
McClellan: -6 (Neutral. Down from +55 last week)
Stocks above their 20 DMA: 54% (Neutral. Down from 61% last week)

No man's land and pretty neutral this time. A good 2% week in either direction would not surprise me one bit.

We're at the same level we were last weekend (SPX 2,472) but with all the oscillators slightly lower. I was not a fan of the price action early in the week, but that decline on Thursday made it all easier to ride.

Being in No man's land territory the next go to play will be a neutral(ish) position. I will go with a September RUT Unbalanced Elephant, unless the unthinkable happens and we reach an oversold condition before Friday. The seventh month of the year is coming to an end and not a single Credit Put spread (individual and not as part of Elephants or Condors) has been played. I don't remember a stretch of time like this one where we haven't seen a short-term oversold environment for 9 months. You would think we are overdue for one. I myself have been looking forward to it for the last 2 or 3 months, but in the end price action must be respected. Despite the super low VIX (new historical low this week of 8.84) we've been making some money with consistency thanks to the fact that realized volatility has been consistently lower than implied. Had we been sitting on our hands we would have stayed put almost the entire year.

The Russell 2000:
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RUT firmly broke resistance but came back down. I'm leaving that resistance line there for now as it may be resistance again or who knows if support in the future. Just the August Elephant in play at the moment.

Current Portfolio

AUG SPX 2260/2270/2520/2530 Unbalanced Iron Condor
Net Credit: $1,500 and 3 weeks to expiration. Call side at the 7-delta mark, Put side at the 5-delta mark.
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Adjustment point to the downside: 2,315. 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 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. Three weeks to expiration.

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Defense lines: 1,335 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. Seven weeks to expiration.

(Click on image to enlarge)
Defense lines: 2,365 and 2,545 for now. Both unlikely for the upcoming week. Nice looking position, SPX price right there in the middle of the pink tent, starting to make some progress.

Action Plan for the Week

- August SPX Unbalanced Iron Condor: I'll be closing the whole position for a $1,200 profit if that is possible. (Current open profit is $1,137). In theory, the $1,200 open profit can be seen on Monday morning, assuming that /ES futures don't move too far up during Sunday. This is a 20/20/5/5 position. I usually close each side individually, even if my intention is to close the whole position. But, for those that want to close it all at once, the debit to specify is 0.60. The original credit received was $1,500 but on a per spread basis it was expressed at 3.00. Here's why: you find the max common divisor between 5 (number of Call spreads) and 20 (number of Put spreads). The max common divisor is 5 in this case. If we divide the whole position by the max common divisor (5), we have a 4/4/1/1 and now we use the original credits received (0.55 Put side, multiplied by 4 and 0.80 Call side multiplied by 1. So, that's the original 3.00 Credit order. That's where the 3.00 comes from. Even though the total dollar amount received was $1,500). Now, if each 4/4/1/1 combo is closed for 0.60 debit, that results in a 2.40 profit. Which repeated 5 times represents 12.00 or the $1,200 I'm looking for. So, 0.60 debit is the correct number to specify in the closing order regardless of how much money you put in the position, IF, like me, you played this thing with a 4 to 1 ratio of Puts to Calls. If closing the whole thing for a $1,200 profit is not possible and the market rallies, well, I may feel a little annoyed and close the Call side for small gains and then keep riding the Put side, which looks pretty safe anyways and where some more money can still be squeezed out.

- August RUT Unbalanced Lazy: 1,335 is the adjustment point to the downside. Close Put spread for a loss, deploy new one around the low 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 September 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, if we stay in no man's land, or an overbought scenario I'll play a RUT Unbalanced Lazy Elephant on Thursday or Friday. Instructions here. My candidate now is RUT 1300/1310/1500/1510. Number of contracts 20/20/10/10. All this with a long volatility hedge via Buy IWM 133/151 Strangle. Number of contracts 2/14. Of course this may change quite a bit depending on market movement. This may be the lowest credit we ever receive for an Elephant given the super low volatility. Even though I'm thinking of deploying at higher deltas (11 or 12 instead of 10), the credit still sucks.

The LT Trend Sniper system is finally catching a good trend in the EURUSD thanks to the most recent Buy bet on July 12.
Almost 300 pips in open profits for now and an almost 7% boost for the portfolio. We'll see how this one ends. Sniper results tracked here.

Economic Calendar

Sunday: China's Manufacturing PMI.
Monday: Europe CPI. US Pending Home Sales.
Tuesday: US ISM Manufacturing PMI.
Wednesday: ADP Nonfarm Employment change.
Friday: Nonfarm Payrolls. Unemployment Rate.

I'm flying to Canada for work on Tuesday August 1st. Presence on Twitter will be limited and I'll be busier than usual from that day until Sunday August the 13th. I'll be a little slower replying to emails but rest assured all the inquiries will be attended and I'll do my best to send out the Weekend Portfolio Analysis from Montreal next week and from Toronto the week after.

Good luck this week my friends. Talk to you soon.

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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