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Saturday, August 5, 2017

Weekend Portfolio Analysis (August 5, 2017)

This week's analysis has been published at

Download Weekend Portfolio Analysis (2017-08-05).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The Weekend Portfolio Analysis will be available on this site next week for historical reference.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 29, 2017) 
Recent Trading Activity

- Closed the August SPX Unbalanced Iron Condor on Wednesday for a $1,225 gain.

Market Conditions
(Click on image to enlarge)
Stochastics: 64 (Neutral. Down from 70 last week)
McClellan: -41 (Neutral. Down from -6 last week)
Stocks above their 20 DMA: 44% (Neutral. Down from 54% last week)

No man's land once again. All oscillators lower than the last time, despite SPX being higher. Small bearish divergence there.

Back in 2011, or 2012, I would be expecting some more downside until an oversold extreme was reached. Then I would start thinking of the rebound. It used to be like clockwork. Nowadays, it is enough with a couple of weeks of sideways action to start thinking about the next rally. We don't reach oversold extremes anymore. Despite having a fairly mechanic set of rules, it is hard to not let your bias sometimes stop you from making trades. RUT was weak and went below its 50-day average

The Russell 2000:
(Click on image to enlarge)
As you know, the plan was to initiate an Elephant on Thursday or Friday, but the Call side would have been positioned around 1,470 with an initial defense line of 1,445. A point at which the hypothetical Elephant (never entered) would have taken a loss on the Call side. 1,445 seemed just too close for me an even below previous highs that RUT has already seen. In addition, premiums were too low, leading me to collect around $1,200 of credit in a position that typically provides around $1,400. The little rebound on Friday was nice. I tried a couple of orders that never got filled and finally I tweeted that I wouldn't be initiating the position. Perhaps I'm being a little too greedy or too risk averse. After all, Elephants were precisely invented to be able to absorb losses on the Call side and still end up with an overall winning position, albeit a smaller winner.

Current Portfolio

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

(Click on image to enlarge)
Defense lines: 1,325 to the downside (adjust the Credit Put spread to the new 10-delta strike price), 1,475 to the upside (close all the Call options for a loss, no adjustments, just keep riding the Credit PUT spreads side). Based on the probabilities, this is an almost sure winner by now. The plan is to ride it all the way to expiration.

If this Elephant wasn't so close to expiration already, I would have closed the Credit Call spread side for almost max profit (0.05 debit to close). And I would leave the long IWM Call options in play. The resulting position would look like this:

With unlimited upside potential.
But given that we are less than 2 weeks to expiration, there is little time for that significant rebound above RUT 1,450 to exploit this idea. So, this time I will simply ride the whole position, collect 100% of the credit and also save in commissions. In the future, this is an idea that I'll be considering as long as we are more than 2 weeks away from expiration.

SEP SPX 2300/2310/2550/2560 Unbalanced Iron Condor
Net Credit: $1,500. Six weeks to expiration.

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

Action Plan for the Week

- As for the 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, the current plan is a RUT/IWM Elephant on Monday. Strike prices 1300/1310/1480/1490/133/149. Number of contracts 20/20/8/8/23/2 respectively. More information on Elephants here. However, if the markets open down on Monday and the 10 delta option for RUT in September (Call side) is below 1,480 then I will strongly consider the Elephant using SPX instead.

- As for defensive moves. No threats at the moment and the two positions currently open look very far from danger.

The Euro remained strong all week, and despite the sell off on Friday, it closed at a higher point than the previous week. The LT Trend Sniper system is still riding this EURUSD initiated on July 12
Roughly 300 pips in open profits and a nice boost for the portfolio.
The position may be closed this week by the robot if an 8 day closing low takes place.
Sniper results tracked here.

Economic Calendar

Tuesday: JOLTs Job Openings (Jun).
Thursday: US PPI. Federal Budget Balance.
Friday: US Core CPI & CPI

This article was written from my good friend Emilio's apartment Montreal. I'll be flying back to the US next Saturday. So, the Weekend Portfolio Analysis will get to you on Sunday instead of the usual Saturday.

Take it easy, but take it anyways.

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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