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BookingAlpha Option Trading Advisory

Saturday, September 23, 2017

Weekend Portfolio Analysis (September 23, 2017)

This week's analysis has been published at

Download Weekend Portfolio Analysis (2017-09-23).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The Weekend Portfolio Analysis will be available on this site next week for historical reference.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 (September 16, 2017) 
Recent Trading Activity

- Closed 2540/2545 Call side of October SPX Unbalanced Iron Condor for a $440 loss on Monday.

- Closed December SPY 253 Long Calls for a $462 gain on Monday.

- Initiated a 2315/2325/2575/2585 November SPX Unbalanced Iron Condor for a $1,500 credit on Thursday.

Market Conditions
(Click on image to enlarge)
Stochastics: 72 (Neutral. Down from 98 last week)
McClellan: +71 (Neutral. Down from +113 last week)
Stocks above their 20 DMA: 69% (Neutral. Down from 73% last week)

No man's land

Politicians are trying to score some points for their band while apparently being miles away from a deal on either Health Care or Taxes. North Korea keeps flexing its muscle and the market doesn't seem to care with a VIX consistently below 11.

SPX price is a little higher than this time last week, yet all three oscillators are slightly down. So, there is an incipient bearish divergence there and we are also about to enter the historically weakest week of the year.

My bias: sideways to lower this week. After that, bullish into the end of the year. But as usual, my bias is pretty irrelevant, especially when we are trading neutral(ish) and we'll focus on price action and technical levels.

The Russell 2000
(Click on image to enlarge)
Strong up this week and now approaching long-term resistance. Also threatening the upper side of the October RUT Unbalanced Elephant. Fortunately, a loss on the Call side of an Elephant is not a big deal and the Elephant ends up being a winner in the end thanks to the Put side's greater gain. The RUT is almost 3% above its 50-day average, but unlike SPX, it has moved 5 to 6% above its 50-Day in the past, so we can't say its at an extreme.

Current Portfolio

OCT SPX 2250/2260 Credit Put spread
Remainder of what used to be an Unbalanced Iron Condor.
Net Credit of $1,100 and four weeks to expiration. With the Call side gone, I have no more concerns with this position and will ride it all the way to expiration.
(Click on image to enlarge)
Defense line: 2,315 to the downside.

OCT RUT-IWM 1270/1280/1470/1480/130/148 Unbalanced Elephant
Net Credit of $1,317, four weeks to expiration. Still profitable overall despite RUT's rally.
(Click on image to enlarge)
Defense lines: 1,315 (adjust Put side) and 1,455 (close Call side at a loss and continue riding the Put side, whose net credit is greater than the Call side loss at RUT 1,455). We're pretty close indeed.

NOV SPX 2315/2325/2575/2585 Unbalanced Iron Condor
Net Credit of $1,500, eight weeks to expiration.
(Click on image to enlarge)
Defense lines: 2,395 (adjust Put side) and 2570 (adjust Call side). Once again, thanks to the 4:1 ratio of Puts to Calls we can afford to wait until > 45 deltas on the Call side before making an adjustment. No concerns for now with this position and lots of baby-sitting ahead.

Action Plan for the Week

- I'm willing to re-establish the Call side on the October SPX position if we reach an overbought extreme. Let's say SPX rallies to around 2,520 and the 2570 OCT Calls reach 10 deltas, I'd gladly sell 2570/2580 keeping a 4:1 ratio to form the Unbalanced Iron Condor (so, 5 Credit Calls spreads given that I have 20 on the Put side).

- I'll close the Call side of the October RUT Elephant. This includes the RUT 1470/1480 Credit Call spread (at a loss) and the Long IWM 148 strike Calls (for gains). I'll leave the Put side and those gains at expiration will more than compensate for this loss. The only way I won't immediately close this is if there is a gap down per-market on Monday.

- Take the Call side of the November Unbalanced Iron Condor off the table at 50% of its max gain potential on a market decline. This should be possible if SPX falls 25 points, which represents a 1% market fall. The idea is to redeploy it quickly on a rebound.

- Wait for an oversold condition to take place in order to sell an Out of the Money November RUT Credit Put spread. Nothing to do if no oversold condition is materialized.

Economic Calendar
Sunday: German Federal Election
Tuesday: US Consumer Confidence. New Home Sales.
Wednesday: Core Durable Goods. Pending Home Sales.
Thursday: US GDP
Friday: Europe CPI. Michigan Consumer Sentiment and Expectations. China's Manufacturing PMI.

Take it easy but take it anyways.

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Check out 2017 Track Record

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