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Sunday, November 12, 2017

Weekend Portfolio Analysis (November 12, 2017)

This week's analysis has been published at

Download Weekend Portfolio Analysis (2017-11-12).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The Weekend Portfolio Analysis will be available on this site next week for historical reference.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 (November 4, 2017) 
Recent Trading Activity

- No activity.

Market Conditions
(Click on image to enlarge)
Stochastics: 68 (Neutral. Down from 86 last week)
McClellan: -112 (Neutral. Up from -68 last week)
Stocks above their 20 DMA: 42% (Neutral. Down from 46% last week)

No man's land.

Some downwards price action and a small VIX uptick (now at 11.29).
The sequence of values for % of Stocks above their 20 Day average has been 49%, 46% and 42% over the last three weekends. Yet price has barely gone down if you consider that we are still pretty much near all-time high territory. At one point, aggressively betting on the downside becomes risky. Especially when/if the number of stocks higher than their 20-day avg gets closer to only 30%. Rebounds are more imminent at that point during a Bull market. I've also learned over the years to not get overly bearish into year-end.

In my view, extended downside price action is unlikely here. A quick fall of 30 SPX points (barely 1%) may get us into an oversold condition (according to rules). In fact, at some point on Thursday, the McClellan oscillator got close to -150, but still the number of stocks above their 20day was in the low 40's%. So, a quick oversold condition may just be around the corner. It will be a good time to sell a December OTM Credit Put spread.

To the upside, I'm still using that diagonal red line as significant resistance, which would put the lid this week at around 2,615 (max).

The Russell:
(Click on image to enlarge)
By far weaker than SPX and now below the 50-day average. On an oversold condition this would be my go to instrument. Yellow lines as usual depicting current positions. No imminent danger.

Current Portfolio

NOV SPX 2315/2325 Credit Put spread
Net Credit of $1,000. The remainder of what used to be an Unbalanced Iron Condor. Looking great.
Expires this upcoming Friday. No need to add the profit picture as it is so out of the money.

NOV SPX 2425/2420 Credit Put spread
Net Credit $250. Small position of ten 5-point wide spreads.
It also expires this Friday and it is as close to a sure thing as it gets in the markets. No need to post risk profile picture.

NOV RUT 1380/1390/1580/1590 Unbalanced Iron Condor
Net credit: $1,555. Very safe at this point and will expire for max gain this week too.
(Click on image to enlarge)
Defense lines: 1,405 to the downside (adjust Put spread) and 1,575 to the upside (adjust Call spread).

DEC SPX 2390/2400/2635/2640 Unbalanced Iron Condor
Net credit: $1,555. Five weeks to expiration.
(Click on image to enlarge)
Defense lines: 2,465 to the downside (adjust Put side) and 2,630 to the upside (adjust Call side).

DEC RUT 1370/1380/1570/1580 Unbalanced Iron Condor
Net credit: $1,555. Five weeks to expiration. Still healthy. No concerns for now.
(Click on image to enlarge)
Defense lines: 1,430 to the downside (adjust Put side) and 1,565 to the upside (adjust Call side).

Action Plan for the Week

-Let all November positions expire for max gains on Friday. I'm expecting a $2,805 gain (before commissions).

- The focus of the attention is still the December SPX Unbalanced Iron Condor, in particular its Call side. Same action plan as last week:
The Call spread is at the 17-delta mark. With a 25-point SPX rally, it will reach 30 deltas. If you are tired of suffering this year with the Call side, you can simply close the 2635/2640 spreads for 1.70 debit or so at that point. With an initial credit of 0.50, that would be a 1.20 loss per spread or $600 bucks in my case. That loss is more than compensated by the credit from Put side. So, in the end, the position would be a winner anyways and no more Call side headaches.

Given that the Call side is small (only a 4 to 1 ratio of Puts to Calls), I'm willing to wait longer before taking a loss on the 2635/2640 Call spread. My plan for now: if the 2635 strike Calls reach 31 or 32 deltas, I will go ahead and sell a Credit Put spread, probably around SPX 2,480. It will be one fourth the usual capital deployed on Put spreads. So, in my case of a $100,000 portfolio, I would be playing five 10-point wide spreads (0.50 credit or better per spread), or ten 5-point wide spreads (0.25 credit or better). In addition to this move, I'll also be seriously considering a December SPX 2675/2680 Credit Call spread or 2675/2685. Also a small size (10 five-point wide spreads or five 10-point side spreads). This new Call spread would only be adjusted if SPX reaches 2,670 which looks safe enough. With these new credits, I would be willing to close the existing 2635/2640 spread at a loss right then and there, or at a smaller loss on a quick/small market decline.

Even more conservative traders can now close the 2635/2640 Call spread for 0.80 debit, resulting in a 0.30 loss. $300 bucks in 10 spreads. This loss is totally overcome by the $1000 credit received from the Put side. It's just another alternative for those interested in a peaceful December without doing anything else.

- If the market reaches an oversold condition, then I'll attack with a December29 RUT Credit Put spread. I will keep it small, maybe just half the typical size or even a quarter. It's just a final boost and very likely the last trade of the year.

- If the market does not reach an oversold condition, I will be considering a December29 SPX Unbalanced Iron Condor. Also very small, just one quarter the typical size. For instance 2400/2410/2670/2680 with 5 contracts on the Put side and only 1 on the Call side is now offering a $385 credit. Playing it this small would allow me to delay any adjustment up to SPX 2,665 or SPX 2,415. Looks to me like an attractive proposition. These strike prices of course may change depending on market moves and how late in the week I deploy the position. I plan to give the market until Wednesday or so to reach an oversold condition. If it doesn't happen, then this small December29 Iron Condor will follow. So, late Wednesday, Thursday or Friday. 

The LT Trend Sniper's last short EURUSD has not been very productive.  
(Click on image to enlarge)
With this price reversal, the condition will be closed on Sunday at the open for about a 1.5% loss.
FX Results tracked here.

Economic Calendar

Tuesday: US Existing Home Sales
Wednesday: Core Durable Goods Orders. Michigan Consumer Sentiment and Expectations.
Thursday: Europe Manufacturing and Services PMI
Friday: US Manufacturing and Services PMI

Take it easy and trade with confidence my friends,

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Check out 2017 Track Record

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