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Saturday, December 16, 2017

Weekend Portfolio Analysis (December 16, 2017)

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

Download Weekend Portfolio Analysis (2017-12-16).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The Weekend Portfolio Analysis will be available on this site next week for historical reference.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 2017 Track Record page and the 2018 Track Record page


Last Weekend Analysis now publicly available: Weekend Portfolio Analysis (December 9, 2017) 
The 2018 Options Trading Plan is now available at LTOptions. If the link doesn't work, simply log in to LTOptions.com and you'll see it right after logging in.


Recent Trading Activity

- Closed SPX Dec 2690/2695 Credit Call spreads on Monday for a $300 gain, just as planned.

- December SPX Credit Put spreads expired on Friday. $1,250 in profits.

- December RUT Unbalanced Iron Condor expired on Friday. $1,715 in profits.

- Adjusted the Call side of the January SPX Unbalanced Iron Condor on Wednesday.
This was a $1,820 loss that will be reflected in the January cycle.
The new position is :
20 January SPX 2440/2450 Credit Put spreads  @0.65 Credit ($1300)
10 January SPX 2475/2480 Credit Put spreads  @0.30 Credit ($300)
12 January SPX 2745/2750 Credit Call spreads @0.45 Credit ($540)
With enough credit to overcome the loss.

Market Conditions
(Click on image to enlarge)
Stochastics: 77 (Neutral. Up from 58 last week)
McClellan: +14 (Neutral. Down from +18 last week)
Stocks above their 20 DMA: 55% (Neutral. Same as last week)

No man's land.

Yeah, believe it or not No man's land. The last two oscillators have not shown strength in line with the recent rally. Perhaps a tiny sign of weakness there.

This market has been unbelievable. What else can we say.
Selling Index Credit Spreads has not been the easiest strategy the last few years. In fact, one could argue it has been among the most painful ones. Funny enough, as soon as I started sharing my trading ideas on this site. Except for maybe 2015. All the other years have been cruel: 2013, 2014, 2016 and now 2017. However, just when strategies fall completely out of favor, they tend to surprise. We'll see what 2018 brings. The key to success has been to not get overly aggressive on the Call side, by playing Elephants and Unbalanced Iron Condors. A practice that I will continue in 2018. The portfolio is at +19.5% for the year with a decent chance of finishing above 20% despite the depressed volatility all year long.

VIX at 9.42 now and we are approaching the end of the year: A bunch of off days and time decay in our favor. SPX 3.1% higher than its 50-day average and touching the upper end of the long-term uptrend channel. Who knows how further up it will go. I just think, if it does keep going up, it will be in slow motion at this point.


The Russell:
(Click on image to enlarge)
RUT on the other hand seems to have much more room to run, but current positions don't look bad at this point. Time to be cautious here though.


Current Portfolio


Dec29 RUT 1410/1420/1590/1600 Iron Condor
A small $785 credit and Two weeks to expiration. I'm not too concerned here due to the small position size. If a Call side adjustment is necessary I feel confident with deploying a larger number of contracts in this case. Call side at 8 deltas vs Put side at 3.
(Click on image to enlarge)
Defense line: 1,425 (adjust Put side) and 1585 (adjust Call side).


Jan. SPX 2440/2450/2745/2750 Unbalanced Iron Condor
with additional 2480/2475 Credit Put spreads
Net credit: $2,050. Five weeks to expiration.
(Click on image to enlarge)
Defense lines: 2,505 (adjust 2450/2440 Put spread). Then comes 2,485 (adjust the small 2480/2475 Put spread). On the upside I'll wait until 2,740 to adjust the Call side.


Jan. RUT/IWM 1380/1390/1605/1610/161 Unbalanced Elephant
Net credit: $1,448. Five weeks to expiration.
(Click on image to enlarge)
Nice flat T+0 (pink line) on the way up. This Elephant is looking great.
Defense lines: 1,435 (adjust Put side) and 1,570 (close the Call side at a small loss, keep riding the Put side, whose gains will more than cover the hypothetical Calls' losses).


Action Plan for the Week

-I'll enter the first position of the February expiration cycle. I'll go with an SPX Unbalanced Iron Condor. Current candidate: 2490/2500/2775/2785. As usual, strike prices may change due to market fluctuations, difficulty getting filled etc. If the short Call strike is 2775 or higher, then I will use a 2:1 ratio of Puts to Calls, instead of 4:1. In other words I will be a little more aggressive on the Call side. Otherwise, I'll be using a 4:1 ratio.

- Other than this, I'll be looking at the Dec29 RUT Iron Condor. I don't think I will need to adjust it, but in this market who knows. The Call side will go up if RUT touches 1,585 and I will increase the number of Contracts in this scenario.


Forex
The Sniper's short Gold position is not going very well, despite the initial progress:
The robot may exit the position if no progress is made by Monday or Tuesday.

Sniper's results tracked here.


Economic Calendar
Monday: Europe CPI
Tuesday: US Building Permits and Housing Starts.
Wednesday: US Existing Home Sales. Bank of Japan Monetary Policy Statement.
Thursday: US GDP. Philly Fed Index. 
Friday:  Michigan Consumer Sentiment. New Home Sales.

Take it easy folks,
LT


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Check out 2017 Track Record

Check out 2018 Track Record


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