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Saturday, September 29, 2018

Weekend Portfolio Analysis (September 29, 2018)

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

Download Weekend Portfolio Analysis (2018-09-29).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The Weekend Portfolio Analysis will be available on this site next week for historical reference.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 2018 Track Record page


Previous Analysis now publicly available:
Weekend Portfolio Analysis (September 23, 2018) 
Recent Trading Activity

- No Activity.


Market Conditions
(Click on image to enlarge)
Stochastics: 37 (Neutral. Down from 88)
McClellan: -57 (Neutral. Down from -12)
Stocks above their 20 DMA: 44% (Neutral. Same as last week)

No man's land

A week of relative calm in the market, with small price moves. The VIX is at a very unattractive 12.12 price (for premium sellers that is) and we continue to be in No man's land condition.

The index is now 1.6% higher than its 50-day average. Upside room grows little by little. The battle ground to me is between 2870 (previous resistance, now support) and 2940 (resistance around all-time highs). If we stay there for a while that is ideal for all neutral(ish) positions.


The Russell Index:
(Click on image to enlarge)
Now below the 50-day average. Aggressively selling Call spreads becomes dangerous. RUT's been consistently weaker than the S&P for a while, something that is a little concerning. There is potential support around the 100 day moving average and some previous swing lows could offer minor support. The big one is horizontal around 1,615.


Current Portfolio:
The SPY Calls and SVXY Calls expire in December and January of next year. All bullish bets on a market rebound.

Let's now look at the income plays.



Oct SPX/SPY - 2690/2700/3010/3020 - 274/302 Elephant
Net Credit: $1448. Three weeks to expiration.
(Click on image to enlarge)
Defense lines: 2,750 to the downside (adjust Put side). 2,980 to the upside (close entire Call side at a loss. Keep riding Put side). Either this Elephant, or the next should be closed this week.


Oct RUT/IWM - 1590/1600/1810/1820 - 161/182 Elephant
Net Credit: $1463. Three weeks to expiration.
(Click on image to enlarge)
Defense lines: 1,630 to the downside (adjust Put side). 1,785 to the upside (close entire Call side at a loss. Keep riding Put side). The Call side has made most of the max potential profit thanks to the weakness in RUT. This Elephant is also a candidate to be closed during the week.



Nov RUT/IWM - 1570/1580/1810/1820 - 161/182 Elephant
Net Credit: $1470. Seven weeks to expiration.
(Click on image to enlarge)
Defense lines: 1,630 to the downside (adjust Put side). 1,775 to the upside (close entire Call side at a loss. Keep riding Put side). As you can see, there is risk concentration around RUT 1630, a point at which both, the Oct and the Nov RUT Elephants would lose money and need to be adjusted at the same time. It becomes wise to close one of the two RUT Elephants or at least the Put side of one of them.



Action Plan for the Week

- Close either the October RUT or SPX Elephant. Preferably the RUT one, to avoid risk concentration around RUT 1630 with the November Elephant. Another alternative is to close the Put side only (October Elephant), leaving the Call side on, which looks pretty safe. But since almost all the money has been made on the Call side, closing the whole thing is not a bad idea.

- Closing the Call side of the November RUT Elephant is not a bad idea if we can do it for 75% of its max profit. This would give an opportunity to redeploy on a rebound. 

- Later in the week I plan to deploy the second November position. If by any chance we reach an oversold environment, then it will be an SPX Credit Put spread around 10 deltas. Oversold conditions have become so rare in recent years that chances are, I will end up playing a November SPX Elephant following the usual guidelines.


Economic Calendar

Monday: German and US PMI.
Tuesday: Fed Chair Powell speaks.
Wednesday: US ADP Non-Farm Employment Change. ISM Non-Manufacturing PMI.
Thursday: US GDP, Core Durable Goods, Pending Home Sales.
Friday: US Non-Farm Payrolls. Unemployment Rate. Trade Balance.

Take it easy folks!
LT


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Check out 2018 Track Record


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