domingo, 18 de octubre de 2015

Weekly Portfolio Analysis: 18th Octuber 2015

SP 500 (+0.90)  has performed better this week that the Russell 2000 (-0.26%)

YTD the SPX is down -1.25% and the RUT -3.52%. On the other hand our Bellini portfolio is up +6.56% after the Octuber cycle expired giving us 0.66%

We have not opened new trades during the week. And we will stay this while the SPX shows strengh as we might need to adjust some of the Call Spreads on the weeks ahead.

Right now the only positions that concerns me a bit is 

RUT 1240/50 Nov15 with delta 0.04 and 96% prob of success.

All the positions are over 90% prob of ending out the money so would say we are in a safe poisition.

VIX keeps loosing value sharply and getting in to the zone where has been most of 2015.

SPX has been relatively strong at the end of the week, showing a non expected strengh on these short time overbought extreme. Has done a higher high and will find resistance at 2050.

RUT on the other hand is not doing higher highs and is behaving as sideways as we want it.  First resistance is 1180

domingo, 11 de octubre de 2015

Weekly Portfolio Analysis 11th Octuber 2015

Markets performed vey well this week. SPX jumped +3.260% ad RUT a terrific +4.60%. YTD still on the negative side SPX -2.14% and RUT - 3.27%. Bellini YTD unchanged from next week +5.785%.

I have added two new positions to the portfolio on the Call Spread side taking advantage of the week rally. 
Adding 2 Call Spread December 15, one in SPX the other at RUT, both Delta 10.

So 6 position outstanding, with one about to expire next week The positions look as follows

All of them over 90% porb of ending out the money , all we need is  the markets move bear or on the sideways path on the next days.

I will not expect to get into new trades next week, just keeping an eye to the markets to defend positions if we keep moving high.

The VIX has been moving down and closed at 17 on Friday, still a good number to get decent premiums.

Russell is facing now 1170/80 area, where the last lower high is and also 200 EMA, this should work as short term resistance.

 SPX has made touch on the 2020 last high, next resistance will be 2040.

domingo, 4 de octubre de 2015

Weekly Portfolio Analysis 2nd Octuber 2015

We are coming off an oversold condition on the context of a

a) Bear Market
b) Bullish Market.

There is much debate on this out there and is not an easy answer.

If we believe the SPX was inside an uptrend channel since Oct 2012 this has been broken to the downside as seen in the bellow chart. However the SPX has not clear made a proper lower low on the weekly side, this low is Oct 2014 one.

SPX did a decent week moving up +1.04% and Russell ended down just -0.77% SPX is YTD -5.22% while our Bellini portfolio is +5.785%

We have not been able to add any new position this week, even we where on an oversold position that could have been good opportunity to add a PS on Oct or Nov.

Current opened positions look as follows

Bull SPX Oct15 1775/85 at 0.5 looks safe now at 96% probability of success with 12 days left to expiry
Bull SPX Nov15 1560/70 at 0.4 preatty much the same at 97% of ending out the money with 47 days left.
Bull RUT Dec15 930/40 at 0.8 with 90% is the only once to be a little  more concern but still looking safe.

For the week we might start to see an end of the year rally? who know but we could sell PS on any dip in the rally.

Volatility is slowing down and might get to regulat levels bellow 20

SPX has rebound from the end August lows, and might find resistance at 1960 before going to 2000 again.

RUY might find resistance at 1130 before going to 1170