domingo, 29 de noviembre de 2015

Weekly Portfolio Analysis 24th november 2015

Markets are quiet, good for theta SPX ended the week at 2090.5 after a +0.05% for the week. RUT closed at 1202.70 gaining a good and decent +2.32%. YTD the SPX is +1.52% and RUT is -0.19%. Our Bellini portfolio is up +7.85% with just 20 days for December expiration and end of year trading.

Our open positions look as follows:

All positions look safe, with very lows Deltas.

On Dec expiries no concern,

PS RUT 930 940 05/10/2015 0.8 Delta 1
CS RUT 1270 1280 08/10/2015 0.702 Delta 2
CS SPX 2200 2210 08/10/2015 0.5 Delta 6

and on Jan16 CS 2230/40 at 0.8  with Delta 8 still looking good.

Would like to add a PS on Jan16 if we get and oversold position any time. We missed the opportunity markets gave us 12 days ago with SPX near 2000.

SPX looks moving on a range now, I would not be surprise to see the index moving further up.

RUT  is finding resistance at 1200, psycological number and previous resistance. I see the index moving up as well in the following weeks.

domingo, 8 de noviembre de 2015

Weekly Portfolio Analysis 8th November 2015

Markets still incredibly bullish makes SPX green for 5th week in a row. After not having a single Credit Call Spread I overload my portfoluio with them on the bullish maket ever! Terrible timing, and completly misjudged its direction.

Look this SPX weekly chart, no doubts:

 This week the SPX moved up +0.95% and the RUT a hugh jump up +3.26%. YTD the SP500 is now positive for the year +1.96% and Russell 2000 -0.41%. Our Bellini portfolio is up +4.856%.

I traded another Dec15 Call Spread, SPX 2200/10 that looks now too close to current prices for 0.5 credit.and Delta 7

The rest of the portfolio stays as last week.

November: 12 days left for expiration

SPX 1560/70 nothing to say.
RUT 1240/50 is looking very dangerous at current 1200 RUT level. Delta is 9 but if we have another spike in the index will need to be defended and is a shame at 2 weeks to be a winner.

December; 41 days left

RUT 930/940 no concerns
RUT 1270/80 still looking ok but the Index is waken up. Delta 3, 97% prob expires out of the money.
SPX 2200/20 93% prob of success

January 2016

SPX 2230/2240 just 87% ending succesful

The markets looks as follow

SPX is finding resistance at current levels, how erver after Friday SPX has gain momentum

RUT, incredible bullish both monday and Friday, looks like 1200 is about to be smashed

My plans for the week defend positions accordingly


domingo, 1 de noviembre de 2015

Weekly Portfolio Analysis 2nd november 2015

SPX made a stong move up after FED words and end the week falling a bit makeing a +0.20% week, while RUT fall -0.36%

As SPX kept on the raise I decised to adjust th call spred Dec15 2155/65 for a lost 1.9 (Sold this for 0.8 credit October 8th.) So 1.1 lost here, the Delta was at 20 but was not happy with the state of the bull force so wanted to close it before getting in real trouble. 

So YTD the SP500 is up +0.20%, Russell 2000 is down -3.56% and our Bellini portfolio is up just +4.8557%.

I am convinced to open a new Dec15 Iron Condor to offset most of the lost, and try to safe the year with an OK result. So aiming to get a 0.80 premium on 2200/2210 1870/1880 IC.

I also opened fris new position on 2016, a CCS Jan16 SPX 2230/2240 for 0.80 with a 6 Delta

So currently positions look now safe over 90% probability of ending out of the money.

November, with 20 days left, we got SPX 1560/1570 no concern, and RUT 1240/1250 looking good at Delta 4 and index current 1161 level.

December, with 49 days left after the adjustment is left with IC Russell 930/40 1270/80 and Delta 3.

January, 77 days left SPX 2240/30 and Delta 6, still too long in time to know how would it work.

VIX is showing low volaitility and would not be surprise to see bouncing up a bit next weeks

SPX is overbought and would make a rest soon, for the time being it looks very stong and ready to get to all time highs

On the other hand Russell 2000 has been lagging behind and trading bellow resistance at 1180