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.

2 comentarios:

  1. I am also waiting for an overbought or oversold condition in SPX or RUT. I sold some spreads on SPX on Nov 13th when it was oversold. RUT was borderline oversold on Nov 13th too but I was not sure if it would go lower so I did not sell any spreads. I missed a good opportunity. But I will be patient and wait since we are in no man's land right now. If I was going to sell spreads right now, I would sell long-term iron condor that is as far away from the current prices of RUT and SPX as I can.