Weekly Update 2/27/10

Overall it was a good week for my accounts which had a gain of 1.1%. The PCCRCs struggled with VIX falling below 20 but the condor and butterfly worked as a good Vega hedge.

OEX 2.5 Day IC

OEX was up 0.76 to 506.06 and only had a 4 point range on the day so there never was much of a threat to my 2.5 day IC. All the options expired worthless and the position made 6% overall.

RUT Iron Fly

The RUT Iron fly gained 3% Friday and is down 6% overall. The extra call has lowered the position Vega keeping it from gaining too much from the recent fall in IV.

HAS PCCRC

The HAS position gained 1% Friday but is down 5% overall. The long calls' IV showed a gain of 3.5% on Friday which should get normalized on Monday and give some of today's profit back. The underlying is right in the biggest dip of the expiration risk graph right now, so it would be nice if HAS would move a few points from here (either direction).

FDO PCCRC

The FDO position was down 6% Friday and 13% overall. The only good news is that it is the smallest position of all. FDO also is right in the big dip in the risk graph and needs a move also. I will watch this one and plan to close it next week if the loss reaches 15%.

AAPL PCCRC 

Despite AAPL moving the right direction (up 2.62), the AAPL position lost 1% Friday and is down 8% overall. Both long options have lost over 4% of their implied volatility and this one will not turn profitable unless that turns around.

CREE PCCRC

The CREE underlying is also right in the middle of the big dip in the expiration risk graph, yet CREE's IV has risen 7% in the longs, giving a completely different look to the risk graph compared to the other 3 PCCRCs. CREE was flat Friday and is up 26% overall.

New 2.5 Day IC Threatened

OEX 2.5 Day IC

I opened a 2.5 day IC in OEX yesterday around midday. The IC received a 0.30 credit and the short strikes are at 520 and 495. Today the downside was threatened early in the day and the position was showing a significant loss. The stop point was not hit, however, and at the end of the day the overall position was up 5%. It will take a greater than 1 sigma move tomorrow to keep from reaching the maximum profit on this position.

RUT Iron Fly

The move down by the market in the morning helped the RUT position, but by the end of the day the market was only down a small amount and the RUT fly was up a small amount. It ended up 1% on the day and down 9% overall.

HAS PCCRC

The HAS position took a turn for the worse today ending up down 6% on the day. HAS was up 0.32 but the culprit was falling IV which dropped more than 3% on the longs. The position is down 6% overall also.

FDO PCCRC

FDO was down 25 cents today and the position gained 3%. Overall it is down 6%.

AAPL PCCRC

AAPL rebounded from earlier losses today to end up 1.34. The PCCRC was up 0.3% and is down 7% overall.

CREE PCCRC

CREE continues to do well and the position was up 5% today while CREE 1.21 to near 67. Overall the position is up 27%.

Monthly IC Closed

It is a very busy week so updates likely be short and sweet. Since most of the PCCRCs were down and the Condors and Butterflies were up, volatility must have dropped today.

I closed the SPX Monthly IC today for 8% profit in 4 days. I had put in the order Friday and it filled today at mid price. This was one of Dan Sheridan's rules for closing a position if you get 7.5% profit in the first week. Since I am using the condors to offset the Vega risk of the PCCRCs, I will look at reopening another one next week with quarterly options.

The HAS PCCRC gained back the loss from Friday and is back to flat overall. The relative low volume of these options looks to be affecting the quotes and how often they are updated.

The FDO position was down a couple of percent even though FDO was down 0.12. This one doesn't seem to be working.

AAPL and CREE PCCRCs were also down a percent or 2. AAPL stock dropped to 200 while CREE was up 0.59, so it looks like they were a victim of falling IV.

The RUT Iron Fly was up a small amount, but is still down overall.

Hedge Added on RUT Butterfly

RUT Monthly Iron Butterfly

RUT inched high enough Friday to force me to put a upside hedge on the position which was a Apr 670 call at 5.40 debit. The position lost 5% on the day and is down 11% overall and nearing the max loss point.

SPX Iron Condor

SPX was up a couple of points Friday, but despite the negative delta of the position, the IC gained another 1% and is up 3% overall.

HAS PCCRC

HAS was up .04 Friday but the position took a major hit dropping 6% to a 4% loss overall. Falling IV was the culprit. 

FDO PCCRC

FDO was also virtually unchanged Friday and the position lost 1% and is down 7% overall.

AAPL PCCRC

The AAPL PCCRC also lost 1% on falling IV and is down 4% overall. 

CREE PCCRC

The CREE PCCRC was the only PCCRC to rise in value Friday posting a 1% gain and is up 21% overall.

New Monthly IC in SPX

IV stayed low in OEX options and I was again unable to fill a short-term IC with a reasonable credit, so I will not be trading one this week. I was able to get a good fill on a monthly IC in SPX by breaking the order into individual pieces.

Monthly RUT Iron Butterfly

The monthly RUT Iron Fly lost a little more today as the RUT was up 4.49 to 629.32. It is pushing against the point where I will add a hedge (shown in the picture below), and it may happen tomorrow. The position lost 1% today and is down 7% overall.

Monthly SPX Iron Condor

I opened a 1165/1150/1035/1020 IC in SPX today for 3.8 credit. SPX was near 1101 at the time but closed up 7.24 to 1106.75. The position managed to gain 2.5% today, which is unusual for the opening day of an IC and I attribute that to the good fill I got legging in. 

HAS PCCRC

The HAS PCCRC lost 2% today and is up 2% overall. IV dropped almost 1% in the longs causing the loss.

FDO PCCRC

FDO was flat today and the position was unchanged, so I won't post a new risk graph.

AAPL PCCRC

AAPL was pretty flat also up 0.38 to 202.93. The position gained $10 and is down 3% overall. IV was down a point on the day and the risk graph still does not look great.

CREE PCCRC

The CREE position had a second consecutive losing day, albeit small at 0.5%. Overall it is still up 20% and CREE moved up over 65. The only adjustment that would lock in profits at this price level is to close the position, so I will let it run unless it bleeds a bit more. If it keeps going higher I can sell a long call or roll one to a higher strike to capture some of the gains.

OEX 2.5 Day IC Not Filled

I tried to open a 2 1/2 day Iron condor in OEX today but could not get the price I was asking. IV is down about 1% on the options compared to last week's trade. I may try again tomorrow with a 1 1/2 day version at closer strikes if there is enough premium. I also may look at a PCCRC in PCLN who is reporting after the close today.

RUT Iron Butterfly

I was looking at adjustments to the RUT Iron fly today but RUT hit resistance at 625 and backed off, relieving the pressure on the position at least during most of the day. It is usually not good to have to adjust the second day of a trade. The position ended up losing 2% and is down 5% overall. If RUT is up tomorrow I may be looking at adjustments again.

HAS PCCRC

HAS was up .40 to 35.43 today and IV rose slightly on the long options, giving the position a 1% gain and is up 3.5% overall.

FDO PCCRC

FDO hardly moved today up 0.13 to 32.42 dropping a small amount of volatility which caused a 1% loss and now is down 6% overall.

AAPL PCCRC

AAPL also went down today and IV dropped about 1% in the longs causing a 2% loss today and a total of a 3% loss.

CREE PCCRC

CREE rose 0.51 today to 63.46, but IV dropped over a percent giving the position a 1% loss and 20% gain overall.

New RUT Iron Fly

Nothing came up on the PCCRC screener today, but I opened a new RUT position and rolled the AAPL PCCRC to March. I plan to open a 2.5 day OEX IC tomorrow and a monthly SPX IC on Thursday.

RUT Iron Butterfly

I opened a 560/610/660 March RUT butterfly today for 28.40 credit with RUT at 615 (it is slightly bearish biased). I realized afterwards I did not use exactly the long strikes I had planned, but I don't think it will affect the trade that much. The goal here is 15% profit in a couple of weeks, and not losing more than 15%. The position lost 3% today.

HAS PCCRC

HAS was down 0.52 today to 35.03. The position lost 3% today on dropping IV and is up 2% overall.

FDO PCCRC

FDO was up 0.66 today to 32.29. IV fell about 1% in the longs giving it a 1% loss today and 5% loss overall.

AAPL PCCRC

AAPL was up 3.02 today to 203.40. I decided to continue the trade with the p/l at breakeven as IV is bound to start rising as we get closer to the next earnings. The PCCRC's have unlimited profit potential, so unless they are really not working, I like to try and stay in them as a big gap in the stock can mean big profits. I received a 7.20 credit for the roll of the short Feb to Mar. At the end of the day the position's p/l was flat and is down 1% overall.

CREE PCCRC

CREE was up 2.13 today to 62.95 and the risk graph continues to be all above the zero line. Profit was +2% today and +21% overall.

Weekly Update 2/12/10

No new PCCRC's were opened on Thursday or Friday although BIDU did show up on the screener as a viable candidate after earnings but a PCCRC in BIDU would require a very large position, and I chose not to create one. 

The graphs below show the profit/loss for my open positions.

SPX Monthly Iron Condor

I was able to close my SPX monthly IC Friday somewhat surprisingly as I had a limit order that filled at the mid (50% of the bid/ask) and Thursday the same order would not fill at 88% of the bid/ask. I guess that is just part of trading the SPX. The final profit on the position was 15% of the original margin requirement. I realize the margin went higher with some of the adjustments that were made, but rather than doing an average and complicating the calculation, I will just use the original and base my target and other calculations off of that.

OEX 2.5 Day Iron Condor

This position was never really threatened on Friday spending most of the day at the midpoint price of 490. The options all expired out of the money yielding a 10% overall profit.

HAS PCCRC

The HAS PCCRC was up 1% on Friday and 10% overall despite the stock being down 0.59 to 35.55.  The IV of the long options were up 2 points (which I track daily) causing the profit.

FDO PCCRC

Everything was pretty flat in the FDO position Friday with the overall loss right now at 5%.

AAPL PCCRC

The AAPL PCCRC was up 2% Friday with AAPL crossing the 200 barrier to 200.38. This is the last PCCRC to be adjusted in February, and I am waiting a little longer than normal to adjust it. I entered this PCCRC after earnings as a high flier rather than an earnings jump. The IPad was announced a few days later and I believe that pending announcement kept IV from dropping as much as normal after earnings. I will decide next week to roll or close the position, which is down 1% overall.

CREE PCCRC

The CREE PCCRC continues to be the star of the bunch and was up another 2% Friday and 19% overall. 

Update for 2/11/10

SPX Monthly Iron Condor

SPX moved up to help the position but I could not get a fill to close the IC. At one point I was .60 above the mark and within .20 of the ask but still did not get filled. I also tried breaking the order up into 2 verticals but still did not get my asking price. So I will try again tomorrow. The position was up 4% today and 13% overall. 

OEX 2.5 Day IC

OEX was up 4.29 today to 496.58. It is 8.42 points from the short call strike and 21.58 from the short put strike, so hopefully OEX will go down a little tomorrow. The profit was 1% today and 5% total with 1 day left.

HAS PCCRC

HAS was up 0.84 today to 36.14 putting it right at the bottom of the channel of the risk graph. A move either direction should result in profit. Since it is 3.64 points above the short strikes, I will sell a call if it moves much higher to lock in some delta profits. Because it ended at that dip in the risk graph, the position lost 2% today but it is up 4% overall. My only concern is the low IV of the short options which could lead to an early assignment.

FDO PCCRC

The short put in the FDO position was trading at 0.00/0.10 so I put in an order to buy at 0.05. That was filled and I had subsequent orders to buy the short call and sell a Mar straddle which were also filled. All told the adjustment was a 0.66 credit to the position reducing the overall risk. The resulting risk graph does not look that great as IV dropped a couple of points in the long options. It may have been a better idea to close this out- time will tell. Today the position was down 6% and is down 4% overall.

AAPL PCCRC

AAPL's 3+ point move today helped but more is needed to bring this one above water. I will probably decide tomorrow to close this one or roll and give it more time. The position was up 2% today and is down 3% overall.

CREE PCCRC

CREE traded through the short strike today and I rolled the shorts out to March when it did. I also considered closing the position and booking the profit as it was near 20% at the time. I received a 3.57 credit for the roll and the position was up 6% today and 17% overall. The risk graph is currently all above 0.

New OEX Iron Condor

OEX 2 1/2 Day Iron Condor

I opened an Iron Condor on OEX weekly options today with the strikes 30 points wide and shorts at 475 and 505. I received a 0.45 credit making the max profit potential 9.9%. OEX closed today at 492.29 near the middle of the range. The only adjustment I will make is closing the threatened side if OEX crosses the short strikes. After 1/2 day the position is up 3.8%.

SPX Monthly IC

The SPX monthly IC came close to closing today, but the market fell back in the afternoon keeping this from happening. The position was up 1% today and 9% overall. I will try again to close it tomorrow and should hit my profit target if the market is up.

HAS PCCRC

The HAS PCCRC was up 5% today and now is up 6% overall after 3 days. HAS is up to 35.30 giving delta gains to the position. The risk graph is already almost entirely above the 0 line.

FDO PCCRC

The FDO position was up 1% today and 2% overall. Not much happening with this one and you can see the risk graph is not as high as the HAS graph.

AAPL PCCRC

AAPL was down a point today and the position lost 1% and is down 5% overall. 

CREE PCCRC

CREE was up a half point today and the position was flat, up 11% overall.