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.