Update 3/26/10

SPX IC

I was unable to watch the market for most of Thursday and it worked out in this trades favor because I would have closed it for a larger loss. As it turned out with the market drop yesterday and today many of the losses on this position were wiped out and I closed the entire position for a 4% loss. 

OEX IC

The 2.5 day OEX IC worked again this week as all options will expire worthless as OEX closed almost dead-center at 534.81. This trade yielded a 6% gain in 2.5 days. I do not plan on trading the OEX 2.5 day IC next week as I will not be able to watch the market.

RUT IC

The RUT IC is doing well up 2% today and 5% overall. The center of the risk graph is at 680 and RUT closed the week at 678.97.

AAPL PCCRC

The AAPL PCCRC position is up 1% over the last 2 days and is down 8% overall.

CREE PCCRC

The CREE position continues to struggle this month and was down 3% the last 2 days while up 18% overall.

WSM PCCRC

The WSM position is hanging out near breakeven and has a 1% gain overall.

Update 3/24/10

The updates may be sporadic over the next 2 weeks due to vacation time. I have opened 2 trades since last Friday.

WSM PCCRC

After a good earnings announcement on Monday, I opened a PCCRC in WSM. The only criteria it failed was the price was <30, but that criteria is mainly to keep commissions down. I was filled at 8.30 debit for the Apr/Aug 25 strike and so far the trade has hovered near breakeven.

OEX 2.5 Day IC

I opened an IC in OEX today and got a good fill of 0.30 on TOS (mid was 0.25 right after the fill). The short strikes are at 525 and 545 and the trade was up 2% today with OEX staying nearly centered at 534.44.

RUT IC

With the drop in the market today the RUT IC was up 1% and is up 3% overall.

SPX IC

The SPX IC benefited the most from the market fall today, although this trade will be lucky to reach breakeven. Today the position was up 8% and overall it is down 11%.

CREE PCCRC

Both CREE and AAPL's earnings are scheduled to be after the market on April 21. So that is after this month's shorts expiration. I will have to look closely at the position before deciding whether to roll to May, which would only be for a few days, but that may be beneficial depending on what happens to IV between now and then. Today the CREE position lost 1% and is up 20% overall.

AAPL PCCRC

The AAPL position finally had a good day and was up 2%, however it is still down 9% overall.

Update 3/19/10

SPX IC

With the market moving down the SPX IC had a good day with a 6% gain today. It is down 8% overall.

OEX IC

The OEX IC got to within 3 points of the short put, but bounced from there yielding the full gain of 7.5% for the 2.5 day trade.

RUT IC

The RUT IC did ok in the down market today up 1.8% and up 0.4% overall.

AAPL PCCRC

The PCCRCs did not do as well and AAPL dropped 2.4 points on the day. The position was down 0.5% today and is off 10% overall.

CREE PCCRC

The CREE position was down 1% on the day and is up 22% overall. I am thinking about closing this one if the profit continues to go down. Hindsight says I should have closed it when it was up 30%.

Update 3/18/10

SPX Monthly IC

The SPX IC made 4% today and is now down 11%. The adjustment flipped the VEGA from negative to slightly positive, which somewhat defeats one of the purposes of having the ICs with the PCCRCs, that is balancing the VEGA. I added a RUT IC today to help with that.

OEX 2.5 Day IC

The OEX IC went to almost max profit today and is up 6.5% with one day to go. It should be in good shape being 8 points from the short put and 12 points from the short call.

RUT Monthly IC

I finally got filled on a RUT IC with the short strikes at 640 and 720 for a 3.25 credit. The position is flat so far.

AAPL PCCRC

Not a lot of movement in the AAPL p/l, it is down 9% overall after losing 1% today.

CREE PCCRC

This one lost 1% and is up 23% overall.

Update 3/17/10

Monthly SPX IC

SPX continued to move up today and I made an adjustment by buying an APR 1200 C for 4.90. The position is down 14%.

OEX 2.5 Day IC

I opened a 2.5 day IC in OEX today with short strikes at 525 and 545 for a credit of 0.35. The position was down 0.5% today but OEX is in the center of the risk graph right now.

AAPL PCCRC

I made several adjustments to the AAPL position today including rolling the shorts to Apr and rolling a long call to the 220 strike.  Here is the prior position:

This shows the position after rolling to April:

Note the leftward sloping current time line above. Adding the long call roll to the 220 strike levels that out and  makes the downside part of the graph look much better:

The AAPL position was up 1% today and down 8% overall.

CREE PCCRC

No adjustments for CREE, and the position was flat, still up 24%.

Update 3/16/10

Monthly SPX IC

SPX rallied today causing the position to get close to an adjustment point. After looking at some possible adjustments, I have determined that there is not enough contracts to make an adjustment with 25 point wide strikes, so instead I will adjust by closing the threatened side. The position is down 11%.

AAPL PCCRC

I did not do anything on the AAPL position today and it is now down 9% overall.

CREE PCCRC

I made another adjustment by rolling a second long call from the 60 strike to the 75 strike for an 8.30 credit. Here is the risk graph without those adjustments:

Here is the risk graph with the adjustments:

The adjustments protect the profits if CREE moves back lower. The CREE position is up 23%.

I will be looking for an OEX 2.5 day IC and a monthly RUT IC tomorrow.

Update 3/15/10

Monthly SPX IC

With the market down today the SPX IC gained back about half of the losses and was up 3% on the day, down 3% overall. The plan is to make an adjustment if SPX hits around 1160 and to close at a profit level around 12%.

AAPL PCCRC

The AAPL position was down another 2% today. I still haven't decided whether or not to roll the shorts to April. My rule says do not roll if the position is a loser, but I do not see much additional risk if I do roll, and there is a good chance IV will pick up in April with earnings coming.

CREE PCCRC

I rolled the CREE shorts from Mar to Apr today getting $1.15 credit. This reduces the overall risk on the position which was down today, but is up 24% overall. I also had an order in to roll another long call from 60 to 75 to reduce the downside risk, but it did not fill.

Monthly RUT IC

I put an order in for a monthly IC in RUT (Apr) today, but I did not get filled at my limit price. I will try again tomorrow.

Update 3/12/10

Monthly SPX IC

SPX closed the week at 1150 and is within about 5 points of requiring an adjustment on the calls. The position is down 7% at this point.

OEX 2.5 day IC

On Wednesday I opened a IC in OEX with short strikes at 515 and 535. I received a .25 credit and the position expired out of the money today for a 5% gain.

HAS PCCRC

I adjusted HAS Monday by selling one of the long calls. The position before the adjustment:

The adjusted position:

This locks in some of the gains in case the underlying moves back lower. 

Friday I looked at rolling the shorts to the next month but since the position was not profitable I chose to close the position. The final tally was a 5% loss.

FDO PCCRC

A similar path was followed on the FDO PCCRC. First I did an adjustment to lock in delta gains. Then I ended up closing the position Friday. The risk graph prior to the adjustment:

The risk graph after the adjustment, note mark is near the bottom of the U shape of the current risk graph meaning profit will go up if the underlying moves either way:

The adjustment this time was rolling to a higher strike since I only had one extra call. The final tally of FDO was a loss of 4%.

AAPL PCCRC

AAPL is still not cooperating and I attribute it to the poor entry time. I have not rolled it to Apr as I am waiting for some more premium to decay and will likely close the position rather than rolling. Currently the position has lost 7%.

CREE PCCRC

CREE is still doing well. I have an order to buy back the short puts at 0.05 and once it executes I will roll the position to Apr. The position is up 28% currently.

Thursday, 3/4/10 update

I was unable to look at the market yesterday at all, so I made no trades and also did not have time to post an update. Today I tried to fill an OEX 1.5 day IC but did not get a fill. I did, however, open a new monthly SPX IC. I was filled immediately on a 1025/1050/1175/1200 IC for 3.05 credit. This was the mid price at order entry, but an immediate fill always make me think I could have got a better price. The position ended up down 0.7% although it was profitable for most of the day.

HAS PCCRC

HAS was up 0.40 today to 36.73 which is 4 points above the strike price. I am considering an adjustment to lock in some Delta gains buy selling one of the extra long calls which will be shown in the second picture below. The position lost 1% over the last 2 days and is down 7% overall. 

FDO PCCRC

FDO made a huge jump today up 8% to 35.24. This brought in 4% profit over the last 2 days but the position is still down 5% overall.

AAPL PCCRC

AAPL closed at 210.71, a good place for my position, but the options have lost 2% over the last 2 days and 9% overall.

CREE PCCRC

CREE closed at 69.07 and the position gained 3% today and 30% overall. The risk graph looks good on this one for now so no adjustments will be made unless CREE goes higher.

Tuesday 3/2/10 update

All I have going right now are PCCRC positions and they did surprisingly well today considering the market was up and VIX was down to near 19.

HAS PCCRC

The HAS position gained 2% today and is down 6% overall. HAS was up 0.55 and now sits 3 points above the short strike price. IV was up about 1/2 point on the longs today giving the gain but it is down about 1.5 points since opening the position. 

FDO PCCRC

The FDO position was flat today and is down 9% overall. FDO rose 0.23 to 32.95 while IV was up about 0.2 on the longs. Like HAS, IV is down about 1.5 points since opening the position.

AAPL PCCRC

AAPL was flat today while the AAPL position gained 0.5% and is down 7% overall. IV on the long AAPL contracts was flat today but have lost 5 points since the position open. If I had waited until after the IPad announcement that would have helped some, but IV in AAPL has dropped to the lowest level in a year, which I will show in the second graph. the hope is this will turn around prior to the next expected earnings around 4/26.

CREE PCCRC

CREE was down 0.70 today but the position was up 1% and is up 27% overall. IV on the longs is up over 8 percent since the opening trade. If IV approaches 50% I will be closing this trade and collect the profits.

Monday, 3/1/10 Update.

CREE PCCRC

CREE was up 1.88 to 69.71 today and I made an adjustment on the position. The risk graph was getting steeper and a decline in the underlying would take away some of the profit, so I rolled one of the long calls up to the 75 strike. Below is the risk graph before the adjustment.

The 2nd risk graph is after the adjustment. Note how the current day graph is flat and goes up on either side if the stock goes up or down. The position ended up down 2% today but up 26% overall.

RUT Iron Butterfly

The RUT Iron Fly hit the max loss point today and I closed the position with a 20% loss.

HAS PCCRC

HAS was up 0.28 today to 36.06. The position lost 3% today and is down 8% overall.

FDO PCCRC

FDO was down 0.27 but the position gained 4% and is down 8% overall.

AAPL PCCRC

AAPL was up 4.37 to 208.99 near the short strikes at 210. If IV goes back up this one could recover nicely. The position was flat today and is down 8% overall.