- Details
- Written by Dr. Duke
- Category: Dr. Duke's Blog
- Hits: 2602
Intel and J P Morgan reported better than expected earnings last night, but that didn't seem to be enough for the markets today. The Consumer Price Index only increased 0.1% in December and the Consumer Sentiment Index was essentially unchanged. So the mystery is why did the profit taking take hold today? Trading volume was over 1.4 billion shares on the NYSE, but option expiration probably accounts for much of that volume. The markets opened down and traded down until just before noon, when buyers returned to the market and recovered some of the losses. RUT closed down $8 at $638 while the SPX dropped $12 to $1136. However, today's move leaves RUT and SPX firmly within the sideways channel they have been in since the last week of December, so a new correction or downward trend has not been defined by today's move.
My Feb RUT iron condor now stands at +$1,080 with a position delta of -$30 and theta = +103. Next week will be filled with earnings announcements, so it will be interesting to see if the market has any strong reactions as those play out.
- Details
- Written by Dr. Duke
- Category: Dr. Duke's Blog
- Hits: 2632
The markets traded down for the first hour or so this morning, and then strengthened and slowly gained throughout the afternoon to close with modest gains. The relatively low trading volume of the past few sessions continued today. Retail sales decreased in December and unemployment claims rose, but the market seemed unconcerned. RUT closed up $3 at $646 and the SPX traded up $3 to close at $1148. Many economic reports are due tomorrow; coupled with expiration Friday that may make for a volatile market.
When the market appeared weak this morning, that looked good for my January condors because I didn't want to close my 660/670 calls (I was trying salvage as much profit as I could from a difficult month). But, as the markets strengthened, I closed the 660/670 calls for $0.10 and allowed the 580/590 put spreads to go into expiration to expire worthless. Thus, my low probability RUT iron condor finished essentially at breakeven with +$370 (7%) and the high probability RUT condor finished at +$2,240 (14%).
The Feb RUT iron condor stands at a P/L of +$760, delta = -$66 and theta = +$103. This blog trading account is now up 38% since we started this experiment last May.
- Details
- Written by Dr. Duke
- Category: Dr. Duke's Blog
- Hits: 2367
The markets opened down a bit this morning and then started trading steadily downward from about 11:30 ET through the rest of the day. Even a weak dollar didn't seem to help. Some analysts attributed this to Alcoa's disappointing earnings report last night, but that just seems like rationalization to me. RUT fell nearly $9 to close at $636 while the SPX closed at $1136, down almost $11. On the positive side, trading volume was below one billion shares on NYSE where the average trading volume last year was about 1.4 billion shares, so this doesn't appear to be a major institutional sell-off.
This move downward positioned all of my condors back close to delta neutral positions. The low probability Jan iron condor on RUT stands at a P/L of +$320 with delta = -$5 and theta = +$158. The high probability Jan iron condor on RUT stands at a P/L of +$2,140 with delta = -$10 and theta = +$315. The call spreads of these condors now stand at 2.5 standard deviations OTM while the put spreads are over four standard deviations OTM. If these spreads remain outside two standard deviations OTM, I will allow them to expire worthless.
- Details
- Written by Dr. Duke
- Category: Dr. Duke's Blog
- Hits: 2673
The markets dropped at the open this morning, but before the first hour of trading was over, the indexes turned upward and steadily rose all day long. The major indexes recovered all of yesterday's losses, and the Dow exceeded the highs for the new year set on Monday. RUT and SPX closed just shy of their Monday highs. However, the low trading volume continues, so it is hard to place too much weight on today's gains. It appears the markets are trapped in a narrow trading range without sufficient conviction to break out in either direction.
My short term RUT January iron condor stands at a P/L of +$290, delta = -$35, and theta = +$424, while the long term (51 days) RUT Jan iron condor stands at a P/L of +$2,080, delta = -$70 and theta =+$848. The call spreads remain just outside of two standard deviations OTM. Unless RUT trades downward tomorrow, I will close those spreads rather than allowing them to go into expiration. The Feb RUT iron condor closed at a P/L of +$880, delta = -$57 and theta = +$94.
- Details
- Written by Dr. Duke
- Category: Dr. Duke's Blog
- Hits: 2618
The futures suggested a strong market before the open this morning, but that didn't materialize as stocks largely traded sideways all day. There isn't much news to move the market this week; Alcoa announces earnings this evening, but the earnings reports likely to move the market don't begin until next week. Alcoa was one of only a few stocks to move up in today's market. RUT closed unchanged at $644 while the SPX inched up $2 to $1147.
My short term condor for January has almost moved into the black with a P/L of -$140, delta = -$73 and a theta of +$313. The Jan longer term or high probability condor stands at a P/L of +$1,220 with delta = -$145 and theta = +$626. These positions are enjoying huge theta decay at this point! Our Feb RUT iron condor stands at +$700, delta = -$42 and theta = +$85. Boring markets make for happy iron condor traders.
