- Details
- Written by Dr. Duke
- Category: Dr. Duke's Blog
- Hits: 1716
After the mildly positive jobs report about ten days ago, SPX tried to break through resistance at $1465 to new highs, but could not hold those levels. Ever since then, the market has been slowly deteriorating. But SPX has been testing support at $1430 over the past four sessions and it has held. Today, SPX opened at $1429, traded as high as $1441 and closed near that high at $1440. RUT ran up $5 to close at $828. And this occurred on higher volume with 2.6 billion shares of the S&P 500 stocks trading. Trading volume on the NYSE was up 9% and trading on NASDAQ was up 2%. VIX dropped almost a full percentage point to 15.3%.
Retail sales for September came in with an increase of 1.1%. The Empire Manufacturing Survey reported a drop of 6.2, but that was better than the previous month's -10.4. At this point, I'll take "less bad" as an improvement.
My Nov iron condor on RUT stands at a P/L of +$1,480 with delta = +$28 and theta = +$60.
- Details
- Written by Dr. Duke
- Category: Dr. Duke's Blog
- Hits: 1745
SPX popped up at the open today, but couldn't hold those levels. By noon it had broken support at $1430 and repeatedly tested that level all afternoon, closing at $1429, down $4. RUT was even weaker, losing $7 to close at $823. Trading volume dropped with 2.5 billion shares of the S&P 500 trading today. Trading volume on the NYSE dropped 11% and trading decreased 3% on NASDAQ. VIX increased about one half of a percentage point to close at 16.1%.
SPX closed today right at support and the 50 day moving average. The market has dropped enough at this point that one either has to say the upward trend line since June has been broken or significantly redraw that trend line. If SPX breaks support at $1430, the next support at $1420 looks pretty weak; the next solid support is around $1400. So if we can't hold $1430, we may see $1400 in short order.
The University of Michigan consumer sentiment numbers came in very upbeat at 83.1, a big jump from last month's 78.3. The PPI increased 1.1% which was lower than last month's 1.7% rise, so that was reassuring to analysts watching for signs of inflation.
I closed the 790/800 puts in my Oct condor today. This leaves the Oct 900/910 call spreads to expire worthless next weekend. Assuming those spreads expire worthless, my October iron condor will post a loss of $320 or 2% on 20 contracts. The Nov condor stands at a P/L of +$1,100 with delta = +$37 and theta = +$56.
Have a great weekend.
- Details
- Written by Dr. Duke
- Category: Dr. Duke's Blog
- Hits: 1694
There wasn't much economic news today, but that didn't stop the market from sliding further down. SPX lost $9 to close at $1433 while RUT closed down $1 at $827. Trading volume was largely unchanged with 2.4 billion shares of the S&P 500 trading. Trading volume increased 1% on the NYSE and increased 9% on NASDAQ. RUT traded down to touch its 50 dma at $825 but then bounced. SPX is nearing its 50 dma at $1426, but held support at $1430 today. Interestingly, the VIX closed unchanged on the day at 16.3%. Does that suggest the downward trend of the past three sessions is bottoming out? At a minimum, it indicates the big players are not buying a lot of protection.
The FOMC's Beige Book came out in the afternoon, but it didn't move the markets - no surprises: The economy is slowly recovering; some areas are better and some are worse, blah, blah, blah.
My October iron condor stands at a P/L of -$320 with delta = +$103 and theta = +$161. The November position is up $1,100 with delta = +$35 and theta = +$52.
- Details
- Written by Dr. Duke
- Category: Dr. Duke's Blog
- Hits: 1763
The market traded higher this morning on the back of improved unemployment claims numbers, but it didn't last. After trading as high as $1444, SPX closed at its opening price, $1433, unchanged for the day. RUT fared a little better, closing at $830, up $3. Trading volume was mixed with 2.8 billion shares of the S&P 500 stocks, above the 50 dma of 2.4B, but trading volume was down 11% on NASDAQ and up 7% on the NYSE. The VIX declined almost one percentage point to 15.6%.
Today's trading action was not bullish by far, but perhaps not bearish either. After all the bulls managed to push SPX to $1444, but they could not hold those gains; on the other hand, the bears could not break support at $1430.
The report of new unemployment claims came in at 339k, down from last week's 369k and continuing claims are 3.27 million, down 20 thousand. Maybe traders read the fine print later in the day and found out that California's numbers were not included in the report - oops! We will have to wait until next week to see if unemployment claims really declined. That may have contributed to the market taking back this morning's gains.
My Oct iron condor stands at a P/L of +$260 with delta = +$75 and theta = +$138. I will apply the two sigma rule tomorrow; it doesn't look like the 790/800 put spreads will survive that test. The Nov position stands at a P/L of +$1,260 with delta = +$27 and theta = +$58.
As long as VIX holds steady or declines (as it did today), and support holds on SPX, perhaps this market will muddle through this earnings season. But it is hard to predict what kind of bad news could pop up from Europe or if a slew of poor earnings forecasts start to take their toll.
- Details
- Written by Dr. Duke
- Category: Dr. Duke's Blog
- Hits: 1868
The traders returned from their holiday and volume shot back up to normal, but the mood turned gloomy after both the World Bank and the International Monetary Fund (IMF) forecast a slowing global economy. SPX dropped $14 to close at $1441 and RUT closed at $828, down $10. Trading volume on the S&P 500 increased from Monday's anemic levels, but just hit the 50 dma at 2.4 billion shares. Trading on the NYSE was up 37% and trading on NASDAQ increased 39% on the lows on Monday. Volatility edged up a little over one point to 16.4%; this is still a reasonably low volatility number, so traders have not hit the panic button as yet.
Alcoa kicked off the earnings season with a better than expected report, but warned that the coming quarters will be impacted by the slowing of China's economy. Rioting in Greece continues and the IMF predicts that the Greek debt will reach 171% of GDP this year and increase to 182% next year. The IMF report states that the target of the bailout of 120% of GDP will be almost impossible to reach by 2020. I cannot understand how it is that the plight of Greece and Spain has not registered on us here in the states.
My Oct condor is now under pressure again with recent market weakness; the P/L stands at -$340 with delta = +$101 and theta = +$127. The Nov position stands at a P/L of +$700 with delta = +$26 and theta = +$66.
