- Details
- Written by Dr. Duke
- Category: Dr. Duke's Blog
- Hits: 1809
Many traders, including me, have been expecting a big sell-off, but this market has held up pretty well. Even with the past few days of sideways trading, each time the bears tried to pull the markets down, they were rebuffed. Today was no different with SPX trading as low as $1397, but recovering to close at $1404, down $2 on the day. RUT lost $2 to close at $799. Trading volume continued to drop from last week's low levels with only 1.8 billion shares of the S&P 500 stocks trading today. The only time this year that trading volume has been that low was the half day of trading before the July 4th holiday. Trading volume on the NYSE was down 13% and trading on NASDAQ was down 14%.
The VIX hit a historic low today; it closed at 13.7%. VIX has not closed at a lower value in all of 2011 and 2012. This seems to suggest a very high level of complacency - contrarians may regard this as a danger signal.
My September iron condor on RUT stands at a P/L of +$480 with delta = -$80 and theta = +$89. Dropping IV has improved the position a bit. The call spreads are about one standard deviation OTM. This position is now 38 days from expiration; at this point, time is beginning to be on our side. If the news headlines continue to cooperate, maybe this market uptrend will continue higher. But I think it is fragile; be careful out there.
- Details
- Written by Dr. Duke
- Category: Dr. Duke's Blog
- Hits: 1716
The Standard and Poors 500 stock index (SPX) traded down a bit to $1396 during Friday's trading, but recovered to close at $1406, up $3. So SPX remains right at the resistance set back in May. RUT lost $1 to close at $802. Trading volume fell off with only 2.0 billion shares of the S&P 500 stocks trading. Trading on the NYSE dropped 11% and trading volume on NASDAQ decreased 7%.
There weren't many headlines or economic reports to move the markets Friday, so the debate about this market continues. The one camp sees no basis for the recent rally and expects a significant pullback any day. The other camp simply points to the chart and the pattern of higher highs and higher lows. SPX has been trading sideways since reaching this $1405 area earlier this week. A decisive break-out above $1407 would be very bullish. The bears tried to sell the market earlier Friday and traded SPX down to $1396, but could not hold it. So significant bullish support remains. Is this based on expectations that the Fed will announce another round of quantitative easing in September?
My Sept RUT iron condor position stands at a P/L of +$340 with position delta = -$80 and position theta = +$79 on 20 contracts.
Enjoy your weekend.
- Details
- Written by Dr. Duke
- Category: Dr. Duke's Blog
- Hits: 1875
The markets slowed their upward surge today, but this may just be a breather on the march upward. SPX gained $1 to close at $1402 and RUT lost $1 to close at $800. SPX can't seem to decisively break through the May highs of $1405, but it is too early to count it out. SPX is standing on the doorstep. Trading volume backed off today with 2.3 billion shares of the S&P 500 trading. Volume dropped 12% on the NYSE but only decreased 1% on NASDAQ. VIX closed at 15.3%; one has to go back to March of this year to find lower values of VIX.
I closed the 850/860 call spreads of my Aug iron condor on RUT today for $0.10. Assuming the 650/660 put spreads expire worthless in about 10 days, the August position gains $2,420 on 20 contracts or 14.5%. This brings the year to date gains for the Flying With The Condor™ to 39.7% as compared to the S&P 500, up 11.4%. My Sept RUT iron condor stands at break-even with position delta = -$82 and position theta = +$81. This position still has 43 days to expiration, so we are just getting started. The fact that delta and theta are of the same magnitude shows the pressure on the call spreads by the recent upward trend. The Sep 850 calls have a delta of 15, so we are still a ways from needing to adjust this position.
- Details
- Written by Dr. Duke
- Category: Dr. Duke's Blog
- Hits: 1805
We traders have become jaundiced over the past few years. The markets have been extremely volatile. We jump on the run upward and it turns and runs us over the next day; and then while we are still licking our wounds, it turns back upward. So it isn't too surprising that the current topic of discussion is whether this rally is sustainable, or simply: Is it safe to get on board? Today's market just chopped sideways without much net progress in either direction. SPX gained $1 to close at $1403 while RUT gained $3 to close at $803. Trading volume fell off to 2.2 billion shares of the S&P 500; trading volume dropped 11% on the NYSE and dropped 10% on NASDAQ. VIX was unchanged at 15.3%.
SPX appears to be trapped just below the resistance set in early May around $1405. By contrast, RUT is not even close to its May highs at $826. I find it hard to rationalize further moves higher, but you can't argue with the tape. That is why I closed the call spreads of my August condor even though we still had a $50 cushion to the upside. In a similar vein, I entered a contingent stop order to protect the profits in a GOOG put spread that is up about 30%.
Initial unemployment claims came in about six thousand lower at 361k, while continuing unemployment claims actually increased by 53k to 3.3 million. One more mediocre economic data report to put on the pile; it truly is the slowest economic recovery on record... and the market is trading higher.
My September iron condor on RUT stands at a P/L of -$160 with delta = -$87 and theta = +$87. The 850/860 call spreads are about one standard deviation OTM with a delta of 15, so it is tight but not yet close to an adjustment.
- Details
- Written by Dr. Duke
- Category: Dr. Duke's Blog
- Hits: 54785
The markets marched on to set new highs today, seemingly in the face of many serious economic issues. SPX closed at $1401, up $7 while RUT tacked on $7 to close at $801.Trading volume bounced back upward today with 2.5 billion shares of the S&P 500 trading, but the 50 dma = 2.7B. Trading on the NYSE increased 14% and volume increased 24% on NASDAQ.
SPX broke the highs from early May ($1405) and traded as high as $1407, before being slowly pulled back to its close at $1401. Similarly, RUT hit a high of $806 before pulling back. Resistance on RUT's chart can be found in the area of $808 to $810.
My Aug iron condor at 650/660 and 850/860 stands at a net gain of $2,380 on 20 contracts with delta = -$20 and theta = +$67. My Sept iron condor on RUT at 650/660 and 850/860 stands at a P/L of -$580 with delta = -$91 and theta = +$82. The Sept 850 calls are feeling the pressure with delta = 17.
Did any of you play the straddle on PCLN today? The stock has lost over $105 in after hours trading; the straddle had priced in a $53 move. Owning stocks is dangerous these days.
