Head scratching at the trade desk, no longer bullish but still delta positive

The moves have been radical and sustained. Not my best work, but I move along.

Well, I did alright with the move down this week. I even called the afternoon the down move would start. But this market doesn’t like to give up money easily. And I wasn’t positioned with with much size. Also, my normal trading style doesn’t perform particularly well when we move up 7 of 8 days in a row, followed by down 5 of 6 days in a row. Especially when the move is 100 SPX points. One of these days I will figure it out.
I did well for the week, and was up 2%. I am slightly disappointed I didn’t do better. I guess I shouldn’t be too disappointed, as I am on the hill teaching 5 days (Thur-Mon). I am adding some directional plays to my portfolio, however the bulk of my trading remains Calendar spreads in Equities, selling OTM spreads in indexes, and butterflies to take advantage of volatility.
We knifed through the uptrend line @ SPY 88 on Monday and I didn’t add short exposure. It would have been easy to do. I could have added some butterflies, or sold some OTM call spreads. But alas no. I used it as a time to start getting my portfolio delta neutral (probably the right play at the time). And when we broke down, we broke quickly.
Brian Shannon gives a good overview

I added substantial exposure in the form of Calendar spreads In the SPY 86-88 range. Some of my new entries included:
CREE 17.5c
CTXS 22.5c
DOW 15p
DTV 22.5c
KLAC 22.5c and 20p
NBR 12.5c
TEVA 42.5c
I sold or rolled:
KR – Jan/Feb 25p calendar for a 80% profit
HBR – 27.5c Jan to Feb for .80cr, 25p Jan to Feb for .55cr. Both have an Apr option as the back month.
Other long entries today included:
AOD – 1 of 4 tranches of stock
PFN – 1 of 4 tranches of stock
ASH – short Apr 10/7.5p
MDR – short Feb 10/7.5p
PGH – short Apr 7.5p
XLF – short Mar 10p
SPY – short Feb 83/81
So the question remains… do we breakdown or stay within our very large trading range. I think we get the range, but more downside is very possible. SPY 82 looks pretty critical to me. I am planning on adding long stock in a number of Close-ended funds with high effective dividends selling at a substantial discount to NAV. I am also looking for interesting calendar and butterfly candidates.
Because I am a little ticked with my trading, I thought Angry Johnny was appropriate.

At this moment I am not positioned very well for a hard down move. A reflexive move up would do me a world of good. The past 2 months have seen a number of trades get away from me. I think I have learned from those lack of discipline losses, but it doesn’t make them any easier to take.
SAI – 100% winner, nearly worthless. Moderately sized position
TLT – didn’t get out on the breakout. Small position
FPL – let it run against me. Small position
ADP – let it run against me. Small position

Leave a Reply

Your email address will not be published. Required fields are marked *