Closing June trades

Time to do a little catching up with the blog. I've been doing little adjustments here and there, and closing out June trades when possible.

First up is my COST butterfly. COST has been a true roller coaster. At first I was -25% down (at my max loss) on May 23rd, then earnings came out on 5/28 dropping the vols and putting me only down 10%. It then was fairly calm until June 4th when COST made a big move down at the open and put me down 17%. I tried not to over-react and overtrade, and later in that same day I was essentially flat. I finally closed the trade 7 days later on 6/11 with a 12.2% gain. From -25% to up 12%. Nice recovery.

TEVA didn't work out as well. Three days after I put on this trade, TEVA went from totally channelling to climbing 11% in 3 weeks. I tried rolling some of the shorts from 45 up to 47.5. It helped slow the bleeding, but not enough to save the patient. I closed this trade out on Wednesday 6/10 for a -14% loss.

I had a bull put vertical (put credit spread) on MA. It's been a little rocky, but finally closed out on Wednesday for a 12.1% gain. This trade took a while, 30 days. I had 8 other such verticals on and they closed in 6-22 days, with an average of 12 days, so 30 seemed like eternity.

Out of my 9 verticals for the month, 7 were profitable, 1 took a loss, and 1 was a scratch. The winners averaged 9.8% return and the loser was -14%. I think the reason for the winning percentage is that all but one were bull put verticals and the market was running up hard. I'm not so sure how this would work if the market was a little more sideways.

My RUT high prob iron condor didn't survive the big runup too well. I still have some call credit spreads on (short the 570's). Last Friday I was concerned about what might happen over the weekend, so I hedged with a July call. It was very expensive and would completely save me if we ran up, but if we run down, it kills any profit. And that's essentially what happened. At one point I was up 7% and I'm now only sitting at 1%. I'm still trying to buy back the calls for $0.10 but not filled yet. I'll have to go back and backtest this trade to see what would have happened if I treated this as a "no-touch" HP like I would normally do, as opposed to all the adjustments that I did during the month.

I still have two trades on that I'm carrying to expiration. My SPX calendar and a RUT low prob IC. The SPX calendar, day for day, has never showed a profit. It's kind of an insurance policy and my only positive vega trade for the month. It started out as a single calendar at the 915 strike, one day later turned into a double calendar by adding the 850 strike, 12 days later taking off the 850 strike which then left me with the original 915 strike single calendar and a realized loss on the 850 calendar. My upper break even is at 940 and we've been riding that line for two weeks, with an excursion to 956 on Thursday 6/11. Yesterday I decided that I didn't want to take this trade off yet in case of a pullback. It seems that 950 is an area of resistance, and if we pull back some, this trade could turn profitable. In order to cut my deltas slightly, I added another calendar at the 950 strike. The June 950 still had over $8 in time premium, so it seemed like a good idea. In looking at it, it doesn't really cut my deltas much, but definitely moves the profit window over the range that we've been trading for the last two weeks. And with the strong resistance at 950, I guess I didn't want to be completely delta neutral, but rather lean a little short.


When I last wrote about my RUT low prob IC, just over one week ago, I had a tiny loss. That's turned around with the beauty of time decay, I'm up 15%, and because deltas are essentially zero, we'll let this ride out a tiny bit, and close out sometime next week.