Friday's close broke the four day losing streak for major indices, but the broad market still incurred the steepest weekly loss since the end of January.
After a volatile trading week, Friday was a mellow trading day, allowing investors to catch their breath. The release of Janet Yellen's prepared remarks induced a "mini"- rally the last 15 minutes of the day, allowing major indices to close in the green.
Below is the current open position status:
SPX Weekly Iron Condor
This April 1 weekly position was opened Friday; trade details are:
SOLD SPX April 1 2100 Calls, credit $1.25. Delta of short call: .10.
BOUGHT SPX April 1 2110 Calls, debit $.50.
SOLD SPX April 1 2005 Puts, credit 3.30. Delta of short put: -.13.
BOUGHT SPX April 1 1995 Puts, 2.40 debit.
Order was filled as an "Iron Condor" for $1.65 net credit (all four legs).
Margin/Risk is calculated by the width of the wings ($1,000), less credit received.
Margin/Risk for this week's trade: $835.
Target Gain: 7% of margin/risk or $58.
Max loss: 10% of margin/risk or $84.
The risk graph showing the position as of the close is below:
SPX April 1 Weekly Iron Condor
SPX closed Friday at 2061, up 4.87 points or .24%. The index was down 2.2% for the week. As of the close, the open position is +$40; the current debit to exit is $1.25. The position is nicely centered and flat delta, so target gain remains at 7% of the margin.
The SPX chart is below showing the short strikes:
SPX 6 month chart
RUT April Iron Butterfly
This monthly position on RUT was opened Thursday, March 19; details follow:
Original Iron Butterfly Position:
- SOLD RUT April 1250 Calls, 20.70.
- BOUGHT RUT April 1300 Calls, 2.60
- SOLD RUT April 1250 Puts, 19.80
- BOUGHT RUT April 1200 Puts, 7.00
Order was filled as an "Iron Condor" for $30.90 net credit (all four legs).
Additional Order to Cut Negative Deltas on Upside:
- BOUGHT RUT April 1310 Call
Order for extra long call was filled for $1.35.
The day after trade entry, RUT hit the upside adjustment and the call spreads were rolled 20 points. The adjustment details are:
RUT Upside Adjustment March 20
BOUGHT RUT April 1250 Call, 26.20 debit.
SOLD RUT April 1300 Call, 2.90 credit.
SOLD RUT April 1270 Call, 13.80 credit.
BOUGHT April 1320 Call, .70 debit.
Net debit (all four legs): $10.20
The market reversed to the downside, and the first downside adjustment trigger was hit. The put spreads were rolled as follows:
Downside Adjustment March 25:
BOUGHT RUT April 1250 Put, 23.75 debit.
SOLD RUT April 1200 Put, 7.70 credit.
SOLD RUT April 1230 Put, 15.40 credit.
BOUGHT April 1180 Put, 4.90 debit.
Net debit (all four legs): $5.55
The sell-off continued on Thursday, and the position was adjusted to the downside once again. Details of the second adjustment:
Second Downside Adjustment March 26:
BOUGHT RUT April 1230 Put, 20.30 debit.
SOLD RUT April 1180 Put, 6.60 credit.
SOLD RUT April 1210 Put, 13.00 credit.
BOUGHT April 1160 Put, 4.00 debit.
Net debit (all four legs): $4.70
Below is the risk graph of the adjusted position as of the close Friday:
RUT April Iron Condor:
The position is now a 60 point wide Iron Condor, with short call strikes at 1270, and short puts at 1210. It is -$(149) as of the close Friday. There are no further adjustments planned for this position; it will remain open as long as RUT stays between the short strikes and the pre-set max loss is not reached. While target gain as per the guidelines is 5% of the gross margin or $250, I will evaluate as time progresses whether to exit the position for a reduced gain since it has been adjusted three times.
The RUT 6 month chart is below indicating the short strikes:
RUT 6 month Chart:
RUT closed Friday at 1266.37, slightly below the intra-day all time high of 1267, or up .92% for the day.
For those unfamiliar with the strategy, the trade management guidelines were updated on October 22, 2014, and can be found here:
Link to Articles
Next week brings quite a bit of economic news; and the trading week is shortened by the Good Friday US Holiday. The weeks' events also include a flurry of Fed Speakers. A recap is below:
8:30 am Personal Income & Outlays
10:00 am Pending Home Sales Index
10:30 am Dallas Fed Manufacturing Survey
9:00 am Fed Loretta Mester Speaks
9:00 am Fed Jeffrey Lacker Speaks
9:00 am S & P Case Shiller HPI
9:45 am Chicago PMI
10:00 am Consumer Confidence
Fed Dennis Lockhart Speaks (no time published)
Fed John Williams Speaks (no time published)
8:15 am ADP Employment Report
9:45 am PMI Manufacturing Index
10:00 am ISM Manufacturing Index
10:00 am Construction Spending
10:30 am EIA Petroleum Status Report
8:30 am Jobless Claims
8:30 am International Trade
8:30 am Janet Yellen Speaks
10:00 am Factory Orders
Markets Closed; US Holiday
8:30 am Employment Situation
8:30 am Fed Narayana Kocherlakota Speaks
12:30 pm Fed James Bullard Speaks
Position updates will be posted as appropriate.
As always, stay keen on your risk management and trade carefully,