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- Written by Dr. Duke
- Category: Dr. Duke's Blog
- Hits: 1963
Today was "quadruple witching", meaning stock index options, stock index futures, stock options, and single stock futures all expired today (technically, tomorrow, but...). Traditionally this results in a large volume spike but today's volume appeared to be even larger than normal. Trading in the S&P 500 stocks spiked up to 4.8 billion shares, way above the 50 dma at 3.7 billion shares. Trading volume on the NYSE jumped 53% and increased 40% on NASDAQ. But the markets ended the day largely unchanged with SPX at $1244, up $1 and RUT closing at $780, up $3.
Other than earnings reports from RIMM and Oracle, there wasn't much economic news today. The leading indicators for November came in at +1.1% and this was a favorable surprise to analysts, but it couldn't really get the markets moving. Index option settlement prices were determined this morning; RUT settled at $777.11 and SPX settled at $1242.35. So my 660/670 puts from the Dec condor expired worthless, completing my Dec iron condor trade. I was able to get my Jan SPX 1150/1160 put spreads on for $0.75 this morning; this was less credit than I wanted, but I decided not to move up to the 1160/1170 strikes and accept more risk in the event this market backs up. The adjustments I made this week improved the Greeks of the Jan condor considerably with a position delta of -$25 and theta = +$68.
So now we move into what presumably will be a slow couple of weeks in the market as traders focus on the holidays and their families. It should be a good time to have your delta neutral trades working.
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- Written by Dr. Duke
- Category: Dr. Duke's Blog
- Hits: 1940
The markets opened in the red this morning based on weak unemployment and housing numbers, but a surprise from the Philadelphia Fed turned the markets around. And, surprisingly, there wasn't any last hour sell-off. SPX closed up $8 at $1243 and RUT also gained $8 to close at $777. Trading volume was flat with the S&P 500 stocks trading at the 50 dma; trading on the NYSE dropped 5% and trading volume dropped 7% on NASDAQ. Initial unemployment claims were essentially flat at 420k (423k last week) and continuing unemployment claims rose by 22k to 4.1 million. Housing starts were reported at 555k, up from last month's 534k, but building permits dropped to 530k from 552k. This data wasn't very encouraging but the Philadelphia Fed's Business Outlook Survey surprised analysts and buoyed the street. The December survey came in at 24.3, up from 22.5.
I was unable to get the price I wanted to establish my new Jan SPX put spreads so my Jan SPX condor remains unbalanced with only the 1300/1310 call spreads. Have the markets entered "holiday mode" yet? Largely sideways trading, low trading volume, and low volatility are the characteristics to watch for. The bigger question may be whether 2011 will be as bullish as many are predicting.
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- Written by Dr. Duke
- Category: Dr. Duke's Blog
- Hits: 2011
It is becoming dangerous to be long the markets during the last hour of trading. The markets were modestly up and chopped sideways most of the day, became even more choppy after the FOMC announcement and then sold off in the last hour to close nearly unchanged for the day. SPX closed at $1242, up $1 and RUT lost less than a dollar to close at $772. Trading volume was flat to down with 3.5 billion shares of the S&P 500 stocks trading (below the 50 dma). Trading on the NYSE was up 1% and trading on NASDAQ was up 3%. The Fed announcement didn't reveal anything new, but did result in some choppy trading immediately afterward. Volatility swung up, down, and then back up, to close unchanged at 17.6%.
My Jan SPX iron condor remains at about -$2500 with delta = -$64 and theta = +$84. The 1300/1310 call spreads are about one standard deviation OTM. I closed Dec condors on AAPL and GOOG for gains of about 23%. The question remains whether this market has any more upside left in 2010. Recent gains have brought on bouts of profit taking to hold the overall market in check. Historically, the markets have not trended strongly in either direction the last couple of weeks of the year.
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- Written by Dr. Duke
- Category: Dr. Duke's Blog
- Hits: 1946
The markets opened up this morning but gradually weakened as the day wore on. The SPX lost $6 to close at $1235 while RUT closed at $768, down $3. Trading volume was flat with the S&P 500 stocks trading right at the 50 dma of 3.5 billion shares. Trading on the NYSE was up 9% but volume was down 1% on the NASDAQ. The VIX rose to 18% on the day of bearish trading action.
I closed the 1060/1070 put spreads of my Jan SPX iron condor today for $0.25, but was unable to get my new put spreads established at a favorable price. I will work on that tomorrow. This places the Jan condor roughly at break-even and the new put spreads will position the trade for a reasonable potential gain. I also closed my Dec AAPL 290/300 call spreads for a 24% gain.
- Details
- Written by Dr. Duke
- Category: Dr. Duke's Blog
- Hits: 1938
Today's market started off bullish just as nearly every day has recently. The SPX gained about $5 to $6 and then largely traded sideways until the last hour when it gave back all of the gains to close at $1240, unchanged for the day. RUT actually performed worse than the SPX for a change and lost $5 to close at $772. Trading volume was largely flat with the S&P 500 stocks trading just above the 50 dma at 3.6 billion shares. Trading was down 4% on the NYSE and up 5% on NASDAQ. Volatility hit a new low this morning, breaking below 17%, but then rose this afternoon to close at 17.6%.
I closed the 1280/1290 call spreads of my Jan SPX iron condor for $2.75 and rolled them up to 1300/1310. That brings my Greeks more in line with delta = -$56 and theta = +$73. But my maximum potential gain has been reduced to about $400. I am considering rolling my put spreads up to build a little more profit potential into this trade, but I am wary of a market pullback. The Dec 660/670 put spreads remaining from my Dec iron condor on RUT are far OTM so I will allow them to expire worthless, resulting in a 10% gain for the December position.
