Monday, 17 August 2009 01:00

Things are looking quite bearish in pre-market activity today

S&P futures are down 17 points as I type this. Here are more strategy analysis documents for subscribers. Wells Fargo and Sears have very expensive put options due to significant implied volatility, which make a pure market neutral strategy yield a prohibitively high breakeven point. We have calculated the optimal risk adjusted bear plays using spreads, and detailed them in the following documents. Keep in mind that once the matket does break, one is free to leg out of market neutral and spread positions to take full advantage. Since I don't offer trading advice here, I won't go into detail, but I welcome all discussion in which I will participate.

I consider the spread and neutral strategies' legs hedges.

SHLD Option Strategy Analysis SHLD Option Strategy Analysis 2009-08-17 05:46:12 173.99 Kb

WFC January 2010 series WFC January 2010 Series Option Strategy Analysis 2009-08-17 05:52:27 165.88 Kb

Last modified on Monday, 17 August 2009 01:00


  • Comment Link shaunsnoll Tuesday, 18 August 2009 12:00 posted by shaunsnoll

    verrrryyyy deep out of the money options will do something similar Reggie. chance of them ultimately ending up in the money is of course low but a few here and there on particularly bad stocks seems like a good strategy to me. plus if we get another rapid increase in the VIX the deep out of the money puts will increase in value in multiples.

  • Comment Link Reggie Middleton Tuesday, 18 August 2009 09:03 posted by Reggie Middleton

    I'm glad it is appreciated. The market neutral portfolio analyzed broke a profit as the market lurched both up and down, proving the viability of going long volatility when the underlying assets are swinging wildly, devoid of any positive correlation to the fundamentals. I will probably open a sample or two up to the general blog so they can get a taste of what I have been up to.

  • Comment Link jarret Tuesday, 18 August 2009 08:18 posted by jarret

    Hi Reggie

    Thanks for sharing this information to subscribers as it really bridges the gap of providing research and providing trades (which you dont want to) and a great middle ground. Although it has been a rough few months for those with bearish views I can tell anyone who is not a member that the content provided by Reggie is second to none and it will be money well spent.

    Keep up the great work Reggie.


Login to post comments