Wednesday, 02 September 2009 20:00

Option Strategy Analysis Comments

The option strategy analyses that I have been releasing over the last month or two were designed to assist me in plugging the profit leaks that were caused by what I consider a signficantly excessive bear market rally. I, personally, believe that fundamentals will come back to the forefront after the summer vacation season ends and more volume returns to the market, thereby reducing the influence that program trading can have on share prices. I have started slowly legging out of market neutral positions and adding OTM puts around the valuation bands indicated in my forensic valuation reports. As can be seen from below, the market neutral strategies have succeeded in plugging the profits leaks, which was their purpose, and they will be profitable upon a sharp correction, but the calls inherent in the strategy would considerably dampen profits if I am correct in the market correction forthcoming. 

Wednesday, 02 September 2009 20:00

Option Strategy Analysis Comments

The option strategy analyses that I have been releasing over the last month or two were designed to assist me in plugging the profit leaks that were caused by what I consider a signficantly excessive bear market rally. I, personally, believe that fundamentals will come back to the forefront after the summer vacation season ends and more volume returns to the market, thereby reducing the influence that program trading can have on share prices. I have started slowly legging out of market neutral positions and adding OTM puts around the valuation bands indicated in my forensic valuation reports. As can be seen from below, the market neutral strategies have succeeded in plugging the profits leaks, which was their purpose, and they will be profitable upon a sharp correction, but the calls inherent in the strategy would considerably dampen profits if I am correct in the market correction forthcoming. 

I have been receiving a lot of inquirires about the recent market neutral strategy analysis, thus have decided to release samples to the public. They are based upon my equity research, whose samples you can find by downloading this zip file: zipResearch_Samples 11/17/2008.

Below you will find a recent Sears Holding Strategy Analysis. Sear's is hard to hold a bearish position on using put options due to their extreme implied volatility - they are almost always consistently overpriced, hence the breakeven band for a market neutral strategy is usually impractically wide. These are the solutions we came up with for the January 2010 option series (subscribers usually get a full forensic analysis and a selection of strategies along several expiry series, as well as supporting data via excel spreadsheets):

SHLD Option Strategy Analysis SHLD Option Strategy Analysis 2009-08-19 03:38:19 173.90 Kb

 Public Copy of SHLD Option Strategy Analysis Output sheet  Public Copy of SHLD Option Strategy Analysis Output sheet 2009-08-19 03:37:24 293.00 Kb

Although I have only very recently started publishing this new strategy, it has produced profits through the recent market ups and downs. The significant gains are expected to come if and when the market makes a serious break. My expectation is a break to the downside, and a big one at that - but I have implemented market neutral since it is clear that prices have totally detached from fundamentals.

I will be releasing significant subscriber content later on in the day, as I peer into the S&P 500 futures at 3 am, they are 10 points negative.

Sun Trust and Wynn Strategies will be on tap next. You may click here for subscription levels.

I have been receiving a lot of inquirires about the recent market neutral strategy analysis, thus have decided to release samples to the public. They are based upon my equity research, whose samples you can find by downloading this zip file: zipResearch_Samples 11/17/2008.

Below you will find a recent Sears Holding Strategy Analysis. Sear's is hard to hold a bearish position on using put options due to their extreme implied volatility - they are almost always consistently overpriced, hence the breakeven band for a market neutral strategy is usually impractically wide. These are the solutions we came up with for the January 2010 option series (subscribers usually get a full forensic analysis and a selection of strategies along several expiry series, as well as supporting data via excel spreadsheets):

SHLD Option Strategy Analysis SHLD Option Strategy Analysis 2009-08-19 03:38:19 173.90 Kb

 Public Copy of SHLD Option Strategy Analysis Output sheet  Public Copy of SHLD Option Strategy Analysis Output sheet 2009-08-19 03:37:24 293.00 Kb

Although I have only very recently started publishing this new strategy, it has produced profits through the recent market ups and downs. The significant gains are expected to come if and when the market makes a serious break. My expectation is a break to the downside, and a big one at that - but I have implemented market neutral since it is clear that prices have totally detached from fundamentals.

I will be releasing significant subscriber content later on in the day, as I peer into the S&P 500 futures at 3 am, they are 10 points negative.

Sun Trust and Wynn Strategies will be on tap next. You may click here for subscription levels.

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

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

 Below are extensive option strategy analysis for JP Morgan and Starwood Hotels, encompassing analysis and optimization of over 50 bearish and market neutral strategies. I have also included quarterly earnings results opinions and full forensics in the case of Starwood.

 This is some rather valuable and heavy duty stuff. Feel free to discuss this openly in the private forums, and feel free to contact me if you have posted and would like me to join the discussion.

 JP Morgan

  JPM Option Analysis JPM Option Strategy Analysis 2009-08-12 01:05:20 538.34 Kb

[Note: we have never performed a full forensic analysis of JPM, although there may be one coming]

JP Morgan Forensic Highlights JP Morgan Forensic Highlights 2009-01-06 19:18:08 133.34 Kb

JP Morgan Q408 quarterly valuation opinion - Retail JP Morgan Q408 quarterly valuation opinion - Retail 2009-01-22 08:49:26 79.24 Kb

 

Starwood Hotels

HOT Options strategy analysis HOT Options strategy analysis 2009-08-12 01:06:10 517.82 Kb

Starwood Hotels (HOT) Intelligence Note_072009 -  Starwood Hotels (HOT) Intelligence Note_072009 - 2009-07-22 03:45:18 927.84 Kb

HOT Report 290709 Retail HOT Report 290709 Retail 2009-08-03 01:52:38 420.81 Kb

HOT Report_290709 Pro HOT Report_290709 Pro 2009-08-03 01:53:54 635.54 Kb

 

 Below are extensive option strategy analysis for JP Morgan and Starwood Hotels, encompassing analysis and optimization of over 50 bearish and market neutral strategies. I have also included quarterly earnings results opinions and full forensics in the case of Starwood.

 This is some rather valuable and heavy duty stuff. Feel free to discuss this openly in the private forums, and feel free to contact me if you have posted and would like me to join the discussion.

 JP Morgan

  JPM Option Analysis JPM Option Strategy Analysis 2009-08-12 01:05:20 538.34 Kb

[Note: we have never performed a full forensic analysis of JPM, although there may be one coming]

JP Morgan Forensic Highlights JP Morgan Forensic Highlights 2009-01-06 19:18:08 133.34 Kb

JP Morgan Q408 quarterly valuation opinion - Retail JP Morgan Q408 quarterly valuation opinion - Retail 2009-01-22 08:49:26 79.24 Kb

 

Starwood Hotels

HOT Options strategy analysis HOT Options strategy analysis 2009-08-12 01:06:10 517.82 Kb

Starwood Hotels (HOT) Intelligence Note_072009 -  Starwood Hotels (HOT) Intelligence Note_072009 - 2009-07-22 03:45:18 927.84 Kb

HOT Report 290709 Retail HOT Report 290709 Retail 2009-08-03 01:52:38 420.81 Kb

HOT Report_290709 Pro HOT Report_290709 Pro 2009-08-03 01:53:54 635.54 Kb

 

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