New Trade (Industrials)

Long PH at 54.42, Short SWK at 52.1

Partial Closure (LYTS/VMC)

LYTS at 7.81, VMC at 53.29

New Trade (Industrial Products)

Long ITT at 50.27, Short LII at 39.23

New trade (REITs)

Long TCO at 36.23, Short SPG at 81.05

Close out (CNX/TS)

CNX at 50.38, TS at 41.66

New Trade (Semi Conductors)

Long CCMP at 32.00, Short MSCC at 17.19

Close out (LNN/DCI)

LNN at 38.42, DCI at 42.44

New Trade (Food)

Long Hain at 15.48, Short KOF at 61.57

New Trade (Chemicals)

Long DD at 32.23, Short ALB at 35.74

New Trade (Semi Conductors)

Long NETL at 47.29, Short MRVL at 19.65

Close out ETN/PLL

ETN at 64.10, PLL at 35.41

Add to CSCO/NTGR

CSCO at 23.42, NTGR at 21.9

Add to HAE/CMN

HAE at 54.85, CMN at 20.98

New Trade (Medical Products)

Long SONO at 23.3, Short IVC 25.78

Close out VAL/AGU

VAl at 27.89, AGU at 62.07

New Trade (Industrial)

Long LNN at 35.75, Short DCI at 42.3

New Trade (Medical Products)

Long HAE at 54.57, Short CMN at 19.71

new trade 9Chemicals)

Long VAL at 27.06, Short AGU at 64.96

Close out (VECO/AIXG)

VECO at 31.7, AIXG at 36.08

New trade (Chemicals)

Long ECL at 44.76, IFF at 41.37

Close out FRX/SHPGY

FRX at 30.98, SHPGY at 56.80

Close out FELE/LECO

FELE at 29.09, LECO at 52.66

New Trade (Food and beverages)

Long HSY at 36.18, Short CPB at 35.37

New Trade (Computer hardware)

Long CSCO at 23.97, Short NTGR at 21.32

Close out HAIN/KOF

HAIN at 19.03, KOF at 53.96

New Trade (Industrial Services)

Long FELE at 27.52, Short LECO at 53.74

New trade (Industrial)

Long PNR at 31.13, Short SNHY at 22.78

New Trade (REIT)

Long NNN at 19.34, Short DLR at 46.3

New Trade (Drugs)

Long FRX at 28.76, Short SHPGY at 56.39

Close out (MDCI/ OFIX)

MDCI at 12.66, OFIX at 31.42

Close out (OXY/APC)

OXY at 83.1, APC at 65.39

New Trade (Semiconductors)

Long VECO at 25.08, Short AIXG at 31.14

New Trade (Food)

Long HAIN at 17.54, Short KOF at 54.8

Close out (GET/HOT)

GET at 17.22, HOT at 29.94

New Trade (Med Products)

Long MDCI at 11.12, Short OFIX at 32.19

New Trade (Mining)

Long CNX at 44.87, Short TS at 39.64

Close out (KDN/IEX)

KDN at 36.83, IEX at 28.96

Close out (PAS/CCH)

CCH at 25.3, PAS at 29.04

Close out (AIT/PNR)

AIT at 20.61, PNR at 29.7

New Trade (Construction)

Long VMC at 46.36, Short LYTS at 6.95

New Trade (REIT)

Long RWT at 14.12, Short ELS at 46.05

Close out TXN/VSEA

TXN at 23.65, VSEA at 29.54

New Trade (Hotels)

Long Get at 15.19, Short HOT at 29.71 (Half the exposure)

Closeout (LLY/ABC)

LLY at 34.38, ABC at 22.98

New Trade (Semiconductors)

Long FORM at 18.91, Short MXIM at 18.91

Close out TMO/IVC

TMO at 47.45, IVC at 22.51

Close out SYY/SEB

SYY at 27.17, SEB at 1455

New Trade (Industrial)

Long PLL at 33.66, Short ETN at 65.32

Close out KRC/UDR

KRC at 27.15, UDR at 14.36

New Trade (Beverages)

Long PAS 29.52, Short CCH 28.00

Close out TR/SXT

TR at 24.7, SXT at 25.88

Closeout (GSK/NEOG)

GSK at 41.21, NEOG at 30.67 --- Profit of $190.

New Trade (Food and Beverages)

Long SYY at 25.98, Short SEB at 1540.

New Trade (REIT)

Long KRC at 26.93. short UDR at 15.34

Add to AIT/PNR

Long AIT at 19.44, Short PNR at 30.82

Clost out FRX/SHPGY

FRX at 29.54, SHPGY at 49.22

New Trade (Drugs)

Long GSK at 39.25, Short NEOG at 33.00

New Trade (Semiconductors)

Long TXN at 23.46, and Short vsea at 32.24

Close out MRX/PRX

MRX at 21.49, PRX at 21.42

New Trade (Energy)

Long OXY at 74.54, Short APC at 61.66

New Trade (Drugs)

Long FRX at 28.72, Short SHPGY 52.87

Complete close out CLC/WTS

CLC -- average close out price 31.37
WTS -- average close out price 31.57 Loss of $614...

Close out GET/OEH

OEH at 12.78, GET at 23.74 -- Profit of $370...

Partial Close CLC/WTS

CLC at 30.98, WTS at 32.09 (Still holding 50%). taken about $350 loss.

Close out SYK/VAR

SYK at 47.93, VAR at 43.44

Close out DOV/ETN

Dov at 39.54, ETN at 59.9

New trade (Hotels)

Long OEH at 10.55, Short GET at 23.24

New Trade (Industrial)

Long AIT at 21.4, Short PNR at 31.57 (Half the usual size)

New Trade (industrial)

Long KDN at 33.92, and short iex at 29.3

Add to LLY/ABC trade

Long 50 LLY at 32.75, short 80 abc at 21.61

Close out RS/SID

RS at 39.59, SID at 27.68. Loss of $80.

Close out VMC/LYTS

VMC at 50.18, LYTS at 7.05

New Trade (Med Products)

Long TMO at 44.33, short IVC at 21.63 (1/3rd the usual exposure)

Close out PH/SWK

PH at 50.05, SWK at 40.75

Close out INTC/VSEA

INTC at 20.2, VSEA at 30.47

New Trade (Med Products)

Long SYK at 41.00, Short VAR at 40.73

New Trade (Pharma)

Long MRX at 18.59, Short PRX at 20.79 (Half the usual exposure)

Close out CRS/CNX

CRS at 20.14, CNX at 37.58

Long TR short SXT

Long TR at 23.82, Short SXT at 26.97 (Half the usual size) identical beta

Add to Short LYTS

Add more to the open trade
Long VMC at 48.29, Short LYTS at 7.6

New trade drugs

Long LLY at 32.9, Short ABC at 20.76 ---Beta diff 0.17, (Half the usual exposure)

New trade construction

Long VMC at 46.24, Short LYTS at 6.7 (Half the usual exposure).

New Trade (Mining)

Long CRX at 19.71, Short CNX at 40.5 --- beta diff 0.21

New Trade

Long DOV at 34.00, Short ETN at 54.9

Close out SMA/BABY

SMA at 9.47, BABY at 14.04... Net P/L of $368

New pair (Industrial Products)

Long PH at 46.59, Short SWK at 41.00 --- beta difference 0.04

Close SNY/AZN

Closed SNY at 33.36, AZN at 46.79

Close out PPS/BXP

PPS at 15.91, BXP at 57.29

New Trade (MED Prod)

Long SMA at 8.72, Short BABY at 14.56, beta diff 0.04

Enjoying the ride up...

Technically we have hit another pair!! PPS jumped after the earnings guidance. Let's hold on for a bit and see how far this goes...

Close SPG (Loss of $20)

Close out at a loss. Just to be on the safer side. Also, closely watching RS/SID pair.

Leaving money on the table?

Perhaps we are. All three pairs that we closed between 6.5% and 8% range went on to make more than 11% eventually. Well, we are probably closing out a little too soon.

On a separate note, the strategy has a stop loss at 15% on each pair. At this point no single pair has reached that stage. RS/SID is getting close though. If you have a lower risk appetite, you could close out at the current loss of 10%. Steel companies in US were hit by Areclor's poor results. SID, based in Brazil is not hit as much.

Industrial parts (Trade Entry)

Long CLC at 33.28, Short wts at 26.95 ---Beta diff 0.02

Close out SONO

Close out SONO at 22.08, TMO at 45.79. Profit of $196. A 6.7% return in 1 day.

Cut Exposure (SPG )

Close out 1 contract on SPG at $85. Loss of $25.

Medical Products (Trade)

Long SONO at 20.62, Short TMO at 45.61 --- Beta difference of 0.21

Close out ARO

Close out the option on ARO at $40. Pocket $50... Not too bad in a matter of a week.
Still hold on to SPG (Small correction, the portfolio invested (or rather went short) on two contracts on SPG).

New Trade (Mining)

Long RS at 36.31, Short SID at 24.78. Beta difference 0.12.

Close out ETN

Close ETN at 50.50, DOV at 35.00 to pocket $232 (7.7% return)

REIT Short...

My argument against Commercial Real Estate is the aggressive cap rate assumptions being made. The recovery will most likely be muted. There will be more pain at the Malls and other parts of CRE. Accordingly would recommend a short in SPG at a strike of $60 (sell August $60 to pocket $60).

AVB could be another short play on the Apartment REIT. Although liquidity of the trade is a concern.

Another REIT pair

Long PPS at 12.9, Short BXP at 50.73

First convergance

Close VNO at 48.46, EXR at 8.12. Total P/L of $236 -- 8% gain.

Day 2 return

Will update the performance numbers on a daily basis when possible. The information is from the time the portfolio is launched. A good start for the MNS (Market Neutral Strategy). The big contributor was ETN, which jumped 6% on the first day of launch after not so bad earnings.

The net short is coming from the speculative short on ARO. I hope to keep speculation to the minimum in this portfolio.
Eventually as the portfolio gains history, I would provide additional risk/performance attribution results.

The beginning

Hope to post pairs trading ideas on this blog. Also will add my market commentary once in a while. Specific sectors, stocks in sectors, will be discussed.
Ideas will be long/short, sideways bets, volatility plays.
For all long/short ideas, the expected close out is when you make a gain of 10% on your investment. Ex:- If $1K long X, $1K Short Y, when the net p/l is $100 close out. Make sure that market values of long, and short legs are matched.
For starters
Long -- SNY at 31.12, and Short AZN at 44.85. Both stocks have closely matching betas.
Long ETN at 45, and Short DVO at 33.5. Beta difference of 0.2.
Long INTC at 18.28, Short VSEA at 28.9. Beta difference of 0.03.
Long VNO at 44.46, Short EXR at 8.1. Beta difference of 0.03.

Speculative play
Short ARO at 40. How to do it: Sell August 40 call to collect $90 per contract.

I'll also track the performance of a sample portfolio with initial cash of $25K. Each pair will have an investment of $3K on each leg. Will also post gross, and net leverage information on a delta adjusted basis (Mainly for the option positions in the portfolio). Will also try to post end of day portfolio value.

I am assuming transaction cost of $2 per pair to enter, and $2 to exit. This is based on the current pricing structure followed by brokers like Interactive Brokers.