Avaneesh Krishnamoorthy (Pairs Trader): August 2009

Monday, August 31, 2009

INTC at 20.2, VSEA at 30.47

Long SYK at 41.00, Short VAR at 40.73

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

CRS at 20.14, CNX at 37.58

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

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

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

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

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

Long DOV at 34.00, Short ETN at 54.9

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

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

Closed SNY at 33.36, AZN at 46.79

PPS at 15.91, BXP at 57.29

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

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