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.
No comments:
Post a Comment