Thursday, January 20, 2011
Close PLL Put
Close Strike 50 put at 0.65. Reducing loss on this. Will probably add some direct shorts or sell calls on PLL soon.
Friday, January 14, 2011
Rolling GOOG Call Spread
Closing 1/14 Call at 1.95
Sell 1/21/2011 Call on GOOG strike 640 at 7.7.
2/18/2011 Call at strike 610 continues to be open.
Sell 1/21/2011 Call on GOOG strike 640 at 7.7.
2/18/2011 Call at strike 610 continues to be open.
Friday, January 7, 2011
Thursday, January 6, 2011
Moving to Collective2
Finally have setup my portfolio on collective2. Thank you everyone that has followed these posts. If you've followed any trades and made money, congratulations. If you have lost on some trades, I'm sorry for that. Sometimes patience does pay.
As I'm writing this I'm watching ZUMZ coming back to earth. I didn't have the patience to wait, but if someone did then you would have done very well. ZUMZ did come as a short through the models. But the actual execution and conviction grew based on some mall visits, and looking at the website visit of ZUMZ. Also that's the beauty of retail. Today's darling is tomorrow's dog. ARO, ANF are names that come to my mind. Same will eventually happen to TIF. It will be brought back to earth.
I've tried my best to be dispassionate in all these posts with the the goal of generating positive returns. If I've been short a company it has to be either from a risk management point of view or purely based on valuation.
You can follow me at Pairs Trader
The main reason for using collective2 is because it provides legitimacy to the trade ideas and removes the burden of keeping track of your performance and hopefully will provide the funding required to continue our research on statistical arbitrage and build a better system .
You can get one month of free subscription for the trading system. The trading approach will continue to be the same that has been followed here.
This blog will continue as a financial education/ trading ideas place. Not sure I'll continue live blogging here for the time being.
As I'm writing this I'm watching ZUMZ coming back to earth. I didn't have the patience to wait, but if someone did then you would have done very well. ZUMZ did come as a short through the models. But the actual execution and conviction grew based on some mall visits, and looking at the website visit of ZUMZ. Also that's the beauty of retail. Today's darling is tomorrow's dog. ARO, ANF are names that come to my mind. Same will eventually happen to TIF. It will be brought back to earth.
I've tried my best to be dispassionate in all these posts with the the goal of generating positive returns. If I've been short a company it has to be either from a risk management point of view or purely based on valuation.
You can follow me at Pairs Trader
The main reason for using collective2 is because it provides legitimacy to the trade ideas and removes the burden of keeping track of your performance and hopefully will provide the funding required to continue our research on statistical arbitrage and build a better system .
You can get one month of free subscription for the trading system. The trading approach will continue to be the same that has been followed here.
This blog will continue as a financial education/ trading ideas place. Not sure I'll continue live blogging here for the time being.
Wednesday, January 5, 2011
New Trade (GOOG)
Time Spread
Sell 1/07/2011 Call at strike 610 --- $3.4
Buy 2/18/20111 Call at strike 610 --- $23.4
Sell 1/07/2011 Call at strike 610 --- $3.4
Buy 2/18/20111 Call at strike 610 --- $23.4
Year 2010
December ended well for the portfolio. Was up 2.8%. Main contributors were MSFT which we closed, time spreads/bullish calls on GOOG, and strangle on TIF . Some other pairs that were held for a very long time showed some signs of life as well.Ex:- KRC/EQR pair, GDP/TLM pair. Both were closed with overall loss. But the losses were reduced quite a bit in December. The drag was PNR/PLL, and the short on MAR which is continuing to hurt. The HPQ/ORCL spread opened at the end of December started making money from day one. This pair is now approaching our close out ratio.
Year 2010 Summary
The portfolio is up 5.8% with annualized volatility of 8.5% compared to S&P total return (including dividends) of 15.1% (volatility 17.4%).
From inception the portfolio is up 33.8% with realized volatility of 9%.
Rough attribution estimate:
In terms of return contribution, pairs contributed roughly 2%, and the rest came from the options positions.
The worst draw down came in February. Worst one month draw down is -5.17%. Worst one week is -3%.
Month by month performance summary since inception is attached below.
Year 2010 Summary
The portfolio is up 5.8% with annualized volatility of 8.5% compared to S&P total return (including dividends) of 15.1% (volatility 17.4%).
From inception the portfolio is up 33.8% with realized volatility of 9%.
Rough attribution estimate:
In terms of return contribution, pairs contributed roughly 2%, and the rest came from the options positions.
The worst draw down came in February. Worst one month draw down is -5.17%. Worst one week is -3%.
Month by month performance summary since inception is attached below.
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