Friday, December 18, 2009

12/18 Morningline

Today is a quadruple witching day on the markets, when stock index futures, stock index options, stock options and single stock futures all expire. Sometimes, this produces a bit of craziness in the markets. Although today, with volatility so low, maybe not.
The indicators:

  • Blue chips (SPY) opens at 110.20 and stalls, entered bear mode at close on Dec. 8 (at 109.61)
  • Fear index (VIX) 21.84, bull, Dec. 17 (22.51); a VIX bull signal is bearish for the markets
  • Treasury long bonds (TLT) 93.20, bull, Dec. 17 (93.19)
  • Gold (GLD) 108, bear, Dec. 17 (108.00)
  • Oil (USO) 36.59, bull, Dec. 16, (36.74)
Currency pairs:
  • Dollars per euro (EUR/USD) 1.4336, bear, Dec. 4 (1.49)
  • Yen per dollar (USD/JPY) 89.95, bear, Dec. 9 (87.86)

Holdings, December expiry:
  • UNG, covered call (-c9) 10.71, bull, Dec. 7 (9.22)

Holdings, January expiry
  • KO, iron condor (p50/-p52.5/-c57.5/c60) 57.26, bull, Dec. 1 (58.08)
  • LVS, covered call (-c16) 15.59, bull, Dec. 14 (16.31)
  • X, bear call spread (-c40/c41) 49.42, bull, Dec. 9 (46.74)
UNG expires today. The call will be exercised, meaning that I'll be obligated to sell my shares for the $9 strike price and in return get to keep the premium I got when I sold the call.  The basis of the stock is 9.12, the premium was 0.51, so my net profit will be 0.39

LVS is showing a new bear signal on the fifth day after it showed a bull signal. In neither case was there confirming price action.

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