PAIRS Trading : "Hedged Trades" matching Longs with Shorts

[drbubb]

PAIRS Portfolio(s) : "Hedged" using Long, vs. Short positions

 

 

Let's start with this Pair, as a Trial trade:

 

(Another sign of the emerging slowdown in earnings in the US?):

 

Amazon Reports Small Loss as It Focuses on Investments

SEATTLE

- Amazon's razor-thin profits turned to razor-thin losses in the last quarter, as the Internet commerce giant continued to plow money into warehouses, digital content and other big investments that it says will pay off down the line.

= = =

(in edit) : SEE also : post # 234 below, confirming the slowdown

 

Amazon vs. Goldcorp: The Stock I Would Buy

 

Friday, July 26th, 2013 / By Michael Lombardi, MBA

 

If I were Carlo, the first thing I would recognize is that the greatest investor fortunes of our lifetime have been made by getting into investments when they are the most depressed and holding on until they come back.

 

Today, investors can go out and buy a share of :

 

Amazon.com, Inc. (AMZN / NASDAQ) at $300.00 a share. ... update : 1yr-wBB

 

The company lost money in the most recent quarter. It trades at 100-times expected earnings for 2014 and doesn’t pay a dividend. There is huge demand for Amazon.com shares, which explains why the price has hit a new record high.

 

Also, today, investors can go out and buy the shares of :

 

Goldcorp Inc. (GG / NYSE) at $28.00 a share. ... update : 1yr-wBB

 

Goldcorp is down 50% from its 2011 high, the stock trades at 14-times earnings, and it pays a dividend equal to a yield of 2.13%.

The company produces about 600,000 ounces of gold a quarter at a cost of between $1,000 and $1,200 an ounce. Demand is falling for Goldcorp shares as gold prices have fallen and the company has taken some write-offs to recognize the lower price of gold. By the way, the shares of gold companies relative to earnings are selling at the lowest level in decades.

Sure, there is risk if gold prices fall below $1,000 an ounce. But there is also a huge reward if gold prices go to $2,000 an ounce.

Hence, the risk/reward play is always there for an investor like Carlo to act upon. He just needs to eventually take action on one of those plays when the opportunity is presented.

 

===

/more : http://www.profitcon...ck-i-would-buy/

 

Total $20,000 position :

====

Long : $10,000 : GG--- : $28.74 : x +348 shs : +$10,002

Short : $10,000 : AMZN : 312.01 : x - 032 shs : ($ 9,984)

 

DrB PORTFOLIO-0 : 26-July (SPX at $xxx.xx)

========= : Ov'all Value : $100,000

==============================

 

PERFORMANCE :

 

Portfolio-01

Date-- : $Net Asset : Week% : Overall : Prof/Loss : Marg./Prem : Cash - As Pct. : --SPX--

=====

02-Aug : $100,000 : - 0.00% : - 00.0% :$-00,000 : $ 08,020 : $ 91,980 : 91.9% : 1690.91

09-Aug : $100,832 : +0.83% : +00.8% : $ 00,832 : $ 20,807 : $ 79,193 : 78.5% : 1691.42

16-Aug : $108,084 : +7.19% : +08.1% : $ 08,084 : $ 20,807 : $ 79,193 : 73.2% : 1655.83

23-Aug : $106,135 : - 1.80% : +06.1% : $ 06,135 : $ 20,171 : $ 79,829 : 73.2% : 1663.50

30-Aug : $105,952 : - 0.17% : +06.0% : $ 05,952 : $ 14,618 : $ 85,382 : 80.6% : 1632.97

06-Sep : $103,869 : - 1.97% : +3.87% : $ 03,869 : $ 14,608 : $ 85,392 : 82.2% : 1655.17

13-Sep : $102,770 : - 1.06% : +2.77% : $ 02,770 : $ 14,608 : $ 85,392 : 83.1% : 1687.99

===============

[notanewmember]

Hmm Amazon has cleared a nice round number at 300. Tough one to short, but worth seeing how this plays out. It cleared the last major level at 200with a big gap up, so this can be a bit of a heart stopper!

[drbubb]

I see the risk.

 

This is a paper trade for me, for a paper trading exercise. If I do it in real life, I shall use options.

And that would mean:

 

+ Buying Calls on Goldcorp, and

+ Buying Puts on Amazon

 

This way, my risk is limited to what I spend on the options

[happy]

How about: long LQD / short TLT ?

 

looks like a compelling chart (a test of 1.125 on the ratio looks within reach):

 

[drbubb]

LONG TERM : 76 X 987 charts : do not support the Trade idea,

but these are "lagging" or "confirming" indicators - Not leaders

 

AMZN : 301.22 - 1.19 / - 0.39% -- Y: -n/a-- / PE : n/a / 52 wk range : 218.18 - 313.62

GG -- : $28.23 - 0.06 / - 0.21% -- Y:2.13% / PE : n/a / 52 wk range : $22.22 - $47.42

Ratio- : r-10.67

 

AMZN / Amazon - (UP) ... Cal'13 : 3 years

 

 

GG / Goldcorp - (??) ... Cal'13 : 3 years

 

[drbubb]

DrB PORTFOLIO-TRIAL : 01-Aug. (SPX at $1706.87) :

. .

D : Symb. : L-Price : #shs : Valuation / Date------ : O-price : BasisVal. : Pr/Loss : Marg.20%

=======

+ : GG--- : $27.45 : +348 : +$09,553 // 26 Jul. 13 : $28.74 : +$10,002 : - 0,449 : $ 02,000

-- : AMZN : 305.57 : - 032 : ($ 9,778) // 26 Jul. 13 : 312.01 : ($ 9,984) : +0,206 : $ 01,996

============== : ===== : - 00,225 / ======== : ====== : $ 00,018 : -$0,243 : $ 03,996

========= : Add: Margin- : $03,996

========= : Add: Cash--- : $95,986

========= : Ov'all Value : $ 99,757 : - $243, -0.243%

 

THIS TRIAL PORTFOLIO LOST MONEY over one week.

 

I Plan to add 4x More Paired Trades to this portfolio,

or start a new Portfolio, by doing a "Reset" ...

[drbubb]

Plan to add 4x More Paired Trades to this portfolio, or start a new one...

 

Instead of that, I have decide to:

REBOOT that first Trade (at fresh prices),

and then replicate it Twice, with options - one short term, and one medium term options pair

 

(Basic Trade- A ): +GG, -AMZN

GG-- : Long---- : $27.45 x +364 = $ 09,992

AMZN : Short--- : 305.57 x - 033 =($ 10,084)

=============: =========== =($ 00,092)

..

I will also "replicate" this position thru two options trades

(Short - ops: A2)

GG-- : Sep$27 C : $01.92 x +07ct = $ 01,344

AMZN : Sep300P : $08.40 x +01ct = $ 00,840

==============: ============ = $ 02,184

..

(Medium - ops: A3)

GG-- : Jan$27 C : $03.25 x +07ct = $ 02,275

AMZN : Jan300P : $20.15 x +01ct = $ 02,015

==============: =========== = $ 04,290

. . .

... And also:

Add a new Pair Trade, involving a long position in a Fertilizer co., and a short trade on Monsanto:

 

(Basic Trade- B ): +POT, -MON

POT- : Long---- : $29.48 x +339 = $ 09,994

MON- : Short--- : $97.37 x - 103 =($ 10,029)

=============: =========== =($ 00,035)

..

I will also "replicate" this position thru a Paired options trades

(Short - ops: B2)

POT- : Sep$29 C : $02.04 x +07ct = $ 01,428

AMZN : Sep100P : $04.40 x +02ct = $ 00,880

==============: ============ = $ 02,308

[drbubb]

BASIC TRADES only (options trades will be added after Friday's close)

 

DrB PORTFOLIO-1 : 07-Aug. (SPX at $1690.91) :

. .

D : Symb. : L-Price : #shs : Valuation / Date------ : O-price : BasisVal. : Pr/Loss : Marg.20%

=======

1a

+ : GG--- : $25.07 : +364 :+$09,125 // 02 Aug. 13 : $27.45 : +$09,992 : - 0,867 : $ 01,998

-- : AMZN : 296.91 : - 033 : ($ 9,798) // 02 Aug. 13 : 305.57 : ($10,084) : +0,286 : $ 02,017

============== : ===== : - 00,673 / ======== : ====== : $-00,092 : -$0,581 : $ 04,015

1b

1c

2a

+ : POT-- : $29.58 : +339 :+$10,027 // 02 Aug 13 : $29.48 : +$09,994 : +0,033 : $ 01,999

-- : MON- : $95.00 : - 103 : ($ 9,785) // 02 Aug 13 : $97.37 : ($10,029) : +0,244 : $ 02,006

============== : ===== : +00,242 / ======== : ====== : $-00,035 :+$0,277 : $ 03,996

2b

========= : Profit/(Loss) :: $- 0,304

========= : Add: Margin- : $08,020

========= : Add: Cash--- : $91,980

========= : Ov'all Value : $ 99,696 : - $304, -0.304%

[drbubb]

DrB PORTFOLIO-1 : 09-Aug. (SPX at $1691.42, Down -1.07% from $1,709.67 on Aug. 2nd) :

 

Up + 0.83% in Week One.

All five pairs are now in profit.

==============================

. .

D : Symbol : Type---- : -Price- : #.shs : Valuation / Date------- : StartPr : BasisValue: Pr/Loss : Marg/Prem

=========

1a

+ : GG--- : comm.shs. : $27.17 : +364 :+$09,890 // 02 Aug. 13 : $27.45 : +$09,992 : - 0,102 : $ 01,998

-- : AMZN : comm.shs. : 297.26 : - 033 : ($ 9,810) // 02 Aug. 13 : 305.57 : ($10,084) : +0,274 : $ 02,017

======================== : ===== : +00,080 // ======== : ====== : $ -00,092 :+ 0,172 : $ 04,015

1b

+ : GG--- : Sep$27C : $01.68 x +07ct = $ 01,176 // 02 Aug. 13 : $01.92 : +$01,344 : - 0,168 : $ 01,344

-- : AMZN : Sep300P : $10.62 x +01ct = $ 01,062 // 02 Aug. 13 : $08.40 : +$00,840 : +0,222 : $ 00,840

======================== : ===== : +02,238 // ======= : ====== : $+02,184 : +0,054 : $ 02,184

1c

+ : GG--- : Jan$27C : $03.12 x +07ct = $ 02,184 // 02 Aug. 13 : $03.25 : +$02,275 : - 0,091 : $ 02,275

-- : AMZN : Jan300P : $22.75 x +01ct = $ 02,275 // 02 Aug. 13 : $20.15 : +$02,015 : +0,260 : $ 02,015

======================== : ===== : +04,459 // ======= : ====== : $+04,290 : +0,169 : $ 04,290

==

2a

+ : POT-- : comm.shs. : $29.93 : +339 :+$10,146 // 02 Aug 13 : $29.48 : +$09,994 : +0,152 : $ 01,999

-- : MON- : comm.shs. : $96.25 : - 103 : ($ 9,914) // 02 Aug 13 : $97.37 : ($10,029) : +0,115 : $ 02,006

======================== : ===== : +00,232 // ======== : ====== : $-00,035 :+$0,267 : $ 03,995

2b

+ : POT-- : Sep$29C : $02.12 x +07ct = $ 01,484 // 02 Aug. 13 : $02.04 : +$01,428 : +0,056 : $ 01,428

-- : MON- : Sep100P : $04.97 x +02ct = $ 00,994 // 02 Aug. 13 : $04.40 : +$00,880 : +0,114 : $ 00,880

======================== : ===== : +02,478 // ======== : ====== : $+02,308 : +0,170 : $ 02,308

=== : Profit/(Loss) :: $+0,832

=== : +MargPrem :: $20,807

=== : Add: Cash--- : $79,193

=== : Ov'all Value : $100,832 : +$832, +0.832%

========================

 

ALL POSITIONS are now IN PROFIT !

Overall gain in one week is close to 1%, despite the -1% fall in SPX.

 

NOTE the SLIPPAGE in the Options positions, esepcially the short-dated ones.

 

That is due to Time decay. The limited risk inherent in options does not come free.

[drbubb]

DrB PORTFOLIO-1 : 16-Aug. (SPX at $1655.83, Down -3.15% from $1,709.67 start) :

.

Up + 7.25% ! in Week Two, and + 8.1% overall.

All ten trades are now in profit. (!)

=========================

. .

D : Symbol : Type---- : -Price- : #.shs : Valuation / Date------- : StartPr : BasisValue: Pr/Loss : Marg/Prem

=========

1a

+ : GG--- : comm.shs. : $31.07 : +364 :+$11,309 // 02 Aug. 13 : $27.45 : +$09,992 : +1,317 : $ 01,998

-- : AMZN: comm.shs. : 284.82 : - 033 : ($ 9,400) // 02 Aug. 13 : 305.57 : ($10,084) : +0,684 : $ 02,017

======================= : ==== :: +01,909 // ========= : ====== : $ -00,092 : + 2,001 : $ 04,015

1b

+ : GG--- : Sep$27C : $04.35 x +07ct = $ 03,045 // 02 Aug. 13 : $01.92 : +$01,344 : +1,701 : $ 01,344

-- : AMZN: Sep300P : $18.20 x +01ct = $ 01,820 // 02 Aug. 13 : $08.40 : +$00,840 : +0,980 : $ 00,840

======================= : ==== :: +04,865 // ======== : ====== : $+02,184 : +2,681 : $ 02,184

1c

+ : GG--- : Jan$27C : $05.55 x +07ct = $ 03,885 // 02 Aug. 13 : $03.25 : +$02,275 : +1,610 : $ 02,275

-- : AMZN: Jan300P : $29.00 x +01ct = $ 02,900 // 02 Aug. 13 : $20.15 : +$02,015 : +0,885 : $ 02,015

======================= : ==== :: +06,785 // ======== : ====== : $+04,290 : +2,495 : $ 04,290

==

2a

+ : POT-- : comm.shs. : $30.39 : +339 :+$10,302 // 02 Aug 13 : $29.48 : +$09,994 : +0,308 : $ 01,999

-- : MON- : comm.shs. : $94.99 : - 103 : ($ 9,784) // 02 Aug 13 : $97.37 : ($10,029) : +0,245 : $ 02,006

======================= : ==== :: +00,232 // ========= : ====== : $-00,035 :+$0,553 : $ 03,995

2b

+ : POT-- : Sep$29C : $02.16 x +07ct = $ 01,512 // 02 Aug. 13 : $02.04 : +$01,428 : +0,084 : $ 01,428

-- : MON- : Sep100P : $05.75 x +02ct = $ 01,150 // 02 Aug. 13 : $04.40 : +$00,880 : +0,270 : $ 00,880

======================= : ==== :: +02,478 // ========= : ====== : $+02,308 : +0,354 : $ 02,308

==== : Profit/(Loss) :: $+8,084

==== : +MargPrem :: $20,807

==== : Add: Cash--- : $79,193

 

= : Overall Value : $108,084 : +$8,084, +8.08 %

=======================

.

ALL TEN POSITIONS are now IN PROFIT, with spectacular gains this week on Goldcorp !

 

Overall gain in one week is over 7.2%, despite the -2.1% fall in SPX, from $1,691.42 to $1,655.83. It is great making money on Long positions like GG and POT while the market is falling.

 

There was an article in today's Asian WSJ talking about how: "More US Stocks Peel Away from Herd." In other words, the correlation between individual shares and the indices was fading somewhat, making it more of a Share Pickers market. This is an ideal market for the Pairs Trading portfolio.

 

Making money on both sides of the trade in a falling market is a good example of share picking success. Apparently, Traders are currently less focussed on macro events, like Central banker talk, than they used to be.

[drbubb]

A real kick-ass week ! Up 7.25% - Hurray !

 

Thanks mainly to Goldcorp, where gains in the week were: 14.4% (from $27.17 to $31.07)

 

GG / Goldcorp ... update: 12mos-chart

 

1a : GG--- : $31.07 : +364 :+$11,309 // 09 Aug. 13 : $27.17 : +$09,890 : +1,419 :

1b : GG--- : $04.35 x +07ct = $ 03,045 // 09 Aug.13 : $01.68 : +$01,176 : +1,869 :

1c : GG--- : $05.55 x +07ct = $ 03,885 // 09 Aug. 13 : $03.12: +$02,184 : +1,701 :

========

Sub-t. GG : =============================================== : $4,989 :

 

And on the move, the Portfolio made $ 4,989, that's 5.0% on the P/Port-1's $100k starting NAV.

[notanewmember]

Great "put" AMZN down to 287, so the 300 didn't hold, that was key - there was a weekly close beneath that round number. It may bounce off 280ish, but I don't know after that.

[drbubb]

WHEN TO TAKE PROFITS : IS One of the Key Questions that I have been asking myself in doing this thread...

 

I should be thinking about that, especially with regard to the Shorter dated options positions. So far, there has been enough volatiity in the GG/AMZN pair to make the short dated options equivalent (position- 1b ) be a bigger gainer than the outright long/short pair (1a).

 

Here's a summary

 

Profits

=====

1a : shs : GG-- : +$1,317 / AMZN: +$0,684 = +$2,001

1b : sep : GG-- : +$1,701 / AMZN: +$0,840 = +$2,681

1c : jan.: GG-- : +$1,610 / AMZN: +$0,885 = +$2,495

==

2a : shs : POT- : +$0,308 / AMZN: +$0,245 = +$0,553

2b : jan.: POT- : +$0,084 / AMZN: +$0,270 = +$0,354

.

Why did the OPTIONS outperform the SHARE positions on the GG/AMZN Pairs?

.

Here's the reason:

=====

+ The options positions had a similar delta as the outright positions when I put them on. (An At-The-Money options has a 50% delta. So for example, axxx)

+ When the underlying price (GG, AMZN) moved so quicklly, the delta of the options positions increased to well over 50%, so through the options, I captured a bigger profit, because the effective size of the Options position was bigger than the outright positions.

,

If I was doing frequent trading, I would rebalance the Options positions, by taking some profits, to reduce the size (of the delta) back to what would match the outright. Thus, I might sell about half the calls on GG. I will keep this idea under consideration. At near $34, I think it will be a very good idea to take profits on GG, if not before there.

 

On the POT/MON trade, the OPTIONS position did worse, because of the Time Decay on the POT calls.

[drbubb]

There's been a nice recovery in the Gold price, and it came from a good support level.

I reckon the dip this week was healthy

 

Charts :

 

+ GLD-3mos

+ GDX-3mos

 

I like to see this bounceback, but I am unimpressed by the low volume.

Perhaps the market is waiting for the Fed minutes tomorrow before the larger buying (or selling) volumes come in

 

GG is : $31.57 + $0.67 / +2.17% - That's more than Friday;s close,

 

And if I can sell half of the Sept. Calls at $4.90, I will do so today

(With GG at $31.62, the Mid is $4.62,

That means a TV of 0, I will consider this trade done, if.when the stock hits $31.90.)

[drbubb]

.... if I can sell half of the Sept. Calls at $4.90, I will do so today

(With GG at $31.62, the Mid is $4.62,

That means a TV of 0, I will consider this trade done, if.when the stock hits $31.90.)

 

Howzat !

The High for the day was $31.91, and so my order level was hit - I sell 4x Cts:

 

Before:

D : Symbol : Type---- : -Price- : #.shs : Valuation / Date------- : StartPr : BasisValue: Pr/Loss : Marg/Prem

=========

1b

+ : GG--- : Sep$27C : $04.35 x +07ct = $ 03,045 // 02 Aug. 13 : $01.92 : +$01,344 : +1,701 : $ 01,344

=========

I sell 4x Cts at $4.90, realizing a profit of $1,960 - $768 = $1,192 : on those contracts,

....and leaving

+ : GG--- : Sep$27C : $04.90 x +03ct = $ 01,470 // 02 Aug. 13 : $01.92 : +$0,568 : +0,902 : $ 00,562

[drbubb]

FRI-Price update

===

GG -. : $31.02 +$0.59

AMZN : 290.01 +$0.28

==

POT - : $29.86 +$0.20

MON : $96.22 -$0.03

--

GG---Sep$27C : $4.28

AmznSep300P : 12.50

GG---Jan$27C : $5.45

AmznJan300P : 25.70

--

POT-Sep$29C : $1.54

MONsep100P : $4.50

[drbubb]

DrB PORTFOLIO-1 : 23-Aug. (SPX at $1663.50, Down -2.70% from $1,709.67 start) :

.

Down - 1.80% in Week Three, and now + 6.13% overall.

The bounce is stocks eroded short positions, and did not benefit longs.

Time decay also eroded profits this week.

9 of 10 trades are now in profit.

=========================

. .

D : Symbol : Type-: 8/23 Price- : #.shs : Valuation / Date------- : StartPr : BasisValue: Pr/Loss : Marg/Prem

=========

1a

+ : GG--- : comm.shs. : $31.02 : +364 :+$11,291 // 02 Aug. 13 : $27.45 : +$09,992 : +1,299 : $ 01,998

-- : AMZN: comm.shs. : 290.01 : - 033 : ($ 9,570) // 02 Aug. 13 : 305.57 : ($10,084) : +0,514 : $ 02,017

======================== : ==== :: +01,721 // ========= : ====== : $ -00,092 : + 1,813 : $ 04,015

1b

+ : GG--- : Sep$27C : $04.28 x +03ct = $ 01,284 // 02 Aug. 13 : $01.92 : +$00,576 : +0,708 : $ 00,708

-- : AMZN: Sep300P : $12.50 x +01ct = $ 01,250 // 02 Aug. 13 : $08.40 : +$00,840 : +0,410 : $ 00,840

-- : Realised Profit-- : ------------------- = $ 01,192 // on GG Trade : ------ : +$00,000 : +1,192 :

======================== : ==== :: +03,726 // ======== : ====== : $+01,416 : +2,310 : $ 01,548

1c

+ : GG--- : Jan$27C : $05.45 x +07ct = $ 03,815 // 02 Aug. 13 : $03.25 : +$02,275 : +1,540 : $ 02,275

-- : AMZN: Jan300P : $25.70 x +01ct = $ 02,570 // 02 Aug. 13 : $20.15 : +$02,015 : +0,555 : $ 02,015

======================== : ==== :: +06,385 // ======== : ====== : $+04,290 : +2,095 : $ 04,290

==

2a

+ : POT-- : comm.shs. : $29.86 : +339 :+$10,123 // 02 Aug 13 : $29.48 : +$09,994 : +0,129 : $ 01,999

-- : MON- : comm.shs. : $96.22 : - 103 : ($ 9,911) // 02 Aug 13 : $97.37 : ($10,029) : +0,118 : $ 02,006

======================== : ==== :: +00,212 // ========= : ====== : $-00,035 :+$0,247 : $ 03,995

2b

+ : POT-- : Sep$29C : $01.54 x +07ct = $ 01,078 // 02 Aug. 13 : $02.04 : +$01,428 : -0,350 : $ 01,428

-- : MON- : Sep100P : $04.50 x +02ct = $ 00,900 // 02 Aug. 13 : $04.40 : +$00,880 : +0,020 : $ 00,880

======================== : ==== :: +01,978 // ========= : ====== : $+02,308 : -0,330 : $ 02,308

==== : Profit/(Loss): $+6,135

==== : +Marg/Prem :: $20,171

==== : Add: Cash--- : $79,829

 

= : Overall Value : $106,135 : +$6,135, +6.14 %

=======================

.

I took profits on only half of one trade. Perhaps I should have done more.

[drbubb]

I took profits on only half of one trade. Perhaps I should have done more.

 

Amazon has bounced off support on the 76d-MA

 

AMZN ... update-3yr : 1-year

 

.

[drbubb]

DrB PORTFOLIO-1 : 23-Aug. (SPX at $1663.50, Down -2.70% from $1,709.67 start) :

1b

+ : GG--- : Sep$27C : $04.28 x +03ct = $ 01,284 // 02 Aug. 13 : $01.92 : +$00,576 : +0,708 : $ 00,708

 

I Plan to Sell remaining GG Sept calls, if GG hits $31.99

[drbubb]

Plan to Sell remaining GG Sept calls, if GG hits $31.99

 

GG has traded over $32, and so I am out, at $5.00 per CT.

To keep things balance, I will also close out AMZN today - it is now at $283.50 - so the Put is worth $16.50

 

(Last Friday):

1b

+ : GG--- : Sep$27C : $04.28 x +03ct = $ 01,284 // 02 Aug. 13 : $01.92 : +$00,576 : +0,708 : $ 00,708

-- : AMZN: Sep300P : $12.50 x +01ct = $ 01,250 // 02 Aug. 13 : $08.40 : +$00,840 : +0,410 : $ 00,840

-- : Realised Profit-- : ------------------- = $ 01,192 // on GG Trade : ------ : +$00,000 : +1,192 :

======================== : ==== :: +03,726 // ======== : ====== : $+01,416 : +2,310 : $ 01,548

 

(Closing levels):

+ : GG--- : Sep$27C : $05.00 x +03ct = $ 01,500 // 02 Aug. 13 : $01.92 : +$00,576 : +0,924 :

-- : AMZN: Sep300P : $16.50 x +01ct = $ 01,650 // 02 Aug. 13 : $08.40 : +$00,840 : +0,810 :

-- : Realised Profit-- : ------------------- = $ 01,192 // on GG Trade : ------- : +$00,000 : +1,192 :

======================== : ==== :: +04,342 // ======== : ======= : $+01,416 : +2,926 :

 

Result on the 1b pair

-- : Realised Profit : +GG, -AMZN--- = $ 02,926 // on GG Trade : ------ : +$00,000 : +2,926 :

[drbubb]

My Next Pair Trade?

 

I am considering this pair: (but I want to do it through options only, to keep the risk down):

 

+ JCP / JC Penney : Tuesday: $13.17 -$0.18 : -1.35% (yr.range: $12.34 - $32.55)

vs:

- TTC / Toro Corp. : Tuesday: $52.83 -$0.81 : -1.51% (yr.range: $36.82 - $54.25)

=====

Ratio : $13.17 / $52.83 : 24.93%

 

(But the Trade is not yet confirmed.)

 

JCP / J.C. Penney ... update

 

TTC / Toro Corp ,,, update

 

RATIO

 

A better trade might be on the Red Trendline, if the Ratio dips down that far

[drbubb]

 

PAIRS TRADING PERFORMANCE :

 

Portfolio-01

Date-- : $Net Asset : Week% : Overall : Prof/Loss : Marg./Prem : Cash - As Pct. : --SPX--

02-Aug : $100,000 : - 0.00% : - 00.0% :$-00,000 : $ 08,020 : $ 91,980 : 91.9% : 1690.91

09-Aug : $100,832 : +0.83% : +00.8% : $ 00,832 : $ 20,807 : $ 79,193 : 78.5% : 1691.42

16-Aug : $108,084 : +7.19% : +08.1% : $ 08,084 : $ 20,807 : $ 79,193 : 73.2% : 1655.83

23-Aug : $106,135 : - 1.80% : +06.1% : $ 06,135 : $ 20,171 : $ 79,829 : 73.2% : 1663.50

 

A 6-8% gain in a single month, would be a terrific start for this sort of low-risk portfolio

[drbubb]

FRI-Price update

 

====== : Previous Week : Latest Friday

GG -. : $31.02 +$0.59 : $ 29.50 - $0.42

AMZN: 290.01 +$0.28 : $280.98 -$3.00

==

POT- : $29.86 +$0.20 : $29.64 +$0.04

MON- : $96.22 -$0.03 : $97.89 +$0.64

--

GG---Jan$27C : $5.45 : $4.43

AmznJan300P : 25.70 : 31.25

--

POT- Sep$29C : $1.54 : $1.40

MON-Sep100P : $4.50 : $3.25

 

(monitoring, new trade): target ratio : 0.23 or lower

===

JCP - : $13.17 - orig. : $12.48 +$0.08

TTC - : $52.83 - orig. : $52.81 - $0.68

Ratio- : R0.249- orig. : R0.236 / was 0.232-thu

 

I may have missed the trade on Thursday, at $12.40/$53.49 ,

because I was not monitoring it closely enough...

[drbubb]

DrB PORTFOLIO-1 : 30-Aug. (SPX at $1632.97, Down -4.49% from $1,709.67 start) :

.

Down just - 0.51% in Week Four, and now + 5.95% overall.

Time decay left 2b Options in a loss, while 2a was a breakeven.

The decision to exit trade 1b with a nice profit has proven wise.

=========================

. .

D : Symbol : Type-: 8/30 Price- : #.shs : Valuation / Date------- : StartPr : BasisValue: Pr/Loss : Marg/Prem

=========

1a

+ : GG--- : comm.shs. : $29.50 : +364 :+$10,738 // 02 Aug. 13 : $27.45 : +$09,992 : +0,746 : $ 01,998

-- : AMZN: comm.shs. : 280.98 : - 033 : ($ 9,272) // 02 Aug. 13 : 305.57 : ($10,084) : +0,812 : $ 02,017

======================== : ==== :: +01,466 // ========= : ====== : $ -00,092 : + 1,558 : $ 04,015

1b

+ : GG--- : Sep$27C : $05.00 x +03ct = $ 01,500 // 02 Aug. 13 : $01.92 : +$00,576 : +0,924 :

-- : AMZN: Sep300P : $16.50 x +01ct = $ 01,650 // 02 Aug. 13 : $08.40 : +$00,840 : +0,810 :

-- : Realised Profit-- : ------------------- = $ 01,192 // on GG Trade : ------- : +$00,000 : +0,000 :

======================== : ==== :: +04,342 // ======== : ======= : $+01,416 : +2,926 :

1c

+ : GG--- : Jan$27C : $04.43 x +07ct = $ 03,101 // 02 Aug. 13 : $03.25 : +$02,275 : +0,826 : $ 02,275

-- : AMZN: Jan300P : $31.25 x +01ct = $ 03,125 // 02 Aug. 13 : $20.15 : +$02,015 : +1,110 : $ 02,015

======================== : ==== :: +06,226 // ======== : ====== : $+04,290 : +1,936 : $ 04,290

==

2a

+ : POT-- : comm.shs. : $29.64 : +339 :+$10,048 // 02 Aug 13 : $29.48 : +$09,994 : +0,054 : $ 01,999

-- : MON- : comm.shs. : $97.89 : - 103 : ($10,083) // 02 Aug 13 : $97.37 : ($10,029) : (0,054) : $ 02,006

======================== : ==== :: -00,035 // ========= : ====== : $-00,035 :+$0,000 : $ 03,995

2b

+ : POT-- : Sep$29C : $01.40 x +07ct = $ 00,980 // 02 Aug. 13 : $02.04 : +$01,428 : -0,448 : $ 01,428

-- : MON- : Sep100P : $03.25 x +02ct = $ 00,650 // 02 Aug. 13 : $04.40 : +$00,880 : +0,020 : $ 00,880

======================== : ==== :: +01,630 // ========= : ====== : $+02,308 : -0,468 : $ 02,308

==== : Profit/(Loss): $+5,952

==== : +Marg/Prem :: $14,618

==== : Add: Cash--- : $85,382

 

= : Overall Value : $105,952 : +$5,952, +5.92 %

[drbubb]

THU-Price update / in edit: Friday was added

 

============= : 2WksAgo : 8/30 : 09/05 : 09/06 :

SPX-Index --- : 1,6XX. : 1,6XX. : 1,6XX. : 1655.17

GG -.Goldcorp. : $31.02 : $29.50 : $28.99 : $29.35

AMZN-Amazon: 290.01 : 280.98 : 294.00 : 295.86

==

POT-.PotashCp : $29.86 : $29.64 : $30.13 : $30.17

MON-Monsanto : $96.22 : $97.89 : 101.49 : $99.89

--

GG---Jan$27C : $ 5.45 : $ 4.43 : $ 4.XX : $ 4.20

AmznJan300P : $25.70 : $31.25 : 2X.XX : $22.42 :

--

POT- Sep$29C : $ 1.54 : $ 1.40 : $ 1.XX : $ 1.46 :

MON-Sep100P : $ 4.50 : $ 3.25 : $ 2.XX : $ 1.66 :

===

JCP -JCPenney : $13.17 : $12.48 : $14.22 : $14.27

TTC -Toro Corp : $52.83 : $52.81 : $53.22 : $53.16

==== : Ratio--- : R0.249 : R0.236 : R0.267 : R0.

 

It does seem now that I missed a good trade with +JCP/-TTC,

since the Jump in the ratio was from 0.236 to 0.267: +13.13%

That's worth $1,313 on a $20,000 trade: $10,000 each side.

A pity !

===

 

MON is going against me.

Since 2b was done thru options with limited risk, I have a built-in partial stabiliser

 

Monsanto, thursday 8/05 : $101.40 +$0.59 ... chart update : 3-yrs