Out with an 18% Profit

With these trades I sold all the securities in the delta neutral portfolio on Thursday:



I am going to review each security in the portfolio.



I lost 11.73% with JNJ and I should not have considering that it did make a move. I suspect that it was mispriced when I opened the position. The delta of the call was 0.3 and the delta of the put was -0.7. During the time that JNJ moved from $64.25 to $65, the call moved from $0.5 to $0.75 and the put from $1.5 to $0.8, giving effective deltas of 0.33 and -0.93. That is the delta of the put was substantially underestimated.







I made 22.03% on KFT. It was a well timed sharp move.







The gain on NFI was just 4.94%. Just churning.







RAI gave me a 27.71% gain. Nice move between the Bollinger Band and the moving average, even if it is a bit late in the volatility expansion for this stock.







I lost 2.84% with USG. This one was churning.







I made a 36.51% gain on TYC. This was a momentum trade in volatility since the expansion started in the middle of September.






Categories: stock options, volatility, delta neutral
Technorati Tags: stock options, volatility, delta neutral