9:50 a.m. New York time

This is expiration week for my remaining short iron condor positions in the FEB options series. TLT, XLE and XLK all remain well in the money on one leg. I’ll give them another day, for time decay to work (decay being in my favor for short positions), and exit the losing legs on Wednesday, allowing the remaining spreads to expire valueless (also in my favor).

In stocks, the focus portfolios today are Momentum and Robotics. Given AAPL’s sharp decline in response to the impact of the COVID19 virus on its manufacturing operations in China, I jumped in and expanded my holdings in the company, which appears on the Robotics Portfolio. It gives me slightly outsized exposure in AAPL, but I’m comfortable with that. AAPL’s entry debit was $318.00 per share.

Two positions dropped off of their portfolios — IBP in Growth and CYH in Momentum — and I’ve transferred them to the Bench.

By Tim Bovee, Portland, Oregon, February 18, 2020

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11:30 a.m. New York time

I exited the stock in my Income Portfolio, replacing it with a stock in the SP500 Portfolio. I also added a position to the Growth Portfolio — today’s focus, along with Genetics — and moved a Momentum position to the Bench.

The Income position, JCAP, was in the small remainder of a Roth IRA. It fell to a Zacks rank of hold (3) with the lowest scores possible for all three strategies — value, growth and momentum. All of this and more than a month to go before the first quarterly dividend.

JCAP went for a $20.31 per-share credit, up 29 cents from entry, producing a 1.4% return over 17 days for a 31% annual rate. Sorry to miss the 1.7% quarterly dividend, but so it goes.

Rather than bringing another income play on board, I turned to the blue chips in the SP500 Portfolio, entering RL in the Roth account, for a debit of $121.97 per share.

In the Growth Portfolio I added a position in IBP for a debit of $75.28.

APAM dropped off the Momentum Portfolio but, with a rank of strong buy (1), it qualifies for the Bench. I’ll continue to hold the position until the Zacks rank falls below hold (3) or, while at hold, the momentum score falls below B (where it sits today).

Monday is a market holiday in the United States. Trading resumes on Tuesday, February 18.

That day also begins expiration week for my February short iron condors. Three options positions remain: TLT, XLE and XLK. All have options that are out of the money, and Tuesday or Wednesday I shall dispose of those portions of the positions and allow what’s left to expire without value, the preferred outcome for short options positions like these.

In stocks, Tuesday’s focus will be on the Momentum and Robotics portfolios.

By Tim Bovee, Portland, Oregon, February 14, 2020

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10:40 a.m. New York time

No exits today. For entries, the focus portfolios are Value and the S&P 500. The new SP500 portfolio is lagging its companion, Value, and so I chose both new positions from the SP500: DAL for $58.80 per share and QRVO for $110.26.

OESX dropped off the Momentum portfolio, the day after I entered the position, and I have moved it to the Bench.

By Tim Bovee, Portland, Oregon, February 13, 2020

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12:20 p.m. New York time

Little trading today, with no exits and two entries, in the Momentum Portfolio, today’s focus. Also, a couple of transfers from the Bench back into their respective portfolios, a new portfolio and a rotation change to accommodate it.

First, the entries: DVA for an $88.04 per share debit, and OESX for a $5.70 debit.

The transfers from the Bench: CYH again qualified for the Momentum Portfolio and SPLK, for Robotics.

I’ve noted that the Zacks algorithm serves up an uncommonly large number of mid-cap and small-cap symbols. No surprise. They tend to be the most volatile.

However, I do see value in balancing my holdings with some large caps. So I’ve created a portfolio consisting of the S&P 500 index symbols with a strong buy rank (1) from Zacks. There are today 21 symbols that meet that criteria, about 4% of the 505 stocks in the S&P 500. I already hold two symbols: DVA in Momentum — today’s purchase — and PHM in Growth.

I’m shortening the new portfolio to SP500, treating it as a watchlist portfolio, and modifying the rotation to pair each watchlist portfolio with a strategy portfolio. So tomorrow will be Value and SP500, Friday will pair Growth and Genetics, and Tuesday, after the Monday market holiday, will pair Value and Robotics, and then the day after the rotation will begin again with Value/SP500.

By Tim Bovee, Portland, Oregon, February 12, 2020

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12:35 p.m. New York time

I exited one stock position, IBTX, from today’s focus portfolio, Growth, and entered two positions in that portfolio. SNX in Growth and IMKTA in Value were both moved to the Bench as they ceased to qualify for their strategy portfolios. MOD qualified again for the Value portfolio and left the Bench, no doubt happy to be back in the game.

The details:

• Growth
  • Exit
    • IBTX, for a $55.17 credit per share, a return of $1.53 over 11 days, or 2.8%, a 94% annual rate.
  • Entries
    • LITE, for a $92.30 debit per share.
    • STM, a $30.88 debit.
  • Benched
    • SNX
• Value
  • Benched
    • IMKTA
  • Returned from Bench
    • MOD

12:20 p.m. New York time

I’ve updated EEM Analysis with results.

11:05 a.m. New York time

I’ve exited my short iron condor position on TLT for 50% of maximum potential profit, with 10 days to go before expiration on February 21. I’ll update the analysis later today with detailed results.

By Tim Bovee, Portland, Oregon, February 11, 2020

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10:30 a.m. New York time

Two stock positions from the Bench gave exit signals from the Zacks algorithms.

SNPS, which had been in Robotics for six days and on the Bench for five, produced a breakeven after it’s momentum strategy score dropped to C, alongside its D score for the growth strategy. My Bench rules for watchlist holdings requires an A or B score for either growth or momentum

KMTUY failed to qualify for its portfolio after a day, and three days after that was kicked off the Bench after its rank declined 4 (sell). It was also upon entry in the Robotics Portfolio. The stock fell sharply on Friday, producing a heavy loss upon exit today.

I used the funds freed up by the exits to add two positions to today’s focus portfolio, Value.

The details:

• Value
  • Entries
    • GIII, for a $27.91 debit per share.
    • SNPS, a $154.91 debit.
• Bench
  • Exits
    • KMTUY, for a $21.41 credit per share, $1.10 below the entry price, producing a 4.9% loss over four days for a -444% annual rate.
    • SNPS, for a $154.91 credit, unchanged from the entry point, producing neither a loss or a gain over 11 days.

By Tim Bovee, Portland, Oregon, February 10, 2020

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12:10 a.m. New York time

I quite carelessly failed to check out the Genetics and Robotics portfolios on my run through the tables this morning. A new entry from yesterday, KMTUY, whipsawed off of the qualifying Robotics symbols, and I’ve moved it to the Bench, with a Zacks rank of 3 (hold), a Value score of A and Growth and Momentum scores of B. I’ve made corresponding changes below.

11:55 a.m. New York time

My revised rule set for stocks, posted to the menu bar Trading Rules pulldown earlier in the week, has successfully stopped the mad churn of entries and exits that threatened to bring my system down in to pile of rubble. It’s very much like waking up to clear skies and a beautiful dawn after an overnight typhoon.

I made a slight change this morning to tighten the Bench rules up just a bit. As initially posted, the rule set required a Zacks strategy score of C or better for symbols on the Bench. I’ve changed that to a score of B or better. It triggers no change at this point, as all Benched symbols meet the higher standard.

In stock trades today, no exits and no transfers to the Bench. I entered one position in today’s focus portfolio.

Stock Trades

• Momentum Portfolio
  • Entry
    • APAM, for a $36.33 debit
• Robotics Portfolio
  • To the Bench
    • KMTUY

By Tim Bovee, Portland, Oregon, February 7, 2020

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VanEck Vectors Semiconductor ETF (SMH)

Update 3/21/2020: My short iron condor position on SMH unwound in several steps. The short puts were assigned on March 13, and in return long shares were placed in my account. I continued to hold the calls until they expired after the closing bell on Friday, March 20.

I entered the position in early February, before the crash. SMH rose to a peak on February 14, traded in a range for three days and then began a swift and relentless fall. The implied volatility rank was 73.0% at the exit, up 31.4 percentage points from the entry level.

In calculating the results I’ll do the options and the shares separately, and the calculated a combined result.

Overall, the options produced a $14.20 credit per contract/share, which added to the $1.27 credit at entry resulted in a $15.47 credit. The shares underlying the options opened exit day at $107.15 per share, down $39.90 from the entry level.

Those shares declined by 27.1% over 36 days for a -393% annual rate. The options position produced a 1108.1% return for a +11235% annual rate.

The long shares of SMH were placed in my account after assignment for a $137.00 debit per share, and I sold them for a $116.5 credit, a loss of $20.42 per share, or $14.9%, a -5,440% annual rate.

The total return, options and shares, was a loss of $4.95 per share.

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I have entered a short iron condor spread on SMH, using options that trade for the last time 43 days hence, on March 20. The premium is a $1.27 credit and the stock at the time of entry was priced at $147.00

The profit zone for this position is between $157.27 on the upside and $133.27 on the downside.

The implied volatility rank (IVR) stands at 31.4.

Premium:	$1.27	Expire OTM
SMH-iron condor	Strike	Odds	Delta
Long	159.00	88.0%	13
Break-even	157.27	84.0%	17
Short	156.00	80.0%	21
Puts
Short	137.00	77.0%	21
Break-even	133.27	81.5%	17
Long	132.00	86.0%	13

The premium is 31.8% of the width of the position’s wings.

The profit zone covers a 7.0% move to the upside and a 10.3% move to the downside of the entry price, for total coverage of 17.3%

The risk/reward ratio is 2.1:1, with maximum risk of $273 and maximum reward of $127 per contract.

By Tim Bovee, Portland, Oregon, February 6, 2020

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Consumer Staples Select Sector SPDR Fund (XLP)

Update 3/13/2020: I entered my short iron condor position on XLP prior to the Crash of 2020, and exited on March 13, a week before expiration, for a significant loss.

I exited for a $1.04 debit per contract share, a loss of $0.74, with shares trading for $54.42, down $9.95 from entry.

The markets generally began a sharp decline from their peak on February 19 at an unusually swift velocity. The implied volatility rank at exit was 91.8%, up 56.4 points from the entry level.

Shares declined by 18.3% over 36 days, or a -98% annual rate. The options position produced an 73.1% loss for a -461% annual rate.

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I have entered a short iron condor spread on XLP, using options that trade for the last time 43 days hence, on March 20. The premium is a $0.30 credit and the stock at the time of entry was priced at $64.37.

The profit zone for this position is between $66.30 on the upside and $61.30 on the downside.

The implied volatility rank (IVR) stands at 35.4%.

Premium:	$0.30	Expire OTM
XLP-iron condor	Strike	Odds	Delta
Long	67.00	88.0%	12
Break-even	66.30	81.0%	18.5
Short	66.00	74.0%	25
Puts
Short	62.00	81.0%	20
Break-even	61.30	84.5%	16.5
Long	61.00	88.0%	13

The premium is 30% of the width of the position’s wings.

The profit zone covers a 3% move to the upside and a 5% move to the downside of the entry price, for total coverage of 8%

The risk/reward ratio is 2.3:1, with maximum risk of $70 and maximum reward of $70 per contract.

By Tim Bovee, Portland, Oregon, February 6, 2020

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The Energy Select Sector SPDR ETF (XLE)

Update 3/13/2020: I entered my short iron condor position on XLE prior to the Crash of 2020, and exited on March 13, a week before expiration, for a significant loss.

I exited for a $2.19 debit per contract share, a loss of $3.54, with shares trading for $30.52, down $24.08 from entry.

The markets generally began a sharp decline from their peak on February 19 at an unusually swift velocity. The implied volatility rank at exit was 90.2%, up 36.6 points from the entry level.

Shares declined by 78.9% over 36 days, or a -237.5% annual rate. The options position produced an 82.7% loss for a -806% annual rate.

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I have entered a short iron condor spread on XLE, using options that trade for the last time 43 days hence, on March 20. The premium is a $0.42 credit and the stock at the time of entry was priced at $54.60.

The profit zone for this position is between $58.42 on the upside and $49.63 on the downside.

The implied volatility rank (IVR) stands at 53.6%.

Premium:	$0.42	Expire OTM
XLE-iron condor	Strike	Odds	Delta
Long	59.21	90.0%	11
Break-even	58.42	86.0%	15
Short	58.00	82.0%	19
Puts
Short	51.21	79.0%	20
Break-even	49.63	84.0%	15
Long	49.21	89.0%	10

The premium is 26.2% of the width of the position’s wings.

The profit zone covers a 7.0% move to the upside and a 10.0% move to the downside of the entry price, for total coverage of 17.0%

The risk/reward ratio is 2.8:1, with maximum risk of 118.60$ and maximum reward of $42.00 per contract.

By Tim Bovee, Portland, Oregon, February 5, 2020

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