The Energy Select Sector SPDR ETF (XLE)

Update 2/22/2020: I’ve exited my short iron condor position on XLE for $1.11 per contract/share, a loss of 71 cents, with shares trading at $54.30, down $5.13 from the entry price. I unwound the position in two moves, first buying back the short put spread, which was in the money and so prone to exercise, and then allowing short call spead to expire without a profit, leaving the partial results unchanged.

XLE began a constant fall six days after I entered the position, reaching a point around the short put strike price once it settled. The implied volatility rank stood at 40.5% at exit, which is 8.8 points above the entry level. Short option trades anticipate a decline in the IVR because it contributes to the profit. Not so in this case.

The options position produced a 64.0% loss over 41 days for a -569% 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 February 21. The premium is a $0.40 credit and the stock at the time of entry was priced at $59.43.

The profit zone for this position is between $62.40 on the upside and $55.40 on the downside.

The implied volatility rank (IVR) stands at 31.7%.

Premium:	$0.40	Expire OTM
XLE-iron condor	Strike	Odds	Delta
Long	63.21	87.0%	14
Break-even	62.40	83.0%	18.5
Short	62.00	79.0%	23
Puts
Short	56.21	77.0%	21
Break-even	55.40	81.0%	17.5
Long	55.00	85.0%	14

The premium is 33.1% of the width of the position’s wings.

The profit zone covers a 5.0% move to the upside and a 7.3% move to the downside of the entry price, for total coverage of 12.3%

The risk/reward ratio is 2.0:1, with maximum risk of $81 and maximum reward of $40 per contract.

By Tim Bovee, Portland, Oregon, January 9, 2020

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11:35 a.m. New York time

Here are today’s stock trades:

• Value Portfolio
  • Entries
    • MET, for a $52.53 debit
    • SIG, for an $18.84 debit
• Growth Portfolio
  • Exits
    • AMED, for a  $173.74 credit, up $6.26 from entry, producing a 4.7% return over two days, or a +682% annual rate.
    • TX, a $22.02 credit, a gain of 8 cents from the price at entry. The return is 0.4% over one day for a +133% annual rate.
  • Entries
    • FN, for a $66.00 debit
    • MHO, a $42.83 debit
• Momentum Portfolio
  • Exits
    • ENPH, for a $31.74 credit, up $2.91 from the entry level, producing a 10.1% return over two days for a +1,839% annual rate.
    • PERI, an $8.41 credit, up 22 cents from entry, showing a return of 2.6% over one day for a +960% annual rate.
• Bench Portfolio
  • Transferred in from
    • Growth: CNXM
    • Momentum: DQ, PFGC, TALO and TNK

11:05 a.m. New York time

Stocks. As noted below, I’m discontinuing the Momentum Portfolio as a primary vehicle. I’ll retain it as a secondary, meaning if a symbol is dropped from one of the other portfolios but appears on the Momentum screen, I’ll retain it until it disappears from that screen as well. And, if it has disappeared from all screens but still has a “strong buy” score from Zacks, I’ll hang onto it in the Bench Portfolio.

Meanwhile, I’m building out the Value Portfolio as a new primary vehicle, which I expect to be fairly stable. By Value I mean stocks who appear to be worth less than they should be according to their financial metrics.

Today I exited two positions from Growth and Momentum, respectively, added two each to Value and Growth, transferred four from Momentum to the bench, and ignored five additions to Momentum. Details to come.

10 a.m. New York time

In stocks, today’s Momentum Portfolio changes using the Zacks algorithm continues to churn — 10 exit signals, most of which were entry signals within the last couple of days.

I am declaring the Momentum Portfolio to be a failure, won’t be replacing today’s exits and will retire the portfolio as soon as the positions that remain have received their exit signals.

9:45 a.m. New York time

I’ve entered a short iron condor position on XLE and posted the analysis.

9:35 a.m. New York time

The implied volatility rank on XLE, the energy exchange-traded fund remains above 30% and the uncertainty in the Middle East appears to have lessened. I’ll be analyzing XLE for a short iron condor position this morning.

By Tim Bovee, Portland, Oregon, January 9, 2020

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Technology Select Sector SPDR Fund (XLK)

Update 2/19/2020: I exited my short iron condor position on XLK for a $2.01 debit per contract share, a loss of $2.44 per contract share. The underlying stock was trading for $102.90, up $3.00 from the entry price. 

XLK stayed on a nearly constant uptrend during my holding period, moving above the $96 short call strike price into unprofitability, where it stayed. The implied volatility rank was 28.8% at the close, down 2.8 points from the entry level.

The options position produced a 60.7% loss over 40 days for a 128% annual rate.

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I have entered a short iron condor spread on XLK, using options that trade for the last time 44 days hence, on February 21. The premium is a $0.79 credit and the stock at the time of entry was priced at $92.66.

The profit zone for this position is between $96.79 on the upside and $85.79 on the downside.

The implied volatility rank (IVR) stands at 55.3.

Premium:	$0.79	Expire OTM
XLK-iron condor	Strike	Odds	Delta
Long	98.00	89.0%	12
Break-even	96.79	83.0%	18.5
Short	96.00	77.0%	25
Puts
Short	88.00	76.0%	22
Break-even	85.79	81.0%	17.5
Long	85.00	86.0%	13

The premium is 31.6% of the width of the position’s wings.

The profit zone covers a 4.4% move to the upside and an 8.1% move to the downside of the entry price, for total coverage of 12.5%

The risk/reward ratio is 2.2:1, with maximum risk of $171 and maximum reward of $79 per contract.

By Tim Bovee, Portland, Oregon, January 8, 2020

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3:10 p.m. New York time

Today’s stock trades.

• Growth Portfolio
  • Exits
    • BYD, for a $29.78 credit, up 51 cents from the entry price, producing a 1.7% return over two days for a +318% annual rate.
  • Entries
    • ITRI, for a $83.33 debit
    • LPLA, a $96.16 debit
    • TX, a 21.94 debit
  • Transferred to the Bench: HII
• Momentum Portfolio
  • Entries
    • CS, for a $13.93 debit
    • PERI, an $8.19 debit
    • SNE, a $70.60 debit
    • TGNA, a $17.04 debit
  • Transferred
    • From the Bench: DQ
    • FORM, duplicating the Growth Portfolio position.
• Genetics Portfolio
  • Exits
    • CLLS, for a $16.78 credit, up 4 cents from entry. The return was 0.3% over one day for a +90% annual rate.
• Bench Portfolio
  • Exits
    • STM, for a 27.31 credit, up 58 cents from original entry in the Growth Portfolio, producing a 2.2% return over 2 days for a +398% annual rate.

9:45 a.m. New York time

XLK Analysis posted.

9:35 a.m. New York time

The exchange traded fund XLK moved to a high implied volatility rank this monring, and I’ve entered a short iron condor position. Analysis to come.

By Tim Bovee, Portland, Oregon, January 8, 2020

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iShares MSCI Emerging Markets exchange traded fund (EEM)

Update 2/11/2020: I’ve exited my short iron condor position on EEM for a $0.15 debit — identical to the profit — with shares trading a $44.14, down $0.66 from the price at entry. 

EEM peaked four days after I entered the position, dithered near the top for four more days, and then began a sharp decline for nine days. It thereafter recovered about half of its loss, allowing the options to reach my optimal exit level, which is half of maximum potential profit.

The implied volatility rank stands at 27.4%, down two points from the entry level.

Shares showed a net decline of 1.5% over 35 days,  or a -15% annual rate. The options position produced a 100% yield for a +1,043% annual rate.

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I have entered a short iron condor spread on EEM, using options that trade for the last time 45 days hence, on February 21. The premium is a $0.30 credit and the stock at the time of entry was priced at $48.83

The profit zone for this position is between $47.03 on the upside and $42.03 on the downside.

The implied volatility rank (IVR) stands at 27.6.

Premium:	$0.30	Expire OTM
EEM-iron condor	Strike	Odds	Delta
Long	47.73	90.0%	10
Break-even	47.03	84.5%	15.5
Short	46.73	79.0%	21
Puts
Short	43.00	76.0%	23
Break-even	42.03	81.0%	18
Long	41.73	86.0%	13

The premium is 26.4% of the width of the position’s wings.

The profit zone covers a 4.9% move to the upside and a 6.7% move to the downside of the entry price, for total coverage of 11.6%

The risk/reward ratio is 2.8:1, with maximum risk of $83.50 and maximum reward of $30.00 per contract.

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

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The Industrial Select Sector SPDR Fund  (XLI)

Update 2/4/2020: I exited my short iron condor on XLI 17 days before expiration, for 21.7% of maximum potential profit. The exit debit was $0.36 per contract share, for a $0.10 profit, with shares trading at $83.58, up $0.91 from the entry level.

XLI followed the broad market pattern of peaking in mid-January, about a week after I entered the position, and then falling for more than a week thereafter. The implied volatility rank closed at 35.5%, which is 3.5 points higher than the level at entry. For the short iron condor strategy, the hope is always for a falling IVR as the options approach expiration.

Shares rose by 1.1% over 28 days, or a +14% annual rate. The options position produced a 27.8% return for a 362% annual rate.

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I have entered a short iron condor spread on XLI, using options that trade for the last time 45 days hence, on February 21. The premium is a $0.46 credit and the stock at the time of entry was priced at $82.67

The profit zone for this position is between $86.46 on the upside and $77.46 on the downside.

The implied volatility rank (IVR) stands at 31.1.

Premium:	$0.46	Expire OTM
XLI-iron condor	Strike	Odds	Delta
Long	87.00	88.0%	12
Break-even	86.46	84.5%	15.5
Short	86.00	81.0%	19
Puts
Short	79.00	78.0%	22
Break-even	77.46	83.5%	16.5
Long	77.00	89.0%	11

The premium is 30.7% of the width of the position’s wings.

The profit zone covers a 4.6% move to the upside and a 6.7% move to the downside of the entry price, for total coverage of 11.3%

The risk/reward ratio is 2.3:1, with maximum risk of $104 and maximum reward of $46 per contract.

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

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SPDR S&P Biotech exchange traded fund (XBI)

Update 2/3/2020: I’ve exited my short iron condor on XBI with 18 days to go before expiration. The exit debit was $0.93, producing a profit of $0.13 per contract share ($13 per contract). Shares were trading at $89.91, down $4.18 from their entry level. The exit came at 12.3% of maximum potential profit.

XBI roamed along in a sideways pattern for eight days after entry, and then began a five-day decline that brought it close to the short puts strike price, where it established a new sideways trend. Implied volatility nearly doubled during the holding period, rising by 31.6 points from 32.0% to 63.6%.

Shares declined by 4.4% over 27 days, or a -60% annual rate. The options position produced a 14.0% return for a +189% annual rate.

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I have entered a short iron condor spread on XBI, using options that trade for the last time 45 days hence, on February 21. The premium is a $1.06 credit and the stock at the time of entry was priced at $94.09.

The profit zone for this position is between $102.06 on the upside and $84.06 on the downside.

The implied volatility rank (IVR) stands at 32.0%.

Premium:	$1.06	Expire OTM
XBI-iron condor	Strike	Odds	Delta
Long	104.00	90.0%	12
Break-even	102.06	85.5%	16.5
Short	101.00	81.0%	21
Puts
Short	87.00	77.0%	21
Break-even	84.06	82.0%	16
Long	83.00	87.0%	11

The premium is 30.3% of the width of the position’s wings.

The profit zone covers an 8.5% move to the upside and an 11.9% move to the downside of the entry price, for total coverage of 20.4%

The risk/reward ratio is 2.31, with maximum risk of $244 and maximum reward of $106 per contract.

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

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The Health Care Select Sector SPR Fund (XLV)

Update 1/31/2020: I’ve exited my short iron condor position on XLV, with 21 days left until the options expire. I got out for a debit of $0.59 per contract share, a profit of $0.08, with the stock trading at $99.29, down $2.25 from the entry level. My exit was at 11.9% of maximum potential profit.

XLV peaked 11 days after I entered the position and the began a sharp decline that was in its 7th day when I closed the position. Implied volatility did the opposite of what short option traders hope for, rising (rather than falling) by 33.65 points to 65.9%.

Shares showed a net decline of 2.2% over 24 days, or a -34% annual rate. The options position produced a 13.6% return for a +206% annual rate.

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I have entered a short iron condor spread on XLV, using options that trade for the last time 45 days hence, on February 21. The premium is a $0.67 credit and the stock at the time of entry was priced at $101.54

The profit zone for this position is between $105.67 on the upside and $95.00 on the downside.

The implied volatility rank (IVR) stands at 32.3%.

Premium:	$0.67	Expire OTM
XLV-iron condor	Strike	Odds	Delta
Long	106.33	87.0%	13
Break-even	105.67	82.0%	17.5
Short	105.00	77.0%	22
Puts
Short	97.33	77.0%	23
Break-even	95.00	82.0%	18
Long	94.33	87.0%	13

The premium is 30.9% of the width of the position’s wings.

The profit zone covers a 4.1% move to the upside and a 6.9% move to the downside of the entry price, for total coverage of 11.0%

The risk/reward ratio is 2.2:1, with maximum risk of $149 and maximum reward of $67 per contract.

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

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iShares 20+ Year Treasury Bond ETF (TLT)

Update 2/22/2020: I my short iron condor position on TLT, three days before the options expire. The debit was $2.18, a loss of $2.80 per contract/share. The unraveled the position in two steps, selling the in-the-money short call spreads on February 19, and then allowing the short put spreads to expire worthless after the Friday’s closing bell. Shares were trading at $145.45 at exit, $7.37 above their level at entry.

The underlying stock began to climb two days after I entered the options position, largely staying, unprofitably, above the short call strike price for the remaining time I held the position. The implied volatility rank was 40.5% at exit, 8.8 points above the entry level.

The options position produced a -64.2% loss over 43 days for a -545% annual rate.

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I have entered a short iron condor spread on TLT, using options that trade for the last time 45 days hence, on February 21. The premium is a $0.78 credit and the stock at the time of entry was priced at $138.08.

The profit zone for this position is between $143.78 on the upside and $131.78 on the downside.

The implied volatility rank (IVR) stands at 36.7%.

Premium:	$0.78	Expire OTM
TLT-iron condor	Strike	Odds	Delta
Long	146.00	89.0%	11
Break-even	143.78	83.5%	16
Short	143.00	78.0%	21
Puts
Short	134.00	79.0%	23
Break-even	131.78	84.5%	16.5
Long	131.00	90.0%	10

The premium is 26.0% of the width of the position’s wings.

The profit zone covers a 4.1% move to the upside and a 4.9% move to the downside of the entry price, for total coverage of 8.9%

The risk/reward ratio is 2.8:1, with maximum risk of $222 and maximum reward of $78 per contract.

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

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SPDR Gold Shares (GLD)

Update 1/22/2020: GLD reached its management goal — half of maximum potential profit (49.5%) — and I exited for a $0.49 debit per share, leaving $48 profit for each 100-share contract. The stock was priced at $146.50 at exit, down $1.30 from the entry level.

GLD fell slightly on the third day of the position, and then traced a sideways pattern within a narrow range. The implied volatility rank fell during the hold period by 27.1 points, to 18.8%

Shares declined by 0.9% over 15 days, or a -21% annual rate. The options position rose by 98.0% for a +2,384% annual rate.

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I have entered a short iron condor spread on GLD, using options that trade for the last time 45 days hence, on February 21. The premium is a $0.97 credit and the stock at the time of entry was priced at $147.80.

The profit zone for this position is between $154.97 on the upside and $142.97 on the downside.

The implied volatility rank (IVR) stands at 45.9%.

Premium:	$0.97	Expire OTM
GLD-iron condor	Strike	Odds	Delta
Long	159.00	89.0%	12
Break-even	154.97	83.0%	18
Short	154.00	77.0%	24
Puts
Short	144.00	78.0%	24
Break-even	142.97	82.5%	19
Long	142.00	87.0%	14

The premium is 27.7% of the width of the position’s wings.

The profit zone covers a 4.9% move to the upside and a 3.4% move to the downside of the entry price, for total coverage of 8.2%

The risk/reward ratio is 2.6:1, with maximum risk of $253 and maximum reward of $97 per contract.

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

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