June Performance

I had a good day today. Most of my stuff was up. My last position expiring in June was DY and it was even up a little. The options were illiquid, so I decided to try something new for closing this position. I shorted DY at 19.23. When I get assigned shares at 20, they will cover my short and lock in a loss of $0.77 per share. I collected $0.39 of premium per share so I believe I have locked in a loss of only $38 per contract. This was my only loss this month. I'm very happy that it was only 38 bucks. At times this contract was selling for 150 or so.

Remember those "short-squeeze" plays I entered into because of a Cramer article? Well I sold my TXCC common a while back for a push (0.02 per share profit). I probably would have sold my in-the-money MLNM options too if the contract had been more liquid, but the bid-ask spread was huge and the stock wasn't doing much so I opted to just wait until closer to expiration when hopefully the contract might become more liquid. Well I woke up to a nice surprise today. MLNM was up over a buck. Maybe the short-squeeze I've been waiting so long for is finally starting...

Here's a quick-and-dirty run-down of the June short put Portfolio (commissions included):

MOVI: +$33
NVDA:+$43
MO:+$74
GS:+$84
CBH:+$49
ONXX:+$59
DY:-$38

With hedging and transaction costs I earned aproximately 2.05% on margined capital. This would be a 19.9% annualized (non-compounded) return. Had DY expired worthless, I would have made around 2.63% ROI instead. This would have been an annualized return of 25.6%. The maximum return I could have achieved from this portfolio would have been around 2.85% , assuming all options expired worthless without any early position closures (and associated transaction costs). I am pleased with these results. I would be happy if I could duplicate this every month. We'll see if I can.

On Monday I will be seriously underinvested. Expiring in July, currently I only have RIMM 60 puts short @ $0.84 and DNA 75 puts short @ $1.04. Both positions are presently showing profits. I also have NOV 20 PLMO puts short @ $0.84. That's it. Interestingly enough, even though PLMO was up over a buck today, the NOV puts were at break-even. Implied Volatility must be expanding quickly in these options.

Even though I'm underinvested I am reluctant to open new positions. I just don't see anything I'm terribly excited about out there. Allso, I am reluctant to open positions until I have some better option analysis tools. Currently I use these free web based tools to examine and screen options I'm interested in: finance.yahoo.com, IVolatility.com, and OptionsClub.com. These sites are pretty useful, but there are some more specific types of screens and analysis I would like to be able to do which I just cannot do using those publicly available tools.

One tool that I really need is a program that can compute the probability of profit and theoretical odds (according to Black-Scholes) of an arbitrary option contract. The above tools can do this to some capacity, but they are generally screening tools so you have to figure out a screen that will bring up the particular option your interested in. Often I just can't get the info for a particular option to display. Furthermore, in addition to probability of profit, I'd like to compute the probability of the option ever being in the money before arbitrary time intervals. I hope to write a program in the near future to do all of this using Monte-Carlo analysis. The program would ultimately integrate my stricknet.com data, and perhaps realtime quotes through interactive brokers TWS API. I think this could be done in a good solid weekend. I'm so busy though and the San Diego Summers are so warm. The beach beckons.