2007-07-30 JW Trading Activity :

Initiated long position with SFBHP SPY AUG 146 Call @4.50.

Add to long position with DAWHZ - DIA AUG 130 Call @5.00.

Open position : 2.

2007-07-26 JW Trading Activity : Arb play

Today the options buy signal was strong until about 2 hours before the market close it started to fade. Does this mean tomorrow is going to be a down day? I don't know and quite frankly, I don't really care either. So I dicided to test the arbitrage concept again. The money in play was minimal but outcome is a positive one.

2007-07-12 JW Trading Activity : Year To Date 49.25%

Should've opened position at the close yesterday at $3.4 but instead got in at the market open this morning @4.10, missed 20%+ potential profit over night. Lunch meetings at market close hour, what can I say. Once the market opened I pulled the trigger without hesitation, and got my position filled at the lowest price of the day. Sold it at the market close @5.80. Chi-ching, buy low sell high, one great day.

Closed position: SFBGS - SPY July 149 Call @ 5.8, +41.5%
2007-07 month to date return : 4.17%
2007 year to date return : 49.25%
vs. 2007 year to date SPY (S&P500) return : 9.02%
Trailing 12 Month Model Beta (SPY = 1 ) : -0.13
Trailing 12 Month Model Alpha (Annualized) : 80.85%

Open position: 0

2007-07-03 JW Trading Activity : Year To Date 41.81%

Gladly sold and closed the Diamond options 15 minutes before the market close, and at a good price too. This marks the end of the trading activity for the 1st half of the year, up 41.81%. The majority of the return was made outside of the huge market rally between April and May. This shows the model is a good alternative investing strategy which should be combined with a regular asset allocation model that takes advantage of continuous market rally. None of the stats here includes any futures arb trades, which made a small sum of profit. Have a happy July 4th, everyone. :)

Closed position: DAWGA - DIA July 131 Call @ 5.3, +20.5%
2007-06 month to date return : 5.57%
2007 year to date return : 41.81%
vs. 2007 year to date SPY (S&P500) return : 7.57%
Trailing 12 Month Model Beta (SPY = 1 ) : -0.16
Trailing 12 Month Model Alpha (Annualized) : 74.45%

Open position: 0

2007-06-28 JW Trading Activity : Year To Date 37.38%

Sold SPY July calls and took profit. Leaving DIA options in play. The intraday long/short arb worked out well today too.

[ Stats EXCLUDE intraday futures arb : ]

Closed position: SFBGQ - SPY July 147 Call @ 4.7, +23.7%
2007-06 month to date return : 2.96%
2007 year to date return : 37.38%
vs. 2007 year to date SPY (S&P500) return : 6.19%
Trailing 12 Month Model Beta (SPY = 1 ) : -0.21
Trailing 12 Month Model Alpha (Annualized) : 70.96%

Open position: 1

[ From futures arb : ]
4 YM vs 2 ES : +$455.04

2007-06-27 JW Trading Activity :

Initiated long position with SFBGQ - SPY July 147 CALL @3.80.

Add to long position with DAWGA - DIA July 131 CALL @4.40.

Open position : 2

Signal showed up at the last minute of market close yesterday. Initiated the SFBGQ long position around opening this morning. It's holding on so far hope the gain will last. Added position at the close of the session.

2007-05-18 JW Trading Activity : Year To Date 32.38%

Sold everything and back to 100% cash. Trading result so far is pretty consistant with the model baseline. Rather than close the positions myself, I placed the sell orders as "Sell At Market Close" because I had to attend a meeting. But it turned out that SFBFQ had a higher ending bid/ask price than my selling price. So I guess somebody took a spread on me? Oh well, other than that, it has been a good week.

Closed position: SFBFQ - SPY June 147 Call @ 6.40, +23.1%
Closed position: SFBFQ - SPY June 147 Call @ 6.40, +16.4%
Closed position: SFBFR - SPY June 148 Call @ 5.60, +9.8%

2007-05 month to date return : 13.12%
2007 year to date return : 32.38%
vs. 2007 year to date SPY (S&P500) return : 7.77%
Trailing 12 Month Model Beta (SPY = 1 ) : -0.18
Trailing 12 Month Model Alpha (Annualized) : 68.52%

Open position: 0