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