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Thursday, March 28, 2024

k1p – The k1 Virtual Portfolio

New Members Entry Point – If you’ve arrived on this page looking for the k1 Project and all the reference material on Phil’s strategy, follow this: Front Page of the  K1 Project.

k1p Table of Contents

  • Introduction – motivations, approach, and rules for the virtual portfolio
  • Supporting Analysis – A Year of SPY Trades
  • The Virtual Portfolio – positions and actions (this page)

We will track the trades and performance of the virtual portfolio on this page. I will update the article with trade information.I expect to put up GTC orders for the spreads we want, and just wait for them to execute.

Important Update– due to a new client in my software business, I will not be maintaining this virtual portfolio any longer. Just for completeness, I’m registering today’s closing prices as the liquidation prices for the positions. Please see my comments at the end of the page for a couple observations if you’re tracking these trades yourself.

Total Virtual Portfolio Value as of Market Close August 19, 2008
Underlying Stock / ETF Symbol Long Value Short Value Cash Value Total Virtual Portfolio Value
SPY call calendar (Begin $1800 cash) 19.40 (1.68) 2.26 19.98
SPY put calendar (Begin $1500 cash)  17.05 (4.90) 5.06 17.21
IWM call calendar (Begin $850 cash) 13.75 (6.50) .97 8.22
IWM put calendar (Begin $850 cash) 8.40 (1.44) 1.85 8.81
Overall 58.60 (14.52) 10.14 54.22

Overall Virtual Portfolio Position:

  • 5-Jul-08: Initiate virtual portfolio with $5000
  • 7-Jul-08: Open SPY double calendar at 125 for 30.53 (Call spread: 16.81, Put spread: 13.72)
  • 7-Jul-08: Open IWM double calendar at 65 for 15 (Call spread: 7.53, Put spread: 7.46)
  • 17-Jul-08: Rolled IWM short call out/up for 25c credit, entire put side out/up for 50c credit
  • 18-Jul-08: Rolled SPY short position from July to August for 5.57 credit
  • 7-Aug-08: Rolled IWM short call out/up for 25c debit, entire put side out/up for 31c credit
  • 12-Aug-08: Rolled SPY short call out/up for 1.80 debit, entire put side out/up for 1.08 credit
  • 19-Aug-08: Closed SPY position for 29.87 credit
  • 19-Aug-08: Closed IWM position for 14.21 credit

 

SPY Position Trade Log
Symbol / Strike Qty Open Price Open Date Close Price Close Date Profit / Loss
Long: CYYLU Dec10 125c 1 19.13 7-Jul-08 19.40 19-Aug-08   0.27
Short: SPYGU Jul08 125c 1 (2.32) 7-Jul-08 0.83 18-Jul-08 1.49
Long: CYYXU Dec10 125p 1 15.80 7-Jul-08 13.65 12-Aug-08  (2.15)
Short: SPYSU Jul08 125p 1 (2.08) 7-Jul-08 0.10 18-Jul-08 1.98
Short: SPYHU Aug08 125c 1 (3.70) 18-Jul-08 5.30 12-Aug-08 (1.6)
Short: SPYTU Aug08 125p 1 (2.80) 18-Jul-08 0.12 12-Aug-08 2.68
Long: CYYXZ Dec10 130p 1 15.95 12-Aug-08  17.05 19-Aug-08  1.10
Short: SFBIZ Sep08 130c 1 (3.50) 12-Aug-08  1.68  19-Aug-08  1.82
Short: SFBUZ Sep08 130p 1 (3.50) 12-Aug-08  4.90  19-Aug-08  (1.40)

SPY Actions:

  • 7-Jul-2008: Plan to open SPY Dec10 125c / Jul08 126c spread for about 17.50 (pending actual market)
  • 7-Jul-2008: Opened SPY 125 double calendar for 30.53 (Call: 16.81, Put; 13.72)
  • 18-Jul-2008: Rolled short positions from July to August for 5.57 credit
  • 12-Aug-08: Rolled short call out/up for 1.80 debit, entire put side out/up for 1.08 credit
  • 19-Aug-08: Closed SPY position for 29.87 credit

 

IWM Position Trade Log
Symbol / Strike Qty Open Price Open Date Close Price Close Date Profit / Loss
Long: WOIAM Jan10 65c 1 9.30 7-Jul-08  13.75 19-Aug-08  4.45
Short: DIWGM Jul08 65c 1 (1.77) 7-Jul-08 3.60  17-Jul-08 (1.83)
Long: WOIMM Jan10 65p 1 8.65 7-Jul-08 (7.35)  17-Jul-08 (1.30)
Short: DIWSM Jul08 65p 1 (1.19) 7-Jul-08 .03   17-Jul-08 1.16
Long: WOIMP Jan10 68p 1 8.85  17-Jul-08 (7.05)  7-Aug-08  (1.80)
Short: DIWHN Aug08 66c 1 (3.85)  17-Jul-08 6.00  7-Aug-08 (2.15)
Short: DIWTP Aug08 68p 1 (2.03)  17-Jul-08 .15   7-Aug-08 1.88
Long: WOIMS Jan10 71p 1 8.50 7-Aug-08  8.40  19-Aug-08 (0.10)
Short: DIWIO Sep08 67c 1 (5.75)  7-Aug-08  6.50  19-Aug-08  (0.75)
Short: DIWUS Sep08 71p 1 (1.91)   7-Aug-08  1.44  19-Aug-08  0.47

IWM Actions:

  • 7-Jul-2008: Plan to open 3 IWM Jan10 67c / Jul08 67c spread for about 7.85 (pending actual market)
  • 7-Jul-08: Opened IWM double calendar at 65 for 15 (Call spread: 7.53, Put spread: 7.46)
  • 17-Jul-08: Rolled IWM short call from Jul08 65c to Aug08 66c for 25c credit
  • 17-Jul-08: Rolled IWM long put from Jan10 65p to Jan10 68p for 1.50 debit
  • 17-Jul-08: Rolled IWM short put from Jul08 65p to Aug08 68p for 2.00 credit
  • 7-Aug-08: Rolled IWM short call from Aug08 66c to Sep08 67c for 25c debit
  • 7-Aug-08: Rolled IWM long put from Jan10 69p to Jan10 71p for 1.45 debit
  • 7-Aug-08: Rolled IWM short put from Aug08 68p to Sep08 71p for 1.76 credit
  • 19-Aug-08: Closed IWM position for 14.21 credit

 

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