Over the past month, gold has fallen about 10%, and CCI closed out the latest version of this trade this month. Earlier in the month the GDX Jan $65 puts were covered when gold was trading much higher for a $3.62/share gain. Today the GLD Jan $180 calls were covered for a loss of $5.29. A net loss of $1.67/share or 1.28%. Not great, but not too bad considering the plunge in gold prices.
This type of trade was done three time in 2011. Details of the trade for 1 lot can be found at this google doc. In total these three trades yielded 36.17%. That compares to a gain of 24.94% if gold was held for the same time periods during the year, or about 9% if held from Jan 1 to now.
For 2012 the concept of the portfolio having some exposure to gold to provided some "insurance" in the event of some macro level issue causes a discontinuity in the market remains appealing to CCI. The option volatility and correlation between GLD and GDX remains similar as described in previous posts. Hence CCI plans to continue to using this trade architecture. Specifically today CCI
- Sold 2 Mar $50 puts in GDX for a net credit of $620
- Bought 1 Mar $155 call in GLD for a net debit of $532