Thursday, June 20, 2013

Rolled Covered Call in C.

As discussed here CCI has a long position in the financial sector etf (xlf) via the Jan 15 $10 Call, that has usually been hedged via a shorter duration short call in Citigroup (C).

As last discussed here,  CCI was short the June $50 call.  With C trading just under the $50 level  on Wednesday AM prior to this weeks Fed meeting, CCI rolled the call up and out to give more time/price room for potential volatility emanating from the fed actions.  Specifically the June $50 call was rolled to the July 12 $52 call  at $0.0. The A $.25/contract profits was achieved on the June $50 call. Since the time of this trade the market and C and dropped steadily, so this call will likely need to be rolled again fairly soon.

As of the time of this transaction the returns related to various related positions are

  • Holding the XLF ETF would have returned 15.3%
  • The leverage obtained via holding the Jan 15 $10 XLF call would have returned 36.7%.
  • The long/short strategy discussed in this thread is up 32.7%.  
At present, this approach is achieving its objective of providing leveraged returns with some hedging of downside risks, but still a long way to go. 

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