Monday, April 22

Today we took a test position in a new type of asset we haven’t introduced to our portfolio before now. We assumed an Iron Condor fabricated position in Amazon Inc. Our thesis for this position is simple – volatility for this issue is falling, and will continue to fall as Amazon matures as a business. What that means for us is that the market price of this asset isn’t going to change drastically during this week, which allows us to collect premiums off of option contracts that over-estimate volatility risk. By assuming some of their risk and ‘covering’ that risk with slightly wider spread options we essentially pocket a profit. While technically this position has already generated it’s profit, we have decided to account for the profit on closure of the position (following generally accepted practices) so it won’t appear in any reports until then.

Today’s report reflects a strong underperformance in today’s session – driven largely by the predictable fall in FTR/PR. That issue will continue to deteriorate and post unrealized losses until the closure of that position in June. The rest of our portfolio slightly outperformed the market as crude prices and the dollar fell following the results of the French election. In a favorable upset Le Pen placed second in the first round elections and while she will now go on to the second election, it seems much less likely that she might win.

Leave a Reply

Fill in your details below or click an icon to log in: Logo

You are commenting using your account. Log Out /  Change )

Google+ photo

You are commenting using your Google+ account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )


Connecting to %s