Tuesday, April 14, 2009

Roll-Up-and-Forward -- Express Scripts Inc

The Covered Calls Advisor Portfolio (CCAP) covered calls position in Express Scripts (ESRX) was rolled-up-and-forward today (04/14/09) from the Apr09 $50.00s to the May09 $55.00s. The debit-spread transaction was executed as follows:

04/14/09 Buy-to-Close (BTC) 2 ESRX Apr09 $50.00s @ $9.60
04/14/09 Sell-to-Open (STO) 2 ESRX May09 $55.00s @ $6.50
Net Debit-Spread upon Roll-Up-and-Forward was $3.10 ($9.60 - $6.50)
Note: The price of ESRX was $59.52 today when the debit-spread was transacted.

The transactions history to date is as follows:
03/23/09 Initial Stock Purchase Transaction -- Bought 200 ESRX @ $47.05
03/23/09 Inital Calls Sold Transaction -- Sold 2 ESRX Apr09 $50.00 Calls @ $1.40
Roll-Up-and-Forward debit-spread transaction:
04/14/09 Buy-to-Close (BTC) 2 ESRX Apr09 $50.00s @ $9.60
04/14/09 Sell-to-Open (STO) 2 ESRX May09 $55.00s @ $6.50

The overall performance results(including commissions) for the ESRX transactions through the May09 expiration would be as follows:
Stock Purchase Cost: $9,418.95
($47.05*200+$8.95 commission)

Net Profit:
(a) Options Income: -$360.90 (200*($1.40-$9.60+$6.50) - 2*$10.45 commissions)
(b) Dividend Income: +$0.00
(c) Capital Appreciation (If stock exercised at $55.00): +$1,581.05
= ($55.00-$47.05)*200 - $8.95 commissions

Total Net Profit(If stock price exercised at $55.00): +$1,220.15
= (-$360.90 +$0.00 +$1,581.05)

Absolute Return If Stock Price Exercised at $55.00 = +13.0%
+$1,220.15/$9,418.95
Annualized Return If Exercised (ARIE) +87.6%
(+$1,220.15/$9,418.95)*(365/54 days)

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