Friday, October 9, 2009

ProShares UltraShort 20+ Year Treasury ETF (TBT) -- Closed

The Covered Calls Advisor Portfolio (CCAP) covered calls position in ProShares UltraShort 20+ Year Treasury ETF (TBT) was closed out today (10/09/09).

The transactions history was as follows:
09/23/09 Bought 300 TBT @ $46.26
09/23/09 Sold 3 TBT Oct09 $47.00 Calls @ $1.20
10/09/09 Bought-To-Close 3 TBT Oct09 $47.00 Calls @ $.40
10/09/09 Sold 300 TBT @ $45.99

This is the Covered Calls Advisor's first experience with covered calls using this inverse Treasury Bond ETF. The price of TBT moved consistently with my expectations relative to its counterpart T-Bond price movements. As such, it is likely that out-of-the-money TBT covered calls positions will be established whenever this advisor has a strong conviction regarding the likelihood of increasing near-term interest rate yields. My present viewpoint is that rates are equally likely to move in either direction from current levels, so the position was closed out today at a small profit.

The overall performance results(including commissions) for the TBT transactions are as follows:
Stock Purchase Cost: $13,886.95
($46.26*300+$8.95 commission)

Net Profit:
(a) Options Income: +$217.60 (300*($1.20 - $.40)- 2*$11.20 commissions)
(b) Dividend Income: +$0.00
(c) Capital Appreciation: -$89.95
= ($45.99-$46.26)*300 - $8.95 commissions

Total Net Profit: +$127.65
= (+$217.60 +$0.00 -$89.95)

Absolute Return = +0.9%
= +$127.65/$13,886.95

Annualized Return: +21.0%
= (+$127.65/$13,886.95)*(365/16 days)

1 comment:

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