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Monday, March 1, 2010

Continuation Transactions -- Six Positions

Today, the Covered Calls Advisor Portfolio(CCAP) established Mar2010 covered calls positions for six current holdings for which the Feb2010 covered calls had expired out-of-the-money. These six holdings are: iShares MSCI Brazil ETF(EWZ), iShares MSCI China ETF(FXI), Market Vectors Russia ETF(RSX), Multi Fineline Electronix(MFLX), National Oilwell Varco(NOV), and Noble Corporation(NE).

1. iShares MSCI Brazil ETF(EWZ) -- Continuation
The transactions history to date for the covered calls position in iShares MSCI Brazil ETF(EWZ) is as follows:
12/21/09 Bought 200 EWZ @ $74.48
12/21/09 Sold 2 EWZ Jan2010 $76.00 Calls @ $1.67
01/16/2010 Jan2010 Options Expired
01/19/2010 Sell-to-Open (STO) 2 EWZ Feb2010 $76.00s @ $1.80
Note: Price of EWZ was $74.32 when the Feb2010 options were sold.
02/20/2010 Feb2010 Options Expired
03/01/2010 Sell-to-Open (STO) 2 EWZ Mar2010 $71.00s @ $1.23
Note: Price of EWZ was $69.42 when the Mar2010 options were sold.

Two possible performance results (including commissions) for the EWZ transactions would be as follows:
Stock Purchase Cost: $14,904.95
= ($74.48*200+$8.95 commission)

Net Profit:
(a) Options Income: +$908.65
= (200*($1.67+$1.80+$1.23) - 3*$10.45 commissions)
(b) Dividend Income: +$0.00
(c) Capital Appreciation (If stock price unchanged at $69.42):
-$1,020.95 = ($69.42-$74.48)*200 - $8.95 commissions
(c) Capital Appreciation (If exercised at $71.00): -$704.95
= ($71.00-$74.48)*200 - $8.95 commissions

Total Net Profit(If stock price unchanged at $69.42): -$112.30
= (+$908.65 +$0.00 -$1,020.95)
Total Net Profit(If stock price exercised at $71.00): +$203.70
= (+$908.65 +$0.00 -$704.95)

Absolute Return if Unchanged at $69.42: -0.8%
= -$112.30/$14,904.95
Annualized Return If Unchanged (ARIU) -3.1%
= (-$112.30/$14,904.95)*(365/89 days)

Absolute Return if Exercised at $76.00: +1.4%
= +$203.70/$14,904.95
Annualized Return If Exercised (ARIE) +5.6%
= (+$203.70/$14,904.95)*(365/89 days)

2. iShares MSCI China ETF(FXI) -- Continuation
The transactions history to date for the covered calls position in iShares MSCI China ETF(FXI) is as follows:
11/18/09 Bought 600 FXI @ $45.54
11/18/09 Sold 6 FXI Dec09 $46.00 Calls @ $1.44
11/27/09 Bought 400 FXI @ $42.54
11/27/09 Sold 4 FXI Dec09 $44.00 Calls @ $1.13
12/19/09 Dec09 Options Expired
12/24/09 Sell-to-Open (STO) 10 FXI Jan2010 $43.00s @ $.63
Note: Price of FXI was $42.22 when the Jan2010 options were sold.
03/01/2010 Sell-to-Open (STO) 10 FXI Mar2010 $42.00s @.46
Note: Price of FXI was $40.54 when the Mar2010 options were sold.

Two possible performance results (including commissions) for the EWZ transactions would be as follows:
Stock Purchase Cost: $44,357.90
= ($45.54*600+$42.54*400+2*$8.95 commission)

Net Profit:
(a) Options Income: +$2,364.20
= (600*($1.44+$.63+$.46)+400*($1.13+$.63+$.46) - 4*$10.45 commissions)
(b) Dividend Income: +$0.00
(c) Capital Appreciation (If stock price unchanged at $40.54):
-$3,808.95 = [($40.54-$45.54)*600-($40.54-$42.54)*400] - $8.95 commissions
(c) Capital Appreciation (If exercised at $42.00): -$2,348.95
= [($42.00-$45.54)*600-($42.00-$42.54)*400] - $8.95 commissions

Total Net Profit(If stock price unchanged at $40.54): -$1,444.75
= (+$2,364.20 +$0.00 -$3,808.95)
Total Net Profit(If stock exercised at $42.00): +$15.25
= (+$2,364.20 +$0.00 -$2,348.95)

Absolute Return if Stock Price Unchanged at $40.54: -3.3%
= -$1,444.75/$44,357.90
Annualized Return If Unchanged (ARIU): -9.7%
= (-$1,444.75/$44,357.90)*(365/122 days)

Absolute Return if Stock Exercised at $42.00: +0.0%
= +$15.25/$44,357.90
Annualized Return If Exercised (ARIE): +0.1%
= (+$15.25/$44,357.90)*(365/122 days)

3. Market Vectors Russia ETF(RSX) -- Continuation
The transactions history to date for the covered calls position in the Market Vectors Russia ETF(RSX) is as follows:
01/20/2010 Bought 300 RSX @ $33.68
01/20/2010 Sold 3 RSX Feb2010 $34.00 Calls @ $1.20
02/20/2010 Feb2010 Options Expired
03/01/2010 Sold 3 RSX Mar2010 $33.00 Calls @ $.45
Note: Price of RSX was $31.52 when the Mar2010 options were sold.

Two possible performance results (including commissions) for the RSX transactions would be as follows:
Stock Purchase Cost: $10,112.95
= ($33.68*300+$8.95 commission)

Net Profit:
(a) Options Income: +$348.80
= (300*($1.20+$.45) - 2*$11.20 commissions)
(b) Dividend Income: +$0.00
(c) Capital Appreciation (If stock price unchanged at $31.52):
-$656.95 = ($31.52-$33.68)*300 - $8.95 commissions
(c) Capital Appreciation (If exercised at $33.00): -$212.95
= ($33.00-$33.68)*300 - $8.95 commissions

Total Net Profit(If stock price unchanged at $31.52): -$308.15
= (+$348.80 +$0.00 -$656.95)
Total Net Profit(If stock price exercised at $33.00): +$135.85
= (+$348.80 +$0.00 -$212.95)

Absolute Return if Unchanged at $31.52: -3.0%
= -$308.15/$10,112.95
Annualized Return If Unchanged (ARIU) -18.9%
= (-$308.15/$10,112.95)*(365/59 days)

Absolute Return if Exercised at $34.00: +1.3%
= +$135.85/$10,112.95
Annualized Return If Exercised (ARIE) +8.3%
= (+$135.85/$10,112.95)*(365/59 days)

4. Multi Fineline Electronix (MFLX) -- Continuation
The transactions history to date for the covered calls position in Multi Fineline Electronix (MFLX) is as follows:
10/22/09 Bought 400 MFLX @ $27.50
10/22/09 Sold 4 MFLX Nov09 $30.00 Calls @ $.80
11/21/09 Nov09 Options Expired
12/03/09 Sell-to-Open (STO) 4 MFLX Feb2010 $30.00s @ $.95
Note: The price of MFLX was $26.29 today when this transaction was made.
02/20/2010 Feb2010 Options Expired
03/01/2010 Sell-to-Open (STO) 4 MFLX Mar2010 $22.50s @ $.60
Note: The price of MFLX was $22.35 today when this transaction was made.

Two possible performance results (including commissions) for the MFLX transactions would be as follows:
Stock Purchase Cost: $11,008.95
= ($27.50*400+$8.95 commission)

Net Profit:
(a) Options Income: +$904.15
= (400*($.80+$.95+$.60) - 3*$11.95 commissions)
(b) Dividend Income: +$0.00
(c) Capital Appreciation(If stock price unchanged from current $22.35): -$2,068.95
= ($22.35-$27.50)*400 - $8.95 commissions
(c) Capital Appreciation (If stock exercised at $22.50): -$2,008.95
= ($22.50-$27.50)*400 - $8.95 commissions

Total Net Profit(If stock price unchanged at $22.35): -$1,164.80
= (+$904.15 +$0.00 -$2,068.95)
Total Net Profit(If stock exercised at $22.50): +$1,104.80
= (+$904.15 +$0.00 -$2,008.95)

Absolute Return if Stock Price Unchanged at $22.35: -10.6%
= -$1,164.80/$11,008.95
Annualized Return If Unchanged (ARIU): -25.9%
= (-$1,164.80/$11,008.95)*(365/149 days)

Absolute Return if Stock Exercised at $22.50: -10.0%
= -$1,104.80/$11,008.95
Annualized Return If Exercised (ARIE): -24.6%
= (-$1,104.80/$11,008.95)*(365/149 days)

5. National Oilwell Varco(NOV) -- Continuation
The transactions history to date for the covered calls position in National Oilwell Varco(NOV) is as follows:
01/20/2010 Bought 300 NOV @ $45.80
01/20/2010 Sold 3 NOV Feb2010 $46.00 Calls @ $1.75
02/20/2010 Feb2010 Options Expired
03/01/2010 Sold 3 NOV Mar2010 $44.00 Calls @ $.95
Note: The price of NOV was $43.55 today when these Mar2010 options were sold.

Two possible performance results (including commissions) for the NOV transactions would be as follows:
Stock Purchase Cost: $13,748.95
= ($45.80*300+$8.95 commission)

Net Profit:
(a) Options Income: +$787.60
= (300*($1.75+$.95) - 2*$11.20 commissions)
(b) Dividend Income: +$0.00
(c) Capital Appreciation (If stock price unchanged at $43.55):
-$683.95 = ($43.55-$45.80)*300 - $8.95 commissions
(c) Capital Appreciation (If exercised at $44.00): -$548.95
= ($44.00-$45.80)*300 - $8.95 commissions

Total Net Profit(If stock price unchanged at $43.55): -$103.65
= (+$787.60 +$0.00 -$683.95)
Total Net Profit(If stock price exercised at $44.00): +$238.65
= (+$787.60 +$0.00 -$548.95)

Absolute Return if Unchanged at $43.55: -0.8%
= -$103.65/$13,748.95
Annualized Return If Unchanged (ARIU) -4.7%
= (-$103.65/$13,748.95)*(365/59 days)

Absolute Return if Exercised at $44.00: +1.7%
= +$238.65/$13,748.95
Annualized Return If Exercised (ARIE) +10.7%
= (+$238.65/$13,748.95)*(365/59 days)

6. Noble Corporation (NE) -- Continuation
The transactions history to date for the covered calls position in Noble Corporation (NE) is as follows:
09/02/09 Bought 300 NE @ $33.98
09/02/09 Sold 3 NE Sep09 $34.00 Calls @ $1.30
Roll-Up-and-Out Transaction:
09/17/09 Buy-to-Close (BTC) 3 NE Sep09 $34.00s @ $5.22
09/17/09 Sell-to-Open (STO) 3 NE Oct09 $36.00s @ $3.87
Note: The price of NE was $39.19 today when this debit-spread was transacted and the remaining time value in the Sep09 option was only $.03 [$5.22-($39.19-$34.00)].
Roll-Up-and-Out Transaction:
10/16/09 Buy-to-Close (BTC) 3 NE Oct09 $36.00s @ $5.60
10/16/09 Sell-to-Open (STO) 3 NE Nov09 $42.00s @ $1.75
Note: The price of NE was $41.56 today when this transaction occurred.
11/05/09 Ex-Dividend = $14.70 (300 shares*$.049)
11/21/09 Nov09 Options Expired
11/23/09 Sell-to-Open (STO) 3 NE Dec09 $42.00s @ $1.45
Note: Price of NE was $41.30 when the Dec09 options were sold.
12/19/09 Dec09 Options Expired
12/21/09 Sell-to-Open (STO) 3 NE Jan2010 $43.00s @ $.90
Note: Price of NE was $41.75 when the Jan2010 options were sold.
01/15/2010 Buy-to-Close (BTC) 3 NE Jan2010 $43.00s @ $.70
01/15/2010 Sell-to-Open (STO) 3 NE Feb2010 $45.00s @ $1.30
Note: Price of NE was $43.67 when the Feb2010 options were sold.
02/20/2010 Feb2010 Options Expired
03/01/2010 Sold 3 NE Mar2010 $44.00 Calls @ $.60
Note: The price of NE was $42.84 today when these Mar2010 options were sold.

Some possible overall performance results(including commissions) for the NE transactions would be as follows:
Stock Purchase Cost: $10,202.95
($33.98*300+$8.95 commission)

Net Profit:
(a) Options Income: -$183.40
= (300*($1.30-$5.22+$3.87-$5.60+$1.75+$1.45+$.90-$.70+$1.30+$.60) - 7*$11.20 commissions)
(b) Dividend Income: +$14.70
(c) Capital Appreciation (If stock price unchanged at $42.84): +$2,649.05
= ($42.84-$33.98)*300 - $8.95 commissions
(c) Capital Appreciation (If exercised at $44.00): +$2,997.05
= ($44.00-$33.98)*300 - $8.95 commissions

Total Net Profit(If stock price unchanged at $42.84): +$2,480.35
= (-$183.40 +$14.70 +$2,649.05)
Total Net Profit(If stock price exercised at $44.00): +$2,828.35
= (-$183.40 +$14.70 +$2,997.05)

Absolute Return if Stock Price Unchanged at $42.84: +24.3%
= +$2,480.35/$10,202.95
Annualized Return If Unchanged (ARIU) +44.6%
= (+$2,480.35/$10,202.95)*(365/199 days)

Absolute Return if Exercised at $45.00: +27.7%
= +$2,828.35/$10,202.95
Annualized Return If Exercised (ARIE) +50.8%
= (+$2,828.35/$10,202.95)*(365/199 days)

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