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2015 September Update


There were hedging positions and tax-loss sales this month. Price histories, adjusted for splits and dividends, were downloaded from Yahoo.


Comprehensive Strategy for calls

Selection list

The selection list was generated before the September 25 market opening:

                                    MERIT    PRICE   GROUP AND END MARKET  
MCD    McDonald's Corp               605     97.29  Restaurants     US/intl
LB     L Brands                      534     91.84  Apparel          US/Can
SPG    Simon Property                467    181.23  Real Estate        intl
AXP    American Express              456 X   74.69  Credit Servs    US/intl
CCI    Crown Castle                  443     76.78  Util, Telecom    US/Aus
CCE    Coca-Cola Enterprises         441     48.62  Beverage, Soft       EU
HD     Home Depot                    418    116.34  Home Furnish        NAm
RAI    Reynolds American             412     42.11  Tobacco Prods        US
CI     Cigna Corp                    411 X  141.02  HC Plans        US/intl
TJX    TJX Companies                 402     71.23  Retail,Variety  US/intl
MO     Altria Group                  401     54.61  Tobacco Prods   US/intl
EL     Estee Lauder                  398     78.54  Personal Prods     intl
DRI    Darden Restaurants            392     71.46  Restaurants      US/Can
NI     NiSource Inc                  389     17.59  Util, Energy         US
NRF    NorthStar Realty              373 X   13.72  Real Estate          EU
EQR    Equity Residential            373     72.27  Real Estate          US
MCK    McKesson Corp                 366 X  197.24  Drugs           US/intl
STZ    Constellation Brands          360    127.12  Beverage, Hard     intl
ROST   Ross Stores                   359     48.88  Apparel              US
UNH    UnitedHealth Group            358    120.00  HC Plans             US

Portfolio

RAI split 2:1. The number of contracts doubled and the strike price halved.

I sold TGNA116C32 because TGNA developed a downtrend. I sold DFS16C60, EL17C92.5, and PII16C130 to establish tax losses.

I chose LB for the purchase. MCD was disqualified because it was already an investment. LB stock was sold on 08/06/15, which is outside the wash sale period:

             GROUP AND END MARKET     QTY       START             END      
DFS16C60    Credit Servs         US     3  03/27/14  1,918  09/04/15    203
EL17C92.5   Personal Prods     intl    10  05/22/15  8,716  09/04/15  3,684
PII16C130   Recreation      US/intl     2  06/27/14  3,426  09/04/15  2,076
TGNA116C32  Publishing      US/intl    10  10/27/14  3,056  09/04/15  1,404

             GROUP AND END MARKET     QTY       START        END OF MONTH  
CCE17C50    Beverage, Soft       EU    20  04/24/15  5,824  09/30/15  7,200
HD16C92.5   Home Furnish        NAm     3  08/27/14  1,984  09/30/15  6,810
LB17C93     Apparel          US/Can    10  09/25/15 10,516  09/30/15  9,000
MCD17C90    Restaurants     US/intl     3  12/15/14  2,320  09/30/15  3,765
NI117C45    Util, Energy         US    10  01/27/15  3,096  09/30/15  1,650
RAI17C38.75 Tobacco Prods        US    28  02/25/15  7,075  09/30/15 19,600
STZ17C125   Beverage, Hard     intl    14  08/25/15 18,611  09/30/15 20,300
TJX17C70    Retail,Variety  US/intl    14  03/25/15 11,457  09/30/15 11,620

Capital gains

Thousands of US$
   OCT   NOV   DEC   JAN   FEB   MAR   APR   MAY   JUN   JUL   AUG   SEP
     3    19     7    -5     6   -11   -14     4    -7    12    -6    -2

Comprehensive Strategy for stocks

Selection list

Buying in the Comprehensive Strategy for stocks has ended.

Portfolio

GMK is now GMKYY, which is not a listed stock. I sold HII because it developed a downtrend:

             GROUP AND END MARKET     QTY       START             END      
HII         Aerosp & Def         US   300  10/27/14 29,408  09/04/15 33,966

             GROUP AND END MARKET     QTY       START        END OF MONTH  
AGN         Drugs              intl   150  02/25/15 43,907  09/30/15 40,772
CCI         Util, Telecom    US/Aus   500  12/15/14 37,778  09/30/15 39,435
CI          HC Plans        US/intl   500  03/25/15 64,479  09/30/15 67,510
GILD        Biotechnology      intl   300  04/25/14 22,206  09/30/15 29,457
GMKYY       Packaged Goods  US/intl  1200  09/26/14 49,921  09/30/15 63,252

Capital gains

Thousands of US$
   OCT   NOV   DEC   JAN   FEB   MAR   APR   MAY   JUN   JUL   AUG   SEP
     6     9   -12    -6    24    -4   -11    16     6    -4    -8   -13

Comprehensive Strategy for puts

Selection list

The selection list was generated before the September 4 market opening.

                                    MERIT    PRICE   GROUP AND END MARKET  
TDC    Teradata Corp                 230     29.49  Electron Eqpt   US/intl
SSYS   Stratasys Ltd                 209     30.02  Computers          intl
DDD    3D Systems                    205     13.48  Computers          intl
GMCR   Keurig Green Mountain         203     54.11  Packaged Goods   US/Can
WYNN   Wynn Resorts                  187     78.20  Entertaninment   US/Chn
KORS   Michael Kors                  186     43.17  Apparel            intl
AVP    Avon Products                 180      5.16  Personal Prods     intl
CENX   Century Aluminum              179      5.51  Basic Matls     US/intl
APOL   Apollo Education              176     11.47  Business Servs  US/intl
COH    Coach Inc                     176     29.96  Apparel         US/intl
ECA    Encana Corp                   175      7.08  Oil & Gas        Can/US
ESV    Ensco plc                     174     17.83  Oil & Gas          intl
GNW    Genworth Financial            174      5.17  Insurance       US/intl
APA    Apache Corp                   167     44.86  Oil & Gas       US/intl
YELP   Yelp Inc                      163     23.96  Info Servs           US
DO     Diamond Offshore              158     24.29  Oil & Gas          intl
ANF    Abercrombie & Fitch           156     19.18  Apparel         US/intl
FUEL   Rocket Fuel                   152      6.03  Business Servs  US/intl
JOY    Joy Global                    151     24.01  Machinery          intl
LL     Lumber Liquidators            151     14.93  Home Furnish     US/Can

Portfolio

Before the September 4 market opening the tranche size was $50,000, the exposure of the investments was $514,586 (excluding those slated to be sold), and the exposure of the hedges was $560,425. Opening another hedge would have degraded neutrality.

Before the September 25 market opening the tranche size was $50,000, the exposure of the investments was $588,008 (including $50,000 for the slated purchase of LB call options), and the exposure of the hedges was $559,905. Closing a hedge would have degraded neutrality

             GROUP AND END MARKET     QTY       START        END OF MONTH  
AVP16P8     Personal Prods     intl   100  04/17/15 12,687  09/30/15 47,000
COh16P40    Apparel         US/intl    20  04/17/15  6,524  09/30/15 24,400
FCX16P20    Basic Matls        intl    40  04/17/15  9,959  09/30/15 44,200
GNW16P8     Insurance       US/intl   140  04/17/15 18,185  09/30/15 47,600
HAL16P47    Oil & Gas          intl    20  04/17/15  9,064  09/30/15 24,200
JIVE16P5    Software           intl   200  04/17/15 17,165  09/30/15 14,000
NSR16P27    Util, Telecom      intl    40  04/17/15 15,239  09/30/15 10,800
P16P15      Entertainment        US    60  04/17/15 11,455  09/30/15  4,860
SINA16P35   Internet Servs      Chn    30  04/17/15 11,932  09/30/15  6,840
SODA16P20   Beverage, Soft     intl    40  04/17/15 12,186  09/30/15 26,000
SSYS16P30   Computers          intl    30  07/06/15  9,572  09/30/15 16,500
TDC16P42.5  Electron Eqpt   US/intl    20  04/17/15  7,224  09/30/15 28,200
YELP16P25   Info Servs           US    40  08/06/15 13,070  09/30/15 20,000
ZU16P14     Retail,Variety  US/intl    60  04/17/15 16,075  09/30/15  1,200

Capital gains

Thousands of US$
   OCT   NOV   DEC   JAN   FEB   MAR   APR   MAY   JUN   JUL   AUG   SEP
                                       -24    15     5    47    73    29

Irregular Strategy

Selection list

Buying in the Irregular Strategy has ended.

Portfolio

I sold HYG16C92 to establish a tax loss:

                  ASSET CLASS         QTY       START             END      
HYG16C92              Bonds           100  08/07/14 16,386  09/04/15  1,136

                  ASSET CLASS         QTY       START        END OF MONTH  
IEF16C105             Bonds           100  08/07/14 15,461  09/30/15 27,000

Capital gains

Thousands of US$
   OCT   NOV   DEC   JAN   FEB   MAR   APR   MAY   JUN   JUL   AUG   SEP
    13    -2     1    27   -18     1     0    -9   -12     3     1     2

Real Estate Fund Strategy

Portfolio

I sold all options with a strike price greater than 70 to establish tax losses, except IYR17C72 was not sold because doing so would have created a wash sale. There was no purchase this month, ensuring none of the sales could be interpreted as a wash sale. The $20,348 proceeds from the sales will be reinvested on October 23:

                  DESCRIPTION         QTY       START             END      
IYR16C72       US Real Estate ETF       8  06/27/14  2,942  09/04/15  1,458
IYR16C73       US Real Estate ETF       5  07/25/14  1,912  09/04/15    728
IYR16C74       US Real Estate ETF      10  10/27/14  3,799  09/04/15  1,184
IYR17C75       US Real Estate ETF       5  11/20/14  2,417  09/04/15  1,423
IYR17C76       US Real Estate ETF       5  12/15/14  3,162  09/04/15  1,263
IYR17C77       US Real Estate ETF      14  05/22/15  6,459  09/04/15  3,173
IYR17C80       US Real Estate ETF      28  04/24/15 13,856  09/04/15  4,310
IYR17C81       US Real Estate ETF      14  03/25/15  7,313  09/04/15  1,857
IYR17C83       US Real Estate ETF      50  01/27/15 31,697  09/04/15  4,952

                  DESCRIPTION         QTY       START        END OF MONTH  
IYR16C63       US Real Estate ETF       3  12/13/13  1,450  09/30/15  2,445
IYR16C65       US Real Estate ETF       6  01/27/14  2,790  09/30/15  3,900
IYR16C67       US Real Estate ETF       3  03/27/14  1,288  09/30/15  1,455
IYR16C69       US Real Estate ETF       3  02/27/14  1,270  09/30/15  1,140
IYR16C70       US Real Estate ETF       8  09/26/14  3,067  09/30/15  2,360
IYR17C72       US Real Estate ETF      14  08/25/15  6,375  09/30/15  6,160

Capital gains

Thousands of US$
   OCT   NOV   DEC   JAN   FEB   MAR   APR   MAY   JUN   JUL   AUG   SEP
    25    12     9    22   -29     3   -28    -7   -22     9   -15    -8

Easy Strategy

Portfolio

The $72,685 proceeds from the sales on April 17 will be reinvested on October 9.

                  DESCRIPTION         QTY       START        END OF MONTH  
SPY17C---      S&P 500 Index ETF                                           

Capital gains

Thousands of US$
   OCT   NOV   DEC   JAN   FEB   MAR   APR   MAY   JUN   JUL   AUG   SEP
     9     9     2   -16    21   -12     1