|
Portfolio Ic: Delta
Hedged Pairs for Alpha Capture, Equal Weight |
||||||||||
|
Ticker |
|
Current Price |
Cost Basis |
DeltaHedge |
Current Delta |
Shares/Contracts |
Initial Value |
Current Value |
Gain/Loss |
% Change |
|
DOW |
|
$
37.65 |
$
41.75 |
|
|
1,533 |
$
63,998.46 |
$
57,717.45 |
$
(6,281.01) |
-9.81% |
|
AA |
|
$ 29.10 |
$
33.80 |
0.8187 |
0.8232 |
(1,262) |
$
(42,651.25) |
$
(36,724.20) |
$
5,927.05 |
13.90% |
|
|
total: |
|
|
|
0.56% |
|
$
21,347.21 |
$
20,993.25 |
$
(353.96) |
-1.66% |
|
OS |
|
$
43.76 |
$
49.44 |
|
|
1041 |
$
51,467.04 |
$
45,554.16 |
$
(5,912.88) |
-11.49% |
|
X |
|
$ 61.20 |
$
71.75 |
0.8189 |
0.7896 |
-822 |
$
(58,978.50) |
$
(50,306.40) |
$
8,672.10 |
14.70% |
|
|
total: |
|
|
|
-3.57% |
|
$
(7,511.46) |
$
(4,752.24) |
$
2,759.22 |
36.73% |
|
CTX |
|
$ 48.14 |
$
54.41 |
|
|
770 |
$
41,895.70 |
$
37,067.80 |
$
(4,827.90) |
-11.52% |
|
BA |
|
$ 84.76 |
$
83.74 |
0.9497 |
0.9494 |
(731) |
$
(61,211.72) |
$
(61,959.56) |
$
(747.84) |
-1.22% |
|
|
total: |
|
|
|
-0.04% |
|
$
(19,316.02) |
$
(24,891.76) |
$
(5,575.74) |
-28.87% |
|
IR |
|
$ 41.25 |
$
44.50 |
|
|
1,345 |
$
59,852.50 |
$
55,481.25 |
$
(4,371.25) |
-7.30% |
|
CAT |
|
$ 69.95 |
$
75.63 |
0.4985 |
0.4974 |
(669) |
$
(50,596.47) |
$
(46,796.55) |
$
3,799.92 |
7.51% |
|
|
total: |
|
|
|
-0.22% |
|
$
9,256.03 |
$
8,684.70 |
$
(571.33) |
-6.17% |
|
NKE |
|
$ 83.07 |
$
81.70 |
|
|
994 |
$
81,209.80 |
$
82,571.58 |
$
1,361.78 |
1.68% |
|
EK |
|
$ 22.96 |
$
27.22 |
1.2860 |
1.2646 |
(1,257) |
$
(34,215.75) |
$
(28,860.72) |
$
5,355.03 |
15.65% |
|
|
total: |
|
|
|
-1.67% |
|
$
46,994.05 |
$
53,710.86 |
$
6,716.81 |
14.29% |
|
HDI |
|
$ 52.28 |
$
50.37 |
|
|
1,408 |
$
70,920.96 |
$
73,610.24 |
$
2,689.28 |
3.79% |
|
COH |
|
$ 29.49 |
$
31.77 |
0.9871 |
1.0298 |
(1,450) |
$
(46,067.40) |
$
(42,760.50) |
$
3,306.90 |
7.18% |
|
|
total: |
|
|
|
4.33% |
|
$
24,853.56 |
$
30,849.74 |
$
5,996.18 |
24.13% |
|
MO |
|
$ 71.34 |
$
72.40 |
|
|
470 |
$
34,028.00 |
$
33,529.80 |
$
(498.20) |
-1.46% |
|
PG |
|
$ 54.87 |
$
57.76 |
2.9149 |
2.9702 |
(1,396) |
$
(80,639.23) |
$
(76,598.52) |
$
4,040.71 |
5.01% |
|
|
total: |
|
|
|
1.90% |
|
$
(46,611.23) |
$
(43,068.72) |
$
3,542.51 |
7.60% |
|
STZ |
|
$ 24.75 |
$
24.18 |
|
|
3,528 |
$
85,307.04 |
$
87,318.00 |
$
2,010.96 |
2.36% |
|
BUD |
|
$ 45.40 |
$
44.73 |
0.1606 |
0.1593 |
(562) |
$
(25,138.26) |
$
(25,514.80) |
$
(376.54) |
-1.50% |
|
|
total: |
|
|
|
-0.83% |
|
$
60,168.78 |
$
61,803.20 |
$
1,634.42 |
2.72% |
|
COP |
|
$ 59.20 |
$
68.52 |
|
|
1,002 |
$
68,654.84 |
$
59,318.40 |
$
(9,336.44) |
-13.60% |
|
BTU |
|
$ 49.51 |
$
65.61 |
0.4899 |
0.4930 |
(494) |
$
(32,409.28) |
$
(24,457.94) |
$
7,951.34 |
24.53% |
|
|
total: |
|
|
|
0.64% |
|
$
36,245.56 |
$
34,860.46 |
$
(1,385.10) |
-3.82% |
|
VLO |
|
$ 57.35 |
$
66.03 |
|
|
1,246 |
$
82,273.38 |
$
71,458.10 |
$
(10,815.28) |
-13.15% |
|
HAL |
|
$ 71.08 |
$
79.60 |
0.2759 |
0.2841 |
(354) |
$
(28,178.40) |
$
(25,162.32) |
$
3,016.08 |
10.70% |
|
|
total: |
|
|
|
2.98% |
|
$
54,094.98 |
$
46,295.78 |
$
(7,799.20) |
-14.42% |
|
GS |
|
$ 143.75 |
$
156.45 |
|
|
342 |
$
53,505.90 |
$
49,162.50 |
$
(4,343.40) |
-8.12% |
|
MMC |
|
$ 27.35 |
$
30.86 |
5.4255 |
5.1667 |
(1,767) |
$
(54,531.23) |
$
(48,327.45) |
$
6,203.78 |
11.38% |
|
|
total: |
|
|
|
-4.77% |
|
$
(1,025.33) |
$ 835.05 |
$
1,860.38 |
181.44% |
|
COF |
|
$ 84.14 |
$
85.50 |
|
|
610 |
$
52,155.00 |
$
51,325.40 |
$
(829.60) |
-1.59% |
|
AIG |
|
$ 59.47 |
$
64.42 |
1.5799 |
1.5590 |
(951) |
$
(61,260.69) |
$
(56,555.97) |
$
4,704.72 |
7.68% |
|
|
total: |
|
|
|
-1.32% |
|
$
(9,105.69) |
$
(5,230.57) |
$
3,875.12 |
42.56% |
|
BSX |
|
$ 19.70 |
$
22.28 |
|
|
2,594 |
$
57,794.32 |
$
51,101.80 |
$
(6,692.52) |
-11.58% |
|
AMGN |
|
$ 65.75 |
$
66.59 |
0.2720 |
0.2675 |
(694) |
$
(46,216.79) |
$
(45,630.50) |
$ 586.29 |
1.27% |
|
|
total: |
|
|
|
-1.63% |
|
$
11,577.53 |
$
5,471.30 |
$
(6,106.23) |
-52.74% |
|
GCI |
|
$ 54.78 |
$
54.21 |
|
|
1,485 |
$
80,500.37 |
$
81,348.30 |
$ 847.93 |
1.05% |
|
EBAY |
|
$ 30.11 |
$
34.06 |
0.3507 |
0.3488 |
(518) |
$
(17,643.31) |
$ (15,596.98) |
$
2,046.33 |
11.60% |
|
|
total: |
|
|
|
-0.54% |
|
$
62,857.06 |
$
65,751.32 |
$
2,894.26 |
4.60% |
|
CD |
|
$ 15.72 |
$
17.31 |
|
|
3,497 |
$
60,533.07 |
$
54,972.84 |
$
(5,560.23) |
-9.19% |
|
IGT |
|
$ 35.78 |
$
37.69 |
0.3679 |
0.3789 |
(1,325) |
$
(49,939.25) |
$ (47,408.50) |
$
2,530.75 |
5.07% |
|
|
total: |
|
|
|
2.99% |
|
$
10,593.82 |
$
7,564.34 |
$
(3,029.48) |
-28.60% |
|
INTC |
|
$ 18.24 |
$
19.49 |
|
|
2,599 |
$
50,654.51 |
$
47,405.76 |
$
(3,248.75) |
-6.41% |
|
SAP |
|
$ 51.10 |
$
54.46 |
0.4210 |
0.4298 |
(1,117) |
$
(60,830.92) |
$ (57,078.70) |
$
3,752.22 |
6.17% |
|
|
total: |
|
|
|
2.09% |
|
$
(10,176.41) |
$
(9,672.94) |
$
503.47 |
4.95% |
|
DELL |
|
$ 24.06 |
$
25.65 |
|
|
2,939 |
$
75,385.35 |
$
70,712.34 |
$
(4,673.01) |
-6.20% |
|
NTAP |
|
$ 34.17 |
$
35.86 |
0.3246 |
0.3219 |
(946) |
$
(33,924.90) |
$ (32,324.82) |
$
1,600.08 |
4.72% |
|
|
total: |
|
|
|
-0.83% |
|
$
41,460.45 |
$
38,387.52 |
$
(3,072.93) |
-7.41% |
|
SKYW |
|
$ 24.45 |
$
23.90 |
|
|
981 |
$
23,442.96 |
$
23,985.45 |
$ 542.49 |
2.31% |
|
LUV |
|
$ 16.30 |
$
16.40 |
5.1818 |
5.1967 |
(5,098) |
$
(83,613.83) |
$
(83,097.40) |
$ 516.43 |
0.62% |
|
|
total: |
|
|
|
0.29% |
|
$
(60,170.87) |
$
(59,111.95) |
$
1,058.92 |
1.76% |
|
FDX |
|
$ 109.72 |
$
113.60 |
|
|
535 |
$
60,776.00 |
$
58,700.20 |
$
(2,075.80) |
-3.42% |
|
UPS |
|
$ 79.29 |
$
80.91 |
1.1156 |
1.0785 |
(577) |
$
(46,683.34) |
$
(45,750.33) |
$ 933.01 |
2.00% |
|
|
total: |
|
|
|
-3.33% |
|
$
14,092.66 |
$
12,949.87 |
$
(1,142.79) |
-8.11% |
|
D |
|
$ 72.93 |
$
74.43 |
|
|
1,425 |
$
106,046.57 |
$
103,902.70 |
$
(2,143.87) |
-2.02% |
|
EP |
|
$ 14.50 |
$
12.98 |
0.4657 |
0.4717 |
(672) |
$
(8,721.30) |
$
(9,744.00) |
$
(1,022.70) |
-11.73% |
|
|
total: |
|
|
|
1.28% |
|
$
97,325.27 |
$
94,158.70 |
$
(3,166.57) |
-3.25% |
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL |
|
Updated: |
6/19/2006 |
(total value: portfolio
+ options) |
|
$ 336,949.95 |
$ 335,587.91 |
$ 2,097.96 |
0.62% |
|
|
S&P-500 |
|
1240.14 |
1305.19 |
|
|
|
|
|
|
-4.98% |
|
Portfolio Ic: Options
Contracts (CLOSED) |
||||||||||
|
Ticker |
|
Final Price |
Initial Price |
Shares/Contracts |
Strike |
Expiry |
Initial Value |
Current Value |
Gain/Loss |
% Change |
|
EKFE.X |
|
$ 0.05 |
$
2.70 |
50 |
$
25.00 |
17-Jun-2006 |
$
13,500.00 |
$ 250.00 |
$
(13,250.00) |
-98.15% |
|
EKFY.X |
|
$ 0.10 |
$ 1.35 |
-100 |
$
27.50 |
17-Jun-2006 |
$
(13,500.00) |
$ (1,000.00) |
$
12,500.00 |
92.59% |
|
EKFF.X |
|
$ 0.05 |
$ 0.50 |
50 |
$
30.00 |
17-Jun-2006 |
$
2,500.00 |
$ 250.00 |
$
(2,250.00) |
-90.00% |
|
|
total: |
|
|
|
|
|
$
2,500.00 |
$
(500.00) |
$
(3,000.00) |
-120.00% |
|
VLOFL.X |
|
$ 0.05 |
$ 7.00 |
20 |
$
60.00 |
17-Jun-2006 |
$
14,000.00 |
$ 100.00 |
$ (13,900.00) |
-99.29% |
|
VLOFM.X |
|
$ 0.05 |
$ 3.70 |
-40 |
$
65.00 |
17-Jun-2006 |
$
(14,800.00) |
$ (200.00) |
$
14,600.00 |
98.65% |
|
ZPYFN.X |
|
$ 0.05 |
$ 1.77 |
20 |
$
70.00 |
17-Jun-2006 |
$
3,540.00 |
$ 100.00 |
$
(3,440.00) |
-97.18% |
|
|
total: |
|
|
|
|
|
$
2,740.00 |
$ - |
$
(2,740.00) |
-100.00% |
|
HALFA.X |
|
$ 1.90 |
$ 8.40 |
20 |
$
72.50 |
17-Jun-2006 |
$
16,800.00 |
$ 3,800.00 |
$
(13,000.00) |
-77.38% |
|
HALFP.X |
|
$ 0.05 |
$ 3.60 |
-40 |
$
80.00 |
17-Jun-2006 |
$
(14,400.00) |
$ (200.00) |
$
14,200.00 |
98.61% |
|
HCYFR.X |
|
$ 0.05 |
$ 0.80 |
20 |
$
90.00 |
17-Jun-2006 |
$
1,600.00 |
$ 100.00 |
$
(1,500.00) |
-93.75% |
|
|
total: |
|
|
|
|
|
$
4,000.00 |
$
3,700.00 |
$
(300.00) |
-7.50% |
|
BAFO.X |
|
$ 10.30 |
$
10.60 |
20 |
$
75.00 |
17-Jun-2006 |
$
21,200.00 |
$
20,600.00 |
$
(600.00) |
-2.83% |
|
BAFQ.X |
|
$ 0.50 |
$ 3.10 |
-40 |
$
85.00 |
17-Jun-2006 |
$
(12,400.00) |
$
(2,000.00) |
$
10,400.00 |
83.87% |
|
BAFS.X |
|
$ 0.05 |
$ 0.20 |
20 |
$
95.00 |
17-Jun-2006 |
$
400.00 |
$ 100.00 |
$
(300.00) |
-75.00% |
|
|
total: |
|
|
|
|
|
$
9,200.00 |
$
18,700.00 |
$
9,500.00 |
103.26% |
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL |
|
|
|
|
|
|
$ 18,440.00 |
$ 21,900.00 |
$ 3,460.00 |
18.76% |
|
|
|
|
|
|
|
|
|
|
|
|