Portfolio Update

This is the first portfolio update since May, a reflection of how quiet trading time has been for the book over the summer.  A couple of trades today; increasing the size of the SPY 100 strike with Dec-10 expiry put and adding two more market hedge (SPY 100 Dec-11, SPY 65 Dec-11). 

The moves reflect a couple of things which have different time horizons.   They reflect a rolling over the market hedges (from Dec-10 expiry to Dec-11) as was discussed in the recent Portfolio Thoughts.  However, the roll isn’t complete as not only have I retained the pre-existing SPY put (strike 100, Dec-10 expiry) rather than sell (and thus complete the move) but I’ve also added to it today.  Whereas the rolling of the hedges can be thought of a strategic move (essentially paying a cost for lengthening maturities), the retention and addition to the existing hedges is tactical.  There reasons are manifold but it reflects my belief that there are a number of technical resistance points near here (1,140-1,150 range), that the expectation of a double dip is underpriced (e.g. JPM amongst others, expect the first revision to Q2 GDP to come in at 1.7% vs. 2.4% originally reported), and that stocks remain overvalued (on long-term measures, like CAPE or Tobin’s Q).