I closed out my SPY Feb 111 buy-write position a little early today. It would have probably closed in the money, but I didn’t like the way the market was behaving for a position that was only a few tenths in the money. Sold SPY at 111.23 and bought back the calls at .36 for a net credit of 110.87. Overall profit was 2.44 per share–a nice return.
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DIA Dividend Capture–close out
Sunday, February 21st, 2010 | Vance Harwood
My DIA dividend capture position was assigned last night as expected, for a net profit of $0.27 per share. Since my DIA position was called before the dividend was distributed I won’t actually get the dividend (which I am estimating to be $0.25), but my net profit is slightly more with considerably less risk than just buying DIA and holding to ex-dividend. The image below includes today’s open interest on the DIA options as the far right column. The Feb 99 calls went from an open interest of around 2400 to 38 overnight, so about 98.5% of the open calls were assigned. The options up through the 102 strike were mostly cleared out.
DIA call option chain 19-Feb-2010, Open Interest on right, click to enlarge
2004 Redux–into a negative trend line?
Thursday, February 18th, 2010 | Vance Harwood
I’m continuing with the hypothesis that there are a lot of similarities to the 2003/2004 market that might help predict the future action of the market. Clearly volatility is higher now than the 2003/2004 period, and the transition from upward trend line to a sideways market has been scarier–but these are scary times. Looking back at 2004, the market went into a slightly declining trend, the highs and lows decreasing a slight 0.25 point per month. The range between the highs and lows was about 4.5 points. I can imagine, looking at the graph that we have touched the bottom line of the 2010 trend line, which is about 5 points below the 2004 bottom line.
Will the market come roaring back and challenge the 2004 top trend line, or will the old bottom become the new top? With higher volatility I would expect the range to be wider, but I would be surprised to make it all the way back to the 2004 top trend line. I’m guessing we’ll see around 112 to 113 as the top.
S&P 500 2004 vs 2010 with trend lines, click to enlarge
February VIX options expire — fear takes a bite
Thursday, February 18th, 2010 | Vance Harwood
February VIX options expired today. The settlement price (ticker VRO/$VRO/^VRO) was 22.50. The VIX index opened at 22.25. With this settlement price I ended up losing .35 per call on my VIX spread. Things could have been much worse–I could have lost up to 2.85 with the spread. I certainly didn’t expect the VIX to stay up at the levels it has. People always seem surprised at how fast things drop in a correction, that coupled with the recent savage bear market, and the uncertainty in the EU, has people spooked. The 6 month pattern of VIX dropping rapidly after upticks was broken with this sequence. I’m reminded of the quote, “everything works sometimes but nothing works all the time”.
6 Months VIX index, Click to enlarge
Sideways Market — with a slightly declining trend…
Wednesday, February 17th, 2010 | Vance Harwood
In case you haven’t noticed, the market has moved off the nice trend line it was on the 2nd half of 2009 into what appears to be a sideways mode.
150 days of SPY, click to enlarge
2004 vs 2010 — Similar highs & lows, so far…
Wednesday, February 10th, 2010 | Vance Harwood
Updating the 2003/2004 to 2009/2010 comparison with SPY, we see that 2010′s first major correction arrived about a month earlier than 2004′s. So far the 2004 absolute high vs absolute low is very close to 2010′s at 9.38 vs 9.17 points and the percentage drop-offs are very similar at 8% vs 7.9%. The volume curves are also looking very similar with the averaged normalized volume in 2010 climbing rapidly. I haven’t looked at other years–I sure that it is typical to have volume drop-offs during the year end holidays, but I suspect these particular volume drop offs were more pronounced than normal.
2003/2004 SPY vs 2009/2010, Click to enlarge
Bear or a scare?
Tuesday, February 9th, 2010 | Vance Harwood
It didn’t take long for the self-conscious euphoria of early January to turn into panic-tinged nervousness in late January. I don’t blame the market, after the brutal beating of early 2009, people have a right to be fearful.
I continue to be optimistic. At the base level, I think the markets are driven by the economy, and there is little doubt that things are improving. Of course, unemployment is still very high, but the stock market cares little about jobs–preferring higher profits with layoffs, over a guidance miss. The headlines of Greece’s debt problems seem highly overblown to me–the USA’s GNP is over 40 times higher than theirs, as is the overall European Union’s–I doubt Greece’s problems will be pivotal in the recovery of the global economy.
This latest pullback has again validated that diversification across asset classes has gotten tougher. Gold is looking like a Dow Jones Industrial rather than a contrarian play. The world economy, linked with optical fiber, looks more and more like a single entity –passing the emotional baton to the next geography at the end of the day. Only bonds and volatility buck the down trends now.
When will I admit that I’m wrong and embrace the bear? If the 250 day simple moving average starts going down by a point or so–I’ll bail. It’s been a pretty good trigger for the last 15 years or so.
Dividend, Ex-Dividend, and Paydate / Distribution information for ETFs
Thursday, December 29th, 2011 | Vance Harwood
I have collected dividend, ex-dividend, paydate/distribution information for 2011 on the following ETFs. Notice the search box at the upper right of the tables.
Popular Monthly Dividends (including AGG, BIL, CSJ, DIA, HYG, IEF, JNK, PFF, TIP, TLT):
| SYMBOL-- | DESCRIPTION | June Ex-Dividend | June Distribution |
|---|---|---|---|
| AGG | AGG iShares Barclays Aggregate Bond Fund | 1-Jun-12 | 7-Jun-12 |
| BIL | BIL SPDR Barclays Capital 1-3 Month T-Bill ETF | 1-Jun-12 | 11-Jun-12 |
| CSJ | CSJ iShares Barclays 1-3 Year Credit Bond Fund | 1-Jun-12 | 7-Jun-12 |
| HYG | HYG iShares High Yield Corporate Bond Fund | 1-Jun-12 | 7-Jun-12 |
| IEF | IEF iShares Barclays 7-10 Year Treasury Bond Fund | 1-Jun-12 | 7-Jun-12 |
| INY | INY SPDR Barclays Capital New York Municipal Bond | 1-Jun-12 | 11-Jun-12 |
| JNK | SPDR Barclays Capital High Yield Bond | 1-Jun-12 | 11-Jun-12 |
| LAG | LAG SPDR Barclays Capital Aggregate Bond | 1-Jun-12 | 11-Jun-12 |
| LQD | iShares iBoxx $ Investment Grade Corporate Bond | 1-Jun-12 | 7-Jun-12 |
| MUB | iShares S&P National AMT-Free Municipal Bond Fund | 1-Jun-12 | 7-Jun-12 |
| PFF | PFF iShares S&P U.S. Preferred Stock Index | 1-Jun-12 | 7-Jun-12 |
| TIP | iShares Barclays TIPS Bond | 1-Jun-12 | 7-Jun-12 |
| TLT | iShares Barclays 20+ Year Treasury Bond | 1-Jun-12 | 7-Jun-12 |
Popular Quarterly Dividends (including OEF, IWM, IVV, Schwab no-fee, SPY, XLU)
| Sort | SYMBOL -- | DESCRIPTION | Group -- | Q2 Ex-dividend | Q2 Distribution / Paydate |
|---|---|---|---|---|---|
| IVE | IVE | IVE S&P 500Value Index Fund | iShares S&P | 19-Jun-12 | 25-Jun-12 |
| IVV | IVV | iShare S&P 500 Index Fund | iShares S&P | 19-Jun-12 | 25-Jun-12 |
| IWM | IWM | iShares Russell 2000 Index Fund | iShare Russell | 26-Jun-12 | 2-July-12 |
| OEF | OEF | OEF iShare S&P 100 Index Fund | iShares S&P | 19-Jun-12 | 25-Jun-12 |
| SCHA | SCHA | Schwab U.S. Small-Cap ETF™ | Schwab | 18-Jun-12 | 22-Jun-12 |
| SCHB | SCHB | Schwab U.S. Broad Market ETF™ | Schwab | 18-Jun-12 | 22-Jun-12 |
| SCHF | SCHF | Schwab International Equity ETF™ | Schwab | 18-Jun-12 | 22-Jun-12 |
| SCHG | SCHG | Schwab U.S. Large–Cap Growth ETF™ | Schwab | 18-Jun-12 | 22-Jun-12 |
| SCHV | SCHV | Schwab U.S. Large-Cap Value ETF™ | Schwab | 18-Jun-12 | 22-Jun-12 |
| SCHX | SCHX | Schwab U.S. Large-Cap ETF™ | Schwab | 18-Jun-12 | 22-Jun-12 |
| SPY | SPY | SPY SPDR Trust S&P 500 Index | SPDR | 15-Jun-12 | 31-Jul-12 |
| XLE | XLE | Energy Select Sector SPDR Fund | SPDR Sector | 15-Jun-12 | 27-Jun-12 |
| XLF | XLF | Financial Select Sector SPDR Fund | SPDR Sector | 15-Jun-12 | 27-Jun-12 |
| XLI | XLI | Industrial Select Sector SPDR Fund | SPDR Sector | 15-Jun-12 | 27-Jun-12 |
| XLP | XLP | Consumer Staples Select Sector SPDR Fund | SPDR Sector | 15-Jun-12 | 27-Jun-12 |
| XLU | XLU | Utilities Select Sector SPDR Fund | SPDR Sector | 15-Jun-12 | 27-Jun-12 |
Complete list:
Click here for dividend history data and charts 2005–2011 for all iShares and SPDR ETFs
AGG
CSJ
DIA
DVY
EMB
HYG
IEF
INY
IVE
IVV
IWM
JNK
LAG
LQD
MUB
PFF
SPY
TIP
TLT
XLE
XLF
XLI
XLP
XLU
XLV
iShares: AGG CMF CSJ HYG IEF IEI IGOV ISHG LQD PFF SHV SHY TIP TLH TLT
iShares: AGZ CFT CIU EMB GBF GVI MBB MUAA MUAB MUAC MUAD MUAE MUAG MUB NYF SUB
iShares: DVY … DVY dividend history
iShares: IJJ IJH IJK IJR IJS IJT ISI IVE IVV IVW OEF
iShares Russell IWB IWC IWD IWM IWO IWR IWS IWP IWV IWW IWZ
SPDR: BIL BMX CWB CXA INY IPE ITE ITR (jnk)JNK LAG LWC MBG MWZ SHM TFI TLO VRD WIP
SPDR: DIA … DIA Dividend History … DIA Dividend Capture
SPDR: DSG, DSV, ELG, ELV, MTK, RWR, XLB, XLE, XLF, XLI, XLK, XLP, XLU, XLV, XLY
Schwab: Commission free ETFs SCHA, SCHB, SCHF, SCHG, SCHX, SCHV
SPDR: SPY
Archival / Reference Information from SPDR and iShares
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