SPY
Today we're launching a tracking portfolio for a theoretical $100,000.00 leveraged Anchor strategy.
SPY is currently at 273.63. The highest delta (.90), furthest out of the money call is the 160 calls.
But to Open 4 June 21, 2019 160 Calls @ 114.03 ($45,612)
But to Open 100 shares SPY @ 273.60 ($27,360)
We're now "controlling" 500 shares of SPY, which means we need to hedge $136,800 worth. The June 2019 275 Puts are trading at $16.10. We need five to fully hedge the position. That's a cost of $8,050. To pay for the hedge, we'll need 3 extra puts, for a total of 8. So our order continues:
BTO 8 June 21, 2019 275 Puts @16.10 ($12,880)
With 55 trading weeks on those puts, and three extra puts, we need to average $0.78/week -- right under our ideal $0.80/week target.
Then we short our three puts for the week:
STO 3 June 22, 2018 274.5 puts @ 3.45 $1,035. (note, extrinsic value of 2.57).
That gives us a total outlay of $15,183, not including commissions. As people's commissions vary, we'll assume about $14,000 in investable cash, which we will put in BIL, which is currently trading at 91.45. So we have 153 shares of it.
So our portfolio looks like:
Long 4 Jun 21 2019 160 Calls
Long 100 shares SPY
Long 8 June 21, 2019 275 Puts
Long 153 Shares BIL
Short 3 June 22, 2018 274.5 Puts
$1,191.15 in cash
Total Portfolio Value = $100,000.00
Less any commissions incurred. I'll be updating a spreadsheet with end of day values every day for tracking purposes and I'll share it every month.
After implementing, this largely should be treated like Anchor as it relates to rolling the short puts and when to change the long hedge.
January 2 2019 update: the leveraged portfolio is currently the official portfolio of Anchor Trades. Scroll here to see the leveraged Anchor portfolio as of January 2 2019.
This topic will host the official model portfolio along with the rolls. Please go to the last post to see the latest updated portfolio along with the rolls. Each roll will be followed by a spreadsheet with the current portfolio after the roll.
In addition, we have topics for other ETFs that are tracked as "diversified Anchor" but are not part pf the official performance reporting.
Terminology:
BTO = Buy To Open (applies to long calls and long puts)
BTC = Buy To Close (applies to short puts)
STO = Sell To Open (applies to short puts)
STC = Sell To Close (applies to long calls and long puts)
In the spreadsheet, the third column indicates the number of contracts (minus sign means short or sold position, usually applies to short puts).