Tuesday, July 17, 2012

Expiration Forecast: MAS and NOC

As the options expiration date approaches this Friday, it appears that I will have a couple of the positions called away for the first time in a few months.  The positions are as follows:

·          MAS (200 shares) – 2 July contracts at $12
·          NOC (200 shares) – 2 July contracts at $60

Neither position has been particularly long term for me.  I bought NOC in February, when I was traveling extensively, and have held it for about 150 days, starting with a May contract and rolling out to June and then July.  The MAS position is one I have only held for 20 days.

I use the Delta statistic as a probability indicator sometimes.  In this case, the MAS position – trading in the money at $13.78 at yesterday’s close, showed a Delta of .85, and the NOC – trading ITM at $63.49, showed a Delta of .92.  While neither has a 1.00 Delta, with only four trading days left it does seem likely that these will be called away from me. 

Here’s the history:

NOC – 200 Shares, basis $59.93, 60 Jul 2012 to be assigned
Option Premiums (total):  $589.71
Dividends Collected:  $210.00
Stock Loss:  -$3.36
Total:  $796.35
Absolute return 6.64%
Annualized return (150 days) 20.21%

MAS – 200 Shares, basis $12.24, $12 July 2012 to be assigned
Option Premiums:  $130.49
Dividends Collected:  $15.00
Stock Gain:  -$65.00
Total:  $80.49
Absolute return 3.29%
Annualized return (20 days) 60.03%

I’d like to get back on the pattern where I am seeing some of the positions called away every month.  I’ll report back next Monday if these are actually called.

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