2007/07/30

10d,Theta	10d,65%VAR	10d,95%VAR	10d,99%VAR

8.9%	5.6%	47.0%	107.4%

2007/07/27

10d,Theta	10d,65%VAR	10d,95%VAR	10d,99%VAR

8.7%	8.4%	48.7%	104.0%

2007/07/26

10d,Theta	10d,65%VAR	10d,95%VAR	10d,99%VAR

8.1%	7.1%	45.2%	99.7%

2007/07/24

10d,Theta	10d,65%VAR	10d,95%VAR	10d,99%VAR

5.3%	1.8%	27.7%	73.1%

12 Months Review

It has been one year since posting of 'index gambling' blog. Here
is a summary:

Aug-06	4.1%
Sep-06	3.0%
Oct-06	6.0%
Nov-06	1.7%
Dec-06	2.1%
Jan-07	5.6%
Feb-07	2.4%
Mar-07	-15.0%
Apr-07	9.8%
May-07	5.7%
Jun-07	4.9%
Jul-07	10.0%

Average Monthly Return: 3.3%
Monthly Standard Deviation: 6.4%

One Year Return: 40.2%
Yearly STDEV: 22.1%


---------------

Augest 2007 Positions

10d,Theta	10d,65%VAR	10d,95%VAR	10d,99%VAR

4.1%	3.5%	25.4%	65.7%

July 2007 Review

July 2007 Return: 10.0%

This is a good month for index option sellers. There is decent implied volatility.
In addition, the market zig-zag-ed, it didn't go anywhere (not one way directional
up or down).

It good to make money.

:-D

2007/07/10

10d,Theta	10d,65%VAR	10d,95%VAR	10d,99%VAR

3.1%	0.0%	36.1%	117.0%

2007/07/05

10d,Theta	10d,65%VAR	10d,95%VAR	10d,99%VAR

2.9%	0.0%	19.8%	71.5%

Mid-July Review

I haven't changed any position since the beginning of this month (06/18).
We're half past July, there is still no change of position. Here is just what
it looks like today on 07/04.

10d,Theta	10d,65%VAR	10d,95%VAR	10d,99%VAR

3.0%	0.0%	15.1%	58.5%

Bill Gross: Subprime Loans

Bill Gross: Looking for Contagion in All the Wrong Places
http://www.pimco.com/LeftNav/Featured+Market+Commentary/IO/2007/IO+July+2007.htm