Following are the activity from the previous month:
a) Closed the following longs: Sold 20% of Vonage (VG), ~25% of Aegon (AEG), 25% of Nokia (NOK), and the whole of DrysShips (DRYS) for returns of 38.95%, -67.77%, -71.79%, and -68.17% respectively for a total portfolio impact of negative 2.04%. Ocean Rig UDW Inc. (ORIG), a very small position established due to the spin-off from DryShips (DRYS) was also disposed-off this quarter.
b) Increased/Added the following longs: Added 50% more to our holdings in Intel Corporation (INTC) on 09/14/2012 at $23.42, and doubled our holdings in Waste Management (WM) on 09/19/2012 at $32.75. Also established a 1% of the portfolio long position in Vringo, Inc. (VRNG) at $3.69 on 9/24/2012.
c) Long Calls: The long calls on ProShares Ultra Short S&P 500 (SDS Sep 16 @ $1.02) and iPath S&P 500 VIX Short Term Futures ETN (VXX Sep 15 @ $1.79) expired worthless for a combined portfolio impact of a negative 0.6% of total portfolio value.
d) Long Puts: None.
e) Shorts: None.
f) Short Calls: Established short calls on SPDR Gold Trust ETF (GLD Jan 2013 167 @ $6.90) against the whole of our long position in GLD. Also, closed Nokia (NOK Oct 2012 3), DryShips (DRYS Jan 2013 2.5), and Alcoa (AA Jan 2013 12.5) positions for a combined portfolio impact of -0.07%.
g) Short Puts: None.
h) Synthetic Longs: None.
i) Synthetic Shorts: None.
The cash position in our portfolio is at just under 30%.
Long/Short Portfolio Update:
The overall portfolio has unrealized gains of around 1.30%.
2012 Transactions Summary:
Excluding dividends, we have a realized gain of 7.78% in the portfolio YTD.
Option Position Updates:
Short Puts: ABB Ltd (ABB Dec 2012 15 @ 0.65), Nucor (NUE Jan 2013 34 @ 2.20), and Marvell Technology (MRVL Jan 2013 10 @ 0.89). The short puts together have a cash coverage requirement of about 21.63% of our cash position.
Short Calls: Clearwire (CLWR Jan 2013 1.5 at 0.35), Nucor (NUE Oct 2012 40 at $1.10), and SPDR Gold Trust ETF (GLD Jan 2013 167 at 6.9). The short calls exposure is ~6% of the portfolio.
Long Calls: None.
Synthetic Longs: JC Penney (JCP Jan 2014 25) and Corning (GLW Jan 2014 12) with a net exposure of ~4% of portfolio and ~10% of cash.
Watch List: Assured Guaranty Limited (AGO), Air Products & Chemicals (APD), Bemis Company (BMS), Cigna Corporation (CI), NTT Docomo (DCM), Diageo (DEO), DaVita (DVA), Dream Works Animation (DWA), Emerson Electric (EMR), Forest Laboratories (FRX), General Motors (GM), Jefferies Group (JEF), 3M Company (MMM), Nestle (NSRGY), PepsiCo (PEP), Polypore International Inc. (PPO), State Auto Financial (STFC), Teva Pharmaceuticals (TEVA), Vivendi (VIVHY), and Whirlpool (WHR).