Thank you for using our service.

Trade recommendations closed for May 2007 expiration.

1. DIA Double Diagonal initiated on 21 Feb 2007

21 Feb:: Initiated position for $0.15 debit
9 Apr: Rolled positions for $0.65 credit
13 Apr: Added call spread for $0.50 credit
17 May: Closed position for $2.05 debit

P&L: -$105 per trade
Number of trades entered for mock account: 2

2. DIA Double Diagonal initiated on 8 Mar 2007

8 Mar: Initiated position for $0.1 debit
11 Apr: Rolled position for $1.30 credit
2 May: Bought hedge for $1.55 debit
16 May: Closed call spreads for $0.05 debit

P&L: -$40 per trade
Number of trades entered for mock account: 2

3. IWM Iron Condor initiated on 15 Mar 2007

15 Mar: Initiated position for $0.95 credit
20 Apr: Rolled call spread for $0.48 debit
18 May: Closed call spread for $1.15 debit

P&L: -$68 per trade
Number of trades entered for mock account: 2

4. SPY Iron Condor initiated on 22 Mar 2007

22 Mar: Initiated position for $0.90 credit
20 Apr: Rolled call spread for $0.45 debit
1 May: Closed call spread for $1.60 debit

P&L: -$110 per trade
Number of trades entered for mock account: 2

5. DIA Double Diagonal initiated on 30 Mar 2007

30 Mar: Initiated position for $0.10 debit
17 May: Closed call spread for $1.35 debit

P&L: -$145 per trade
Number of trade entered for mock account: 2

6. SPY Double Diagonal initiated on 30 Mar 2007

30 Mar: Initiated position for $0.15 debit
14 May: Closed position for $0.53 debit

P&L: -$68 per trade
Number of trades entered for mock account: 2

7. RUT Iron Condor initiated on 9 Apr 2007

9 Apr: Initiated position for $1.95 credit
15 May: Closed position for $0.20 debit

P&L: +$175 per trade
Number of trades entered for mock account: 1

8. SPY Iron Condor initiated on 12 Apr 2007

12 Apr: Initiated position for $0.93 credit
17 May: Closed call spread for $2.00 debit

P&L: -$107 per trade
Number of trades entered for mock account: 2

Comment

This was a bad, bad month. Almost all of trades were losers. The market was unexpectedly strong and neutral traders like us were badly affected by the onslaught of the flying bulls. One reason that made the losses worse was our decision to enter more trades than usual for May. We expected the broad market to trade in a tight range after the massive plunge on 28 Feb. What happened was unexpected by many traders. Furthermore, there was no chance, no pullback that we can use to close our positions to minimize our losses. The market just went higher and higher day after day.

Of course we are disappointed with this set of results. This one month's losses wiped out about three months' worth of gains in our mock account. We will trade lightly for June. We have only 2 open trades for June currently. We'll assess the market condition before entering more trades. This month marks the third loser month we have since July 2006. Our target is to have not more than 4 loser months in a year. On a more consoling note, we are still on track to our target.

Yours sincerely,

Gary

Founder, Head Trader of MarketNeutralOptions