SPY Analysis


Update 12/7/2017: I exited my SPY position preliminary to a roll forward into a new position. The options produced a net debit of $2.24, with shares at $264.28.

My reading of the chart, applying Elliott wave analysis, has persuaded me that SPY has taken a turn downward, marking the end of its long-running upward push beginning a major downtrend.

I shall use options that trade for the last time 51 days hence, on Dec. 15.

Implied volatility stands at 14%, which is 1.2 times the VIX, a measure of the volatility of the S&P 500 index.

SPY’s IV stands in the 30th percentile of its annual range and at the peak of its most recent broad movement.

The price used for analysis was $254.23.

Premium: $1.81 Expire OTM
SPY-vertical Strike Odds Delta
Long 262.00 83.9% 17
Break-even 258.81
Short 257.00 61.0% 40

The premium is 36.2% of the width of the position’s wings.

The risk/reward ratio is 1.8:1.

Decision for My Account

I have entered a position on SPY as described above. The stock at the time of entry was priced at $254.65.

By Tim Bovee, Portland, Oregon, October 25, 2017


Tim Bovee, Private Trader tracks the analysis and trades of a private trader for his own accounts. Nothing in this blog constitutes a recommendation to buy or sell stocks, options or any other financial instrument. The only purpose of this blog is to provide education and entertainment.

No trader is ever 100 percent successful in his or her trades. Trading in the stock and option markets is risky and uncertain. Each trader must make trading decisions for his or her own account, and take responsibility for the consequences.

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