SPY Analysis

SPDR S&P 500 ETF (SPY)

I have entered a short vertical spread on SPY, using options that trade for the last time 51 days hence, on May 18. The premium is a $4.33 credit and the stock at the time of entry was priced at $260.57.

I made the decision to enter the trade in my account based on Elliott wave analysis. At the level I trade, the Minuette, I count SPY as tracing a 3rd wave down within a higher 1st wave down, and one level down within the Minuette, a 3rd wave down.

Implied volatility stands at 23%, which is nearly identical to the VIX, a measure of the volatility of the S&P 500 index.

SPY’s IV stands higher than 45% of its daily readings over the past year and stands in the 83rd percentile of its most recent broad movement..

The price used for analysis was $260.65.

Premium: $4.33 Expire OTM  
SPY-bear call spread Strike Odds Delta
Calls
Long 273.00 79.0% 23
Break-even 258.67 68.0% 35
Short 263.00 56.9% 46

The premium is 86.6% of the width of the position’s wings.

The risk/reward ratio is 1.3:1.

The bid/ask spread was 0.7%.

By Tim Bovee, Portland, Oregon, March 28, 2018

Disclaimer

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.

License
Creative Commons License

All content on Tim Bovee, Private Trader by Timothy K. Bovee is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

Based on a work at www.timbovee.com.

13 thoughts on “SPY Analysis

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out /  Change )

Google+ photo

You are commenting using your Google+ account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )

w

Connecting to %s