Update 6/11/2018: Exited. Results to be posted shortly.
I have entered a short vertical spread on SPY, using options that trade for the last time 43 days hence, on June 15. The premium is a 2.92 credit and the stock at the time of entry was priced at $262.50.
I made the decision to enter the trade in my account after concluding, based on Elliott wave analysis, that a 3rd wave down at the Minuette degree has begun. The Minuette is my preferred degree for trading options.
Implied volatility stands at 16%, identical to the VIX, a measure of the volatility of the S&P 500 index.
SPY’s IV stands higher than 23% of its daily readings over the past year and stands in the 37th percentile of its most recent broad movement, lower than I like for an individual stock but acceptable for broad fund like SPY.
The price used for analysis was $261.16.
| Premium: | $2.92 | Expire OTM | |
| SPY-bear call spread | Strike | Odds | Delta |
| Calls | |||
| Long | 271.00 | 78.5% | 23 |
| Break-even | 261.08 | 67.6% | 34 |
| Short | 264.00 | 56.7% | 45 |
The premium is 83% of the width of the position’s wings.
The risk/reward ratio is 1.4:1, with maximum risk per contract of $473 and reward of $308.
The bid/ask spread was 0.7%.
By Tim Bovee, Portland, Oregon, May 3, 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
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.
Tim Bovee, Private Trader 
[…] have entered a bear-call-spread position on SPY after reworking my chart analysis. One problem with what I had before — and it is one that I […]
LikeLike
[…] SPY remains in downtrend mode on the Fisher Transform, and there has been no change in the Elliott wave analysis posted on Thursday. […]
LikeLike
[…] position on SPXU based on the Fisher Transform but retained my options-based bear position on SPY based on Elliott wave […]
LikeLike
[…] first, managing options plays on SPY, relies on Elliott wave analysis for entry/exit signals with the Fisher transform serving as a […]
LikeLike
[…] barely below the $271.30 level. As of this morning there is no need to act on my bear position on SPY using options, nor to enter a shares […]
LikeLike
[…] significant change on the SPY chart today. No […]
LikeLike
[…] SPY continues to rise in what Elliott wave analysis labels as a C wave of the Minuette degree. I see no action as necessary until the C wave is complete. […]
LikeLike
[…] SPY reversed to the downside this morning with an opening gap. The Fisher Transform signaled a change to downtrending. […]
LikeLike
[…] of both the Minor and Minuette degrees, so I shall continue to hold my options positions on SPY (here and here). See the chart in Wednesday’s Live […]
LikeLike
[…] see no need for action on my present positions, SPY options (here and here) and shares in the inverse S&P 500 fund SPXU. I have no new positions planned for […]
LikeLike
[…] chart. At this point I intend no exits from my present positions, composted of SPY options (here and here) and shares in the inverse S&P 500 […]
LikeLike
[…] plan no action at this point on my SPY options (here and here) and shares in the inverse S&P 500 […]
LikeLike
[…] shall continue to hold my SPY options (here and here) and shares in the inverse S&P 500 […]
LikeLike
[…] SPY options (here and here) and shares in the inverse S&P 500 fund SPXU require no action at this […]
LikeLike
[…] am carrying three positions, SPY options (here and here) and shares in the inverse S&P 500 fund SPXU, which did a 4x reverse split on […]
LikeLike
[…] see no trades today. Here are links to the opening analyses for my positions: SPY options (here and here) and shares in the inverse S&P 500 […]
LikeLike
[…] continuation of the Subminuette 3rd wave counsels holding on to my positions: SPY options (here and here) and shares in the inverse S&P 500 […]
LikeLike
[…] although the decision itself is based on Elliott wave analysis. My options positions on SPY (here and here) expire June 15, so the more sensitive daily chart signal must be taken very seriously […]
LikeLike
[…] now, I’m staying my options positions (here and here) and the shares posution (the inverse S&P 500 fund SPXU) until the chart gains […]
LikeLike
[…] have two options positions, both on SPY ((here and here). Both positions are in abysmal shape. Take the first one, a bear call spread short the […]
LikeLike
[…] have updated the entry analyses for my two SPY positions (here and here) to include risk and reward as dollars per contract, in line with yesterday’s […]
LikeLike
[…] two options positions (here and here) expire in eight days. Typically in such cases I will roll out, taking the loss if […]
LikeLike
[…] have exited my options positions on SPY (here and here) with the intention of rolling back in when the downtrend resumes. I shall update their […]
LikeLike