SPY Analysis


I have entered a short vertical spread on SPY, using options that trade for the last time 53 days hence, on Aug. 17. The premium is a $3.80 credit and the stock at the time of entry was priced at $270.52.

I made the decision to enter the trade in my account based on an Elliott wave count showing the 3rd wave down of Minuette degree began on June 13.

Implied volatility stands at 18%, which is identical to the VIX, a measure of the volatility of the S&P 500 index.

SPY’s IV stands in the 50th percentile of its most recent broad movement..

The price used for analysis was $270.59.

Premium: $3.80 Expire OTM  
SPY-bear call spread Strike Odds Delta
Long 280.00 79.3% 22
Break-even 268.20 67.3% 35
Short 272.00 55.3% 47

The premium is 95% of the width of the position’s wings.

The risk/reward ratio is 1.1:1, with a maximum profit of $380 per contract and risk of $420 per contract.

The bid/ask spread was 1.1%.

By Tim Bovee, Portland, Oregon, June 25, 2018


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.

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.


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