SPY Analysis


Update 10/10/2018I have exited a long vertical bear spread on SPY for a debit of $1.17, or 62% of maximum potential profit, with the share price at $283.20. The profit was $190 per contract.

SPY traded sideways for nine trading days after I ended, and then began a downward march, culminating with a larger drop today that brought my position to profitability. For verticals, my normal exit goal is at least 50% of maximum potential profit.

Shares declined by 2.7% over 22 days, or a -45% annual rate. The options position produced a 162.4% return for a +2,694% annual rate.

I have entered a short vertical spread on SPY, using options that trade for the last time 59 days hence, on Nov 16. The premium is a $3.07 credit and the stock at the time of entry was priced at $291.11. The breakeven point is $288.93, with all prices at and below that point profitable at expiration.

I made the decision to enter the trade in my account based on Elliott wave analysis suggesting that the 3rd wave down at Minuette degree has begun..

Implied volatility stands at 12.7%, which is identical to the VIX, a measure of the volatility of the S&P 500 index. SPY’s IV rank is 12.3%

The price used for analysis was $291.20.

Premium: $3.07 Expire OTM
SPY-bear call spread Strike Odds Delta
Long 300.00 82.1% 19
Break-even 288.93 67.7% 34
Short 292.00 53.3% 48

The premium is 77% of the width of the position’s wings.

The risk/reward ratio is 1.6:1.

The bid/ask spread was 1%.

By Tim Bovee, Portland, Oregon, Sept. 18, 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.

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