SPY Analysis


Update 10/23/2018: I have exited SPY for a $1.76 per contract/share with the share price at $270.95. Overall the position produced a profit of $260 per contract, which is 61.7% of maximum potential profit.

I had entered the position in the midst of a 3rd wave down in Elliott wave analysis. That wave ended and moved into a 4th wave to the upside, moving the position out of the profit zone, 

Shares declined by 2.5% over the 12-day holding period, or a -75% annual rate. The options position produced a 147.7% return for a +4,493% annual rate.

I have entered a short vertical spread on SPY, using options that trade for the last time 36 days hence, on Nov. 16. The premium is a $4.36 credit per contract/share and the stock at the time of entry was priced at $277.28.

I made the decision to enter the trade in my account based on Elliott wave analysis showing a major downtrend began on Sept. 20. 

The profit zone for this position is $274.84 and lower.

Implied volatility stands at 22%, which is identical to the VIX, a measure of the volatility of the S&P 500 index. SPY’s IV rank stands at 40%

The price used for analysis was $277.16.

Premium: $4.36 Expire OTM
SPY-bear call spread Strike Odds Delta
Long 289.00 84.0% 17
Break-even 274.64 69.7% 32
Short 279.00 55.4% 47

The premium is 87% of the width of the position’s wings.

The risk/reward ratio is 1.3:1, with maximum loss of $564 and maximum reward of $436 per contract.

The bid/ask spread was 0.7%.

By Tim Bovee, Portland, Oregon, Oct. 11, 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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