SPY Analysis (lot 11)

SPDR S&P 500 ETF Trust (SPY)

Update 3/20/2020One day after I entered the SPY, lot 10, short bear call spread, the S&P 500 declined, and I exited the position. The debit at exit was $0.55 per contract share, a $0.87 profit that is 61.3% of maximum potential profit, as shares traded for $235.11 per share, down $1.50 from the entry price.

During the  lifespan of the trade the S&P 500 was executing an upward correction and a downward reverse, all at a small scale. The implied volatility rank was 65.8% at exit, down 29.2% from the entry level. The profit from the trade came largely from the rapidly declining implied volatility, along with the usual supply and demand impacts.

Shares declined by 0.6% over one day, or a -0.4% annual rate. The options position produced a 156.41% return for a +57,736% annual rate.

I have entered a short bear call spread on SPY, lot 11, using options that trade for the last time 57 days hence, on May 15. The premium is a $1.42 credit per contract share and the stock at the time of entry was priced at $236.64.

The implied volatility rank (IVR) stands at 95.0%.

Premium: $1.42 Expire OTM
SPY-bear call spread Strike Odds Delta
Long 291.00 89.0% 16
Break-even 283.58 87.5% 23
Short 285.00 86.0% 29

The premium is 47.3% of the width of the position’s wing.

The profit zone covers a 19.8% move to the upside.

The risk/reward ratio is 3.2:1, with maximum risk of $458 and maximum reward of $142 per contract.

By Tim Bovee, Portland, Oregon, March 19, 2020


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.

2 thoughts on “SPY Analysis (lot 11)

Comments are closed.