SPY Analysis (lot 13)

SPDR S&P 500 ETF Trust (SPY)

Update 5/15/2020: I exited my short bear call options spreads on SPY for a $5.02 debit, a shortfall of $3.99 per options share, with shares of stock trading for $282.73, up $59.40 from entry. The market changed from a downtrend to an uptrend within hours of my trading. See my “lessons learned” study.

The implied volatility rank at exit was 33.4%, down 40.3 points from its level at entry.

Shares rose by 26.6% over 53 days for an +862% annual rate. The options position produced a 78.9% loss for a -547% annual rate.

I have entered a short bear call spread on SPY, using options that trade for the last time 53 days hence, on May 15. The premium is a $1.03 credit per contract share and the stock at the time of entry was priced at $223.37.

The implied volatility rank (IVR) stands at 73.7%.

Premium: $1.03 Expire OTM
SPY-bear call spread Strike Odds Delta
Long 266.00 87.0% 17
Break-even 259.97 85.5% 19
Short 261.00 84.0% 21

The premium is 41.2% of the width of the position’s wing.

The profit zone covers a 16.4% move to the upside.

The risk/reward ratio is 3.9:1, with maximum risk of $397 and maximum reward of $103 per contract.

By Tim Bovee, Portland, Oregon, March 23, 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.

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