SPY Analysis

SPDR S&P 500 ETF Trust (SPY)

Lot 2020-16

Update 9/25/2020: I exited my short iron condor position on SPY 21 days before expiration, for a $1.27 credit per contract/share, a profit before fees of $22 per contract, or 17.3%. Shares were trading at $332.91, down $4.10 from the entry level.

My decision to exit was based on my Management Day rule that requires managing profitable trades 21 days before expiration. Also, the exit decision, like the entry, was based on Elliott wave analysis. While I held the contract, SPY traced the second half of wave 3 of Subminuete degree to the downside, all of Subminuette 4 to the upside, and at exit was, tentatively, in Micro 2 of Subminuette 5. Micro 2 was uptrending and increased my profit. Once Micro 3 began, it would cut into my profits, so I decided to exit. Had the Elliott wave count suggested a greater likelihood of profit, then I would have delayed exit past Management Day.

Shares declined by 1.2% over eight days for a -56% annual rate. The options position produced a 17.3% return for a +790% annual rate.

I have entered a short iron condor on SPY, using options that trade for the last time 29 days hence, on October 16. The premium is a $1.49 credit per contract share and the stock at the time of entry was priced at $337.56.

The implied volatility rank (IVR) stands at 19.9.

Premium: $1.49 Expire OTM
SPY-iron condor Strike Odds Delta
Long 356.00 87.0% 14
Break-even 352.49 83.5% 17
Short 351.00 80.0% 20
Short 314.00 80.0% 19
Break-even 310.49 82.0% 17
Long 309.00 84.0% 15

The premium is 29.8% of the width of the position’s wings.
The profit zone covers a 4.6% move to the upside and an 8.5% move to the downside, for a range of 13.1%.

The risk/reward ratio is 2.4:1, with maximum risk of $351 and maximum reward of $149 per contract.

Elliott Wave Analysis. I entered the 2nd wave of Subminuette degree within the 3rd wave of Minuette degree, which began September 16. This gives me the opportunity to capture the 3rd wave of a 3rd wave decline. I’ll exit either 21 days before expiration if profitable, on September 25, or at the completion of Minuette wave 3, whichever comes first.

By Tim Bovee, Portland, Oregon, September 17, 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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