Lot 2023-7
Update 10/19/2023: I exited my short bear call vertical spread on October, 7 days before expiration, for a $0.63 debit per contract/share, a profit before fees of $70 per contract. Shares were trading at $429.48, down $3.60 from the entry level.
The Implied Volatility Rank at exit was 40.3%, up 8.3 points from the entry level.
I exited two days after entry because the position exceeded 50% of maximum potential profit, my normal exit point for optons positions.
Shares fell by 0.8% over two days for a -152% annual rate. The options position produced a 111.1% return for a +20,278% annual rate.
I have entered a bear call vertical spread on SPY, using options that trade for the last time nine days hence, on October 26. The premium is a $1.33 credit per contract share and the stock at the time of entry was priced at $433.39.
The Implied Volatility Ratio stood at 32.0%.
| Premium: | $1.33 | Expire OTM | |
| SPY-bear call spread | Strike | Odds | Delta |
| Puts | |||
| Long | 444.00 | 86.0% | 14 |
| Break-even | 440.26 | 78.0% | 21.5 |
| Short | 439.00 | 70.0% | 29 |
The premium is 53.2% of the width of the short/long spread. The profit zone covers a 1.6% move to the upside with no limit on the downside.
The risk/reward ratio is 2.8 :1, with maximum risk of $367 and maximum reward of $133 per contract.
How I chose the trade. I entered the position based on Elliott wave analysis with the host of profitng from a low-degree declining wave 3{-9} of the S&P 500 futures, based on an analysis conducted on October 17, 2023.
By Tim Bovee, Portland, Oregon, October 17, 2023
Disclaimer
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.
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.
Tim Bovee, Private Trader 
[…] October 18: I’ve posted the trade analyses. After placing the first trade, I decided to double down and placed a second trade, so there are two analyses with different premiums: The first position and the second position. […]
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[…] SPY options entry. I’ve posted the trade analyses of two bear call options spreads on SPY, entered October 17 with nine days remaining before expiration. Publication of the analyses was delayed by circumstances. After placing the first trade, I decided to double down and placed a second identical trade, so there are two analyses with different premiums: The first position and the second position. […]
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