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
Calls
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

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SPY Analysis (lot 10)

SPDR S&P 500 ETF Trust (SPY)

Update 3/20/2020One day after I entered the SPY, lot 10, short bear call spread, I exited the position. The debit at exit was $0.42 per contract share, a $0.76 profit that is 64.4% of maximum potential profit, as shares traded for $235.11 per share, up 90 cents 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 24.0% 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 rose by 0.4% over one day, or a +0.2% annual rate. The options position produced a 178.63% return for a +66,048% annual rate.


I have entered a short bear call spread on SPY, lot 10, using options that trade for the last time 57 days hence, on May 15. The premium is a $1.18 credit per contract share and the stock at the time of entry was priced at $234.26.

The implied volatility rank (IVR) stands at 89.8%.

Premium: $1.18 Expire OTM
SPY-bear call spread Strike Odds Delta
Calls
Long 294.00 91.0% 16
Break-even 286.82 83.5% 18
Short 288.00 76.0% 20

The premium is 39.3% of the width of the position’s wing.

The profit zone covers a 22.4% move to the upside.

The risk/reward ratio is 4.1:1, with maximum risk of $482 and maximum reward of $118 per contract.

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

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Live: Thursday, March 19, 2020

11 a.m. New York time

SPY (lot 11) analysis posted.

10:45 a.m. New York time

SPY (lot 10) analysis posted.

10:05 a.m. New York time

Elliott wave analysis: The S&P 500 continues its downward course in the 3rd wave of the decline that began March 3, within a larger scale 3rd wave of the decline that kicked off the crash on February 19. So far the entire movement from February has carried the S&P 500 down 32.8%

I entered two short bear call options positions on SPY, the first in the series expiring May 15. Analyses to come shortly.

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

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Live: Wednesday, March 18, 2020

11:45 a.m. New York time

I’ve posted results for SPY (lot 7).

11:05 a.m. New York time

SPY (lot 7) has hit half of the position’s maximum potential profit, triggering an exit. I shall update the entry analysis with results shortly.

10:55 a.m. New York time

I’ve updated SPY (lot 6) Analysis with results.

10:20 a.m. New York time

I’ve exited one of my short bear call spread options positions on SPY, lot 6, after it exceeded 50% of maximum potential profit. I shall update the entry analysis shortly with results.

My Elliott wave analysis of the chart shows the S&P 500 in the 3rd wave of the downward movement that began March 3.

By Tim Bovee, Portland, Oregon, March 18, 2020

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Live: Tuesday, March 17, 2020

11:20 a.m. New York time

In the Elliott wave model of the chart, the 3rd wave of the decline that began February 19 — the Intermediate level — and the 3rd wave of a lower degree within that decline — the Minor level — are still underway. The S&P 500 after a bit of hesitation in the early trading punched down to a new low in this decline.

The Elliott wave rules of analysis require that the 3rd wave not be the shortest of the waves moving in the direction of the trend, which is down. Either the 1st wave or the 5th wave must be shorter. The larger Intermediate level has met that requirement. The smaller Minor level 3rd wave has 7% plus change further down to go.

There are two possibilities for the remainder of the Minor 3rd wave:

  1. At a minimum, to satisfy the not-the-shortest rule, the S&P 500’s decline from March 3 would have to continue down to at least 2079.21, and there’s no rule that prohibits it from dropping further.
  2. Or, the Minor 5th wave, which is to come, would have to be shorter than the 1st wave, during which the index fell by 631.67, with no rule that says how much shorter it must be.

So, I’m fully invested for a decline, and none of my options positions has yet to reach the mandatory management point of 50% of maximum potential profit. I have no trades in sight. This will be a day of study and quiet reflection with a pot of green tea steaming by my side.

By Tim Bovee, Portland, Oregon, March 17, 2020

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SPY Analysis (lot 9)

SPDR S&P 500 ETF Trust (SPY)

Update 3/20/2020Three days after I entered the SPY, lot 9, short bear call spread, the S&P 500 bumped down, and I exited the position. The debit at exit was $0.48 per contract share, a $1.28 profit that is 72.7% of maximum potential profit, as shares traded for $235.11 per share, down $5.80 from the entry price.

SPY traded in a sideways trend during the position’s brief lifespan. As luck would have it, I entered high in the range and profited from fall to low in the range. At exit the implied volatility rate was 65.8%, down 12.4 percentage points from the entrance level.

Shares declined by 2.4% over four days, or a -6.3% annual rate. The options position produced a 266.7% return for a +24,333% annual rate.


I have entered a short bear call spread on SPY, using options that trade for the last time 32 days hence, on April 17. The premium is a $1.76 credit per contract/share and the stock at the time of entry was priced at $242.67.

The implied volatility rank (IVR) stands at 78.2%.

Premium: $1.76 Expire OTM
SPY-bear call spread Strike Odds Delta
Calls
Long 282.00 90.0% 12
Break-even 274.24 87.5% 16
Short 276.00 85.0% 20

The premium is 58.7% of the width of the position’s wing.

The profit zone covers a 13% move to the upside.

The risk/reward ratio is 2.4:1, with maximum risk of $424 and maximum reward of $176 per contract.

By Tim Bovee, Portland, Oregon, March 16, 2020

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Live: Monday, March 16, 2020

11 a.m. New York time

I’ve posted the analysis of my newly entered short bear call spread on SPY.

10:30 a.m. New York time

By my Elliott wave analysis of the chart, the S&P 500 has begun its 3rd wave of a downtrend that began March 3. The corrective 2nd wave that ended today ended near a Fibonacci level of 38%. (See the Private Trader Live post of Saturday.) Under this scenario, the 3rd wave is likely to be longer than the 1st wave, which ended Friday, because the 3rd wave is never shorter than both the 1st and the 5th. Generally, the 3rd is the longest.

The 1st wave was 631.27 on the S&P 500, so the 3rd wave under the Elliott wave rules will have a minimum downside target of 1769.90 on the S&P 500, and most like significantly lower than that. If the index fails to hit that target, then the 5th wave must be long more than 631.27 long.

(See my brief explanation of Elliott wave analysisposted February 29.)

I have entered a new short bear call spread position on SPY, the exchange-traded fund that tracks the S&P 500. I shall post the analysis shortly.

I also bought more shares of SDS, the inverse and double exchange-traded fund that moves the opposite of SPY, and at double the distance. The entry debit was $37.72 per share.

By Tim Bovee, Portland, Oregon, March 16, 2020

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Live: Saturday, March 14, 2020

5:20 p.m. New York time

As I read the chart we are now in an upward movement that corrects a portion of the decline from March 3. Some likely end points of the correction on the SPY chart, using Fibonacci numbers, are $288 (62% retracement), $280 (50%), and $273 (38%).

In Elliott wave terminology the correction would most likely take the form of a zig-zag: up-down-up more.

My bear holdings all expire April 17, so based on the chart analysis, I shall hold what I have and wait a bit before entering new positions.

I have finished updating the analyses for short iron condor options spreads with results. They all expire next Friday. The symbols, with links, are XLB, XLE, XLI, XLP and XLV.

By Tim Bovee, Portland, Oregon, March 14, 2020

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Live: Friday, March 13, 2020

3:20 p.m. New York time

Not that I’m superstitious, but Friday the 13th does seem like the perfect day to clean out losing trades, entered before the crash, that expire next week. So appropriate for a day dedicated to the revelries of vampires and werewolves and things that go bump in the night.

I exited five short iron condor positions expiring after the closing bell on March 20 — next Friday. They are XLB, XLE, XLI, XLP and XLV. I shall update with results — all losses — over the weekend.

Two positions, my short iron condors on SMH and XLK, had short in-the-money puts exercised, and I ended up with shares in my account, which I sold, doing partial exits on those two symbols. I’ll total up the damage after the positions expire entirely.

I also rid myself of put wing of my short iron condor position on QQQ, leaving a nearly valueless bear call spread. I’ll leave the results calculation on this as well until expiration.

By Tim Bovee, Portland, Oregon, March 13, 2020

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SPY (lot 7)

SPDR S&P 500 ETF Trust (SPY)

Update 3/18/2020: I’ve exited my short bear call spread options position, lot 7, on SPY for a $0.71 debit per contract/share, a profit of $0.71, with shares trading at $240.35, down $11.30 from their entry level. The position earned 50% of maximum potential profit.

The day after I entered the position, SPY peaked, and then began a rapid decline. The implied volatility rank was 83.6% at exit, down 26.5 percentage points.

Shares fell by 4.5% over six days, or a -19% annual rate. The options position produced a 100% return for a +6,083% annual rate.


I have entered a short bear call spread on SPY, using options that trade for the last time 36 days hence, on April 17. The premium is a $1.42 credit and the stock at the time of entry was priced at $251.69.

The position is profitable below $285.58.

The implied volatility rank (IVR) stands at 110.1%.

In terms of Elliott wave analysis, the position was opened during Minor wave 3 to the downside.

Premium: $1.42 Expire OTM
SPY-bear call spread Strike Odds Delta
Calls
Long 293.00 90.0% 12
Break-even 285.58 87.5% 16
Short 287.00 85.0% 20

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

The profit zone covers a 13.5% move to the upside and an unlimited move to the downside of the entry price.

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 12, 2020

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