Notes: Opening a spread in the December monthly that pays 10% of its width. Will look to manage at 50% max; 2 x credit received. The correspondent trade in SPY would be the December 18th 289/294, paying .51 as of the writing of this post.
评论
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And ... just like that. Nearly at 2 x credit received. Will watch it like a hawk, but also have SPY short call diagonals on as portfolio-wide short delta.
交易结束：到达目标
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Out today at 50% max; 2.60 ($260) profit. 5% ROC for 18 days' work; 101.4% annualized.
10% credit on a 60-day spread is just not enough, a waterfall cascade can gap down and leave you in red for ten times the measley credit. R/R is poor, the way things been going it could happen overnight and crush this position. NB: This is a bull put spread and we may be entering a secular bear market...! GL, honestly hope you get to keep the credit!
NaughtyPines
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@DaddySawbucks, Thanks for the input, but practically speaking, the scenario you describe relative to this setup is unlikely (an overnight drop of >14% which is where the short option leg is relative to current price). The /ES overnight limit down is 7%. Even assuming an overnight max limit down, the setup has a take loss metric of 2 x credit received ("Will look to manage at 50% max; 2 x credit received). I'm also looking at the position relative to the ROC %-age of a SPY short put in a cash secured environment (which is really quite inefficient). From that perspective, the given ROC %-age (10%) is a far more efficient use of buying power than going naked short put. That being said, you are somewhat right about the "smallness" of the credit. The trade-off there is naturally that to get more credit, you have to bring the spread in closer to current price, thus decreasing the probability of profit. Most like to set up their tents between the expected move and 2 times the expected move, and this is outside that.
JM
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nice
NaughtyPines
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@bb_jm, I wanted to take advantage of some of the higher volatility here (30.3% in the December expiry) in SPX/SPY without going short put in SPY, which is a BP hog in the IRA. I probably shouldn't have running into the elections, but we'll see ... .