More SPY Bear Calls on selling +1 sig test right at the Close

2023年11月11日

Symbol SPY
Open Date 11/10/2023
Put or Call Call
Expiry Date 12/29/2023
Short Strike 460
Long Strike 462
Price to Open 0.28
Min Width Multiple 2
Risk Ratio 6.14
Return on Risk 16.3%
Opening DTE 49
1 Day ROI% 0.33%
Max Annual ROI % 121.3%

SPY Bear call spread up at +2 sig on the daily buying range still in play.
This one expires right up on Xmas break 12/22
It filled 16:00:17 EST at the high of the day both in underlying price AND spread.
All this 17 secs AFTER the close on a FRIDAY!!!

The bet is that the +1 sig still inside the 2nd order selling range plays some defense at the Blue highlighter.
The speed and distance of this Nov rally is super powerful and the algo is just machine gun buying like Mad.
It's left behind real gaps, and Buying imbalances all the way down to 420.

If price advertises 444.50 I'll look to sell probably 464 or 465.

The older SPY spread I opened up the previous week for the Dec 15 exp can be seen in Red highlighter.
It was a thought that the +1 sig seller previously proven, would return. They did with some order flow, but got overwhelmed by the words of J.Powell this Thurs.

I actually don't think that this is a high tick in SPY because QQQ and SOXL still have room to run on their selling algo deviations.
But I am being consistent in my approach to the credit side and playing the probabilities market by market.

2023年12月1日

注释

The Rally continues. Damn this is a crazy Santa rally. Like pure FOMO of every fund manager that wants to say they owned the S&P in 2023 just to make it look good for their prospectus.
With 12 DTE left today I was hoping we get some decline, but nope I had to roll the aggregate of these 460's up and out.
So this position is an aggregate of the 452's that I already rolled up for a credit on 11/15/2023. Basically a double Call position on these now.

Rolled them up to 467/469 for a net credit out to Jan 19, 2024
Took in another 10% on risk for 30 more days.
Not great, but I'm over a barrel.

The rally can't go forever... or can it.

### Buy to close
Symbol SPY
Open Date 11/10/2023
Put or Call Call
Expiry Date 12/29/2023
Short Strike 460
Long Strike 462
Price to Open 0.28
Min Width Multiple 2
Risk Ratio 6.14
Return on Risk 16.3%
Opening DTE 49
1 Day ROI% 0.33%
Max Annual ROI % 121.3%
Buyback to Close 0.99
Open to Roll 0.74
Closing % Cost on Opening Credit 71.72%
Net Roll % on Opening Credit 10.71%
Closing Date 12/1/2023
Closing Price 0.99
Closed P&L -213
Closed Margin ROI % -41.28%
Closed Annual ROI % -307.49%

## Sell to Roll/Open
Symbol SPY
Open Date 12/1/2023
Put or Call Call
Expiry Date 1/19/2024
Short Strike 467
Long Strike 469
Price to Open 0.74
Min Width Multiple 2
Risk Ratio 1.70
Return on Risk 58.7%
Opening DTE 49
1 Day ROI% 1.20%
Max Annual ROI % 437.5%

1月3日

注释

This inverted to max loss on first rollout.
Actually including the 452 spread that I combined with it, it's inverted 2x.
So I think the algos can't keep advertising higher indefinetely.
So I rolled out yesterday Inverted for another credit expiring Feb 16.
I rolled this out with no time delay.
Market was consolidating in the late morning and I thought it could break either way.
It ended up consolidating, rallying, and then dropping to a lower low on the day.
And is even lower today.

####### Buy to close ######
Symbol SPY
Open Date 12/1/2023
Put or Call Call
Expiry Date 1/19/2024
Short Strike 467
Long Strike 469
Price to Open 0.35
Min Width Multiple 2
Risk Ratio 4.71
Return on Risk 21.2%
Opening DTE 49
1 Day ROI% 0.43%
Max Annual ROI % 158.0%
Buyback to Close 1.47
Open to Roll 2.11
Closing % Cost on Opening Credit -76.19%
Net Roll % on Opening Credit 282.86%
Closing Date 1/2/2024
Closing Price 1.47
Closed Margin ROI % -67.88%
Closed Annual ROI % -505.63%

### Sell to Roll, which is the Net credit price##
### Actual sell price was 2.11 seen in the Buy to close order ####
Symbol SPY
Open Date 1/2/2024
Put or Call Call
Expiry Date 2/16/2024
Short Strike 467
Long Strike 470
Price to Open 0.99
Min Width Multiple 4
Risk Ratio 2.03
Return on Risk 49.3%
Opening DTE 45
1 Day ROI% 1.09%
Max Annual ROI % 399.5%
Buyback to Close
Open to Roll
Closing % Cost on Opening Credit
Net Roll % on Opening Credit
Closing Date
Closing Price
Closed Margin ROI %
Closed Annual ROI % 0.00%