The reason it caught my attention is that only night before I came across an article very similar - in this case it was not in relation to Friday expiration, but market bias using OI data. Again, the atm strike was used, going 1 month out to see the difference in put/call OI values. What is your take on this OG? J_S
Wait, so am I getting a bet or not? We can restrike here, of course as long as the two ranges are 20 cent wide
As per OG - correct me if I am wrong? Spy @ close 209.53 Strike = 209.50 Call = (B)0.77 x (A)0.78 Put = (B)0.61 x (A)0.64 Strangle Buy = 0.78+0.64 = 1.42 Strangle Sell = 0.77+0.61 = 1.38 Target High = 209.53 + 1.42 = 210.95 Target Low = 209.53 - 1.38 = 208.15 Mid = 209.55 Range = 2.80 Today's Range = 2.02 J_S
There is no way we are finishing at the target high as of now! SPY will finish tomorrow at or very close to 208.50 - but could change tomorrow if there is heavy option trading (reduction in OI) on the 209 & 210 calls! It will be interesting to see what actually transpires! J_S
The SPX could finish at 2095 - I prefer to watch the SPX as opposed to SPY, but it depends on size of OI on both. This could mean 209.50 on SPY? Time will tell - maybe both of us will be wrong J_S
SPX @ close = 2097.69 2095 Call = 9.10 x 9.50 Put = 4.90 x 5.50 Straddle Buy = 15.00 Straddle Sell = 14.00 T.High = 2112.69 T.Low = 2083.69 2100 Call = 6.10 x 6.60 Put = 6.70 x 7.30 Straddle Buy = 13.90 Straddle Sell = 12.80 T.High = 2111.59 T.Low = 2084.89 Which strike do you use for SPX? These are very close to OG's first post about SPY, if we divide by 10 and give or take a dime (10 cent)! As per OG. "Long story short - This Friday the SPY will close at $211.61 OR $208.39, give or take a dime" J_S
UPDATE BEFORE EXPIRY SPY at $209.53 Friday's (July 8, 2016) close $211.61 OR $208.39, give or take a dime.
What about my details for SPY above at today's close - why do you not change the targets as per my figures? J_S