SPY - Trading the Weeklies and the Vols

Discussion in 'Options' started by livevol_ophir, Jul 30, 2010.

  1. livevol_ophir

    livevol_ophir ET Sponsor

    SPY is trading $109.95, with IV30&#8482 up 4.9%.

    <img src="http://1.bp.blogspot.com/_hMry1m7UF10/TFLhUP-U-hI/AAAAAAAAD1w/zuykIRrnJao/s1600/spy_summary.gif">

    I want to try a weekly to weekly spread here and sell the elevated one day vol. The Options Tab (<a href="http://livevol.blogspot.com/2010/07/spy.html">click to enlarge</a>) is included.

    I want to see how an Aug 6 weekly 110 straddle purchase for $1.42 + $1.46 = $2.88 does while selling the Jul 30 weekly 109/11 strangle @ $0.20 + $0.12 = $0.32. This gives a total debit of $2.88 - $0.32 = $2.56.

    If the strangle expires worthless, on Monday I would sell the straddle or at the very least the strangle. I'm essentially looking for a quick turn on this trade and if I have to hold it, to sell multiple options per each long option.

    I did something similar last week on my posts at thestreet.com and it worked out nicely. Let's see if this type of trade works again this week.

    This is trade analysis, not a recommendation.

    Details, trades, prices, vols, skews, charts:
    http://livevol.blogspot.com/2010/07/spy.html
     
    #1     Jul 30, 2010
    Share
  2. noob_trad3r

    noob_trad3r

    IV seems kind of low?
     
    #2     Jul 30, 2010
    Share
  3. livevol_ophir

    livevol_ophir ET Sponsor

    which week?.. or both? Ithink the back is cheap and the front is high, so i bot/sld.
     
    #3     Jul 30, 2010
    Share
  4. livevol_ophir

    livevol_ophir ET Sponsor

    ** UPDATE

    Earlier this morning we looked at this trade:
    <b>Opening Trade</b>
    Buy SPY Aug 6 Weekly 110 straddle for $2.88
    Sell SPY Jul 30 Weekly 109/111 strangle @$0.32
    Total Debit: $2.56

    The blog is available <a href="http://livevol.blogspot.com/2010/07/spy.html"><b>Here</b></a>.

    The updated Options Tab is included.

    <img src="http://1.bp.blogspot.com/_hMry1m7UF10/TFMpYsp1DiI/AAAAAAAAD2I/JfspKCUlCUo/s1600/spy_options_update.gif">

    The strangle is going to expire worthless and now we can just sell the straddle back out.

    <b>Closing Trade</b>
    Not as good as I had hoped as vol fell off a table in the last hour (boo!).
    Sell SPY Aug 6 110 straddle @$2.63. Let the strangle expire worthless (I hope). On a $2.56 cost basis, that's $0.07 profit in one day, or 2.7% (boo!).

    I'll look to do more weekly expiration trade analysis next week as well. This is trade analysis, not a recommendation.

    Details, trades, prices, here:
    http://livevol.blogspot.com/2010/07/update-spy-close-trade.html
     
    #4     Jul 30, 2010
    Share