SPY is trading $106.22. The <a href="http://www.livevol.com">LIVEVOL™ Pro Summary</a> is below. <img src ="http://2.bp.blogspot.com/_hMry1m7UF10/THZ095aeepI/AAAAAAAAEXE/00EsPPE_bsw/s1600/spy_summary_8-26-2010.gif"> This is a continuation of the trades using the weekly options. Previous posts an be found here: 8-24-2010: <b><a href="http://livevol.blogspot.com/2010/08/spy_24.html">S&P 500 (SPY) - Scalping Skew in the SPY Weeklies</a></b> 8-12-2010: <a href="http://livevol.blogspot.com/2010/08/spy.html"><b>SPY - Trading the Weeklies</a></b> 8-11-2010: <a href="http://livevol.blogspot.com/2010/08/gs_11.html"><b>Goldman Sachs (GS) - Weekly Trade; Selling Vol Expansion</a></b> As I've stated before: The strategy has worked because we have been able to sell 4 or even 5 options with high vol against one long lower vol option with the first weekly expiration wiping the slate clean for the first two sales. We hunt weekly skew, and then we hunt volatility smile skew. Selling more options than youâre long does pose tail risk. For this reason, I prefer the SPY to any one company. A myriad of tail events which occur in companies, canât occur in an index like bankruptcies, takeovers, lawsuits, frauds, special dividends, etc. Let's look at the SPY skew today (<a href="http://livevol.blogspot.com/2010/08/spy_26.html">in the article</a>): <b>Trade Stats</b> Let's analyze it again. Buy 1 SPY (W) 9-03-2010 106 put for $1.59 Sell 2 SPY (W) 8-27-2010 105s put at $0.31 Net debit is $0.97. The individual leg prices don't really matter; let's see how a $1.00 purchase would have done. For margin requirements and hedging given the wild market of late, purchasing the SPY(W) 8-27-2010 103 puts for $0.08 or the 104 puts for $0.16 could be the wise move. This is trade analysis, not a recommendation. Disclosure: I have this position, net debit $1.00 and will probably purchase the SPY (W) 8-27-2010 104 puts soon. If the market doesn't open gap down tomorrow, I may be quick to sell that protection. Details, trades, prices, vols, skews, charts here: http://livevol.blogspot.com/2010/08/spy_26.html Legal Stuff: <a href="http://www.livevolpro.com/help/disclaimer_legal.html">http://www.livevolpro.com/help/disclaimer_legal.html</a>