SPY is trading $108.59, with IV30™ down 2.2%. <img src="http://4.bp.blogspot.com/_hMry1m7UF10/TGWSwuUG8CI/AAAAAAAAEF0/VKdQpsb71-E/s1600/spy_summary_8-132010.gif"> Yesterday we looked at this trade: <b><a href="http://livevol.blogspot.com/2010/08/spy.html">SPY trading weeklies</a></b>. Let's close this down; we got essentially exactly what we wanted; small down and front month goes away worthless. The Options Tab is included below: <img src="http://4.bp.blogspot.com/_hMry1m7UF10/TGWSwpXWmeI/AAAAAAAAEF8/uSQlpqpioCQ/s1600/spy_options_8-13-2010.gif"> <b>Thursday Trade</b> Buy 1 SPY Monthly 110 put for $2.31 Sell 1 SPY Weekly 108 put at $0.47 Sell 1 SPY Weekly 106 put at $0.11 Total debit: $1.73 <b>Close Today</b> Sell 1 SPY Aug (Monthly) 110 put @ $2.17 Let the rest expire worthless or if you have to, go head and pay $0.09 for the Aug 108 weekly. If everything goes as planned and expires worthless, the return is $2.17 - $1.73 = $0.44 or 20% in one day. Buying back the weekly 108 put takes the return to $0.35 or 16% in one day. This is trade analysis, not a recommendation. Details, trades, prices, vols, skews, charts here: http://livevol.blogspot.com/2010/08/spy_13.html