When SPY Sells off 5% in Two Days

cdcaveman ,
good recommendation

I'm going to pull up the recommended Credit spread this weekend and see and do TorS Thinkback and see what the Credit spread would have looked like on Tuesday .... all the way up until the close today ( Friday )

Then again, if someone was in a Bear Call spread, this wouldn't be an issue lol

I'm just wondering what a BullPut spread/scenario at a Spread with a .02 OTM delta would have looked like come the close today.
With almost a 850 point drop in the Dow , surely this would have effected this Far OTM BullPut spreads.... by how much, that's what I'm curious about

Standard Deviation wise ..... does anyone know what " Level " this Hit .... 3SD ... 4 SD ?

 

No...that was last month's OpEx problem.

 

For instance the 1900 strike puts will have a higher IV than the 1950 strike, etc, etc...so with another month till expiration a spread of the 1950/1900 won't expand as much as say an equidistant call spread would (since the further otm calls trade at lower IV to the closer ATM strikes)...that's why I figured even if the spread is ITM, it won't trade at close to the full spread value until next month's expiration week.

 

Exactly. But that was not the further otm strike, it was the closest to the money...

 

I spoke out of turn when i t came to credit spreads.. as i don't trade those... Nor would i think to unless vols were very high, and even then i have other trades i would be more likely to trade...

As far as the calendar i would try to sell sept and buy oct in a small amount.. or i would sell oct and buy nov..I would go horizontal and not diagonal ... a strangle swap or a call spread or put spread would work.. Strike risk can go against you more quickly with the nearer term calender.. You are taking directional risk .. i would probably test it out by doing it in spy to stay small

 

Statistically SPX has < 1% chance of taking 2014 lows in 2015.

Now use those neurons and make money with it.

 

How are you deriving that?

 

You could buy a ratio spread: Sell 1, Buy 2. However, you need to structure it in a way that a bounce in the underlying and a collapse in vol will minimize your loss ( perhaps come out with a small gain).

Note that vol is already extremely high, you may want to model for a larger collapse in IV.

 

A yearly outside bar in SP500 is more rare than Donald Trump offering free unlimited green cards to all residents of Mexico.

 

haha.. good one... just was curious... Do you have levels your watching?