Staying with short duration index setups here, so that I can be flexible if any non index premium selling opportunities come along; going with RUT over SPX due to RUT's higher implied volatility ... . (As a smaller, alternative trade, you can look at a similar setup in IWM).
Metrics:
Probability of Profit: 62% P50: 71% Max Profit: 340/contract Max Loss/Buying Power Effect: $660 Delta: -3.51/contract Theta: 12.26/day/contract
Notes: Naturally, I'm looking at pricing in the off hours, so it may be necessary to tweak the setup a bit in terms of strikes and/or fill price on NY open. I'll look to manage this setup aggressively and take it off at 50% max.
Comment
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Actually got this filled for a $345 credit, slightly above the mid, at open.
Trade closed manually
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Closing this out for 288/contract debit in advance of Brexit, yielding a net profit of 57/contract.