Spot ref: 2070 (tomorrow/Monday)
Time horizon: 20 March 2015:
- SP500 can’t go higher than 2140
- 2080 is likely to retain.
- SP500 could break decisively below 1980
Great option strategy that fits the market set up:
Expiry 20Mar15
Buy Put 2000 Premium 23
Sell Put 1930 Premium 13
Sell Call 2140 Premium 6
Net premium 4
Best case: Maximum gain 70, could multiply premium by 12.
Worst case: Spot dies on liability strike, I d love to short 100% 2140 which would be the case here if exercised.
Premium invested 25bp.
Time horizon: 20 March 2015:
- SP500 can’t go higher than 2140
- 2080 is likely to retain.
- SP500 could break decisively below 1980
Great option strategy that fits the market set up:
Expiry 20Mar15
Buy Put 2000 Premium 23
Sell Put 1930 Premium 13
Sell Call 2140 Premium 6
Net premium 4
Best case: Maximum gain 70, could multiply premium by 12.
Worst case: Spot dies on liability strike, I d love to short 100% 2140 which would be the case here if exercised.
Premium invested 25bp.
