- The top line is well defined. It is unlikely SPX will go hug it many times more.
- The classic reaction of buying around the 21w or after became very widely observed. These dynamics are unlikely to be extrapolated infinitely.
- The market is unlocked.
- The street is willing to buy for the Santa Claus rally.
the scenario i am speaking about is the outlier. One to be played with cheap options (they are not cheap right for the matter and that may be for very good reasons).
2110 call value : 3
1900 put value : 20
1700 put value: 5
Even at these extreme pricing, i think the put may be the right play.
Strategy on expiry 16th of Jan15
sell Call 2110 (being exercised there is good)
buy put 1900
sell put 1700