- 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 ema or after 50% retracement 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).
Expiry 16jan15:
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