June SPY Bear Call Spread

Demo-trading:
SELL 14 SPY June 137 Call (@0.50)
BUY 14 SPY June 139 Call (@0.20)

Credit: $0.30 (0.30 * 100 * 14 = $420)
Margin: $1.70 (1.70 * 100 * 14 = $2380)

Break-even point(s): 137.30 (Currently at 132.30, SPX index would need to go up around 50 points in the next 23 days to cause a loss)
Probability of success: 75.22%
Days to expiration: 23
Max return on margin: 17.65%
Commissions: $42.00 (Assuming Interactive Brokers' schema for Canadians)

Order execution:
(Click on image to enlarge)

Profit picture:
(Click on Image to enlarge)

This trade sort of goes against my rules of only selling Calls when the markets are overbought. Clearly the markets are not overbought. But I'm simply taking advantage of the high VIX, which increases options values and I'm trying to hedge some of the downside exposure. The portfolio had no bearish positions this month and two bullish ones: SPY 125/127 Bull Call Spread and IWM 70/72 Bull Call Spread.

Check out demo-record

Related Articles:
Weekend Portfolio Analysis (05-27-2012)
Weekend Portfolio Analysis (06-03-2012)
Weekend Portfolio Analysis (06-10-2012) 
Weekend Portfolio Analysis (06-17-2012)

 
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