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Tuesday, August 21, 2012

September RUT Bear Call Spread

Demo-trading:
SELL 6 RUT September 860 Call (@2.30)
BUY 6 RUT September 865 Call (@1.65)

Credit: $0.65 (0.65 * 100 * 6 = $390)
Margin: $4.35 (4.35 * 100 * 6 = $2610)

Break-even point(s): 860.65 (Currently at 824.60)
Probability of success: 79.22%
Days to expiration: 30
Max return on margin: 14.94%
Commissions: $18.00 (Assuming a very unfavorable $1.50 per contract)

Order execution:
(Click on image to enlarge)

 Profit picture:
(Click on Image to enlarge)

RUT needs to make a new high for the year in order to affect this position. Markets still up, non stop, but getting overbought here. McClellan oscillator getting overbought. 78% of stocks above their 20 SMA and 73% above their 50 SMA.


(Click on image to enlarge)

Beta weighting the 860 RUT level represents an SPY value of approximately 148.40 at this moment. The SPY 145/147 Bear call spread is still in play. So, there's double upside exposure now. The goal now is to close the SPY Spread before expiration as soon as there is a slight pull back that allows me to reduce the momentary loss there and reduce the upside exposure to only one position.


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Weekend Portfolio Analysis (09-01-2012)

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1 comment:

  1. Today, with RUT at 842.27, if 858 is hit this week, I will adjust this trade. I will close it for a small loss and use October options to play farther out of the money. Probably the 900/905 spread. I want a Credit of at least 0.60, and the farther I can position the spread the better.

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