RVPCS – 05.15.2015

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Russell 2000 – Vertical Put Credit Spread


The following parameters were utilized to pick the strikes for this weeks vertical put credit spread.

FOMC minutes are probably the most important news for the coming week.  News has been poor this week with Industrial Production, Jobless Claims, PPI-FD (Producer Price Index – Final Demand), and Retail Sales all coming in as a miss on consensus.  The S&P 500 continues its rally with new highs; however the mid to small caps are not experiencing the same rise.  There are many technical tests for the price to reach the 2 sigma strike of 1192, and even more so for the profitable strike of 1185.


1. Standard Deviation:

Price 1243
Implied Volatility 15.83%
1 σ 1218
2 σ 1192 (always chosen for RVPCS)

2. Technicals:

Donchian Middle of upper (~1275) and lower (~1211)
RSI 51.6
MACD Below signal and zero line
Fibonacci Retracements Has tested and bounced off of the 23.6%. Would have to retest and test lower 38.2% line.

wpid-wp-1431708840855.jpeg

*Charts from ThinkorSwim™


3. Historical Price Compare:

Time Frame:
For the past 1.5 years

-5.7%

1174


4. Open Interest:

Price at 1243, peaks at 1200, 1190, and 1170 as seen below.

wpid-wp-1431714270661.png


5. News:

wpid-wp-1431716261919.png

*From Econoday.com

 

Disclaimer: The information presented does not consider your personal investment objectives and should not be taken as a recommendation. Further, it shall not be construed as an offer to sell or a solicitation to buy any security mentioned. The risk of loss in any stock, option, or futures trade can be substantial. Consider all relevant risk factors before trading.

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