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:
||1192 (always chosen for RVPCS)
||Middle of upper (~1275) and lower (~1211)
||Below signal and zero line
||Has tested and bounced off of the 23.6%. Would have to retest and test lower 38.2% line.
*Charts from ThinkorSwim™
3. Historical Price Compare:
|For the past 1.5 years
4. Open Interest:
Price at 1243, peaks at 1200, 1190, and 1170 as seen below.
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