RVPCS – 06.19.2015

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Russell 2000 – Vertical Put Credit Spread


When price was taken at 1286.3 and IV of 15.46%, two deviations gives a max strike of 1235. The historical movement (-5.7% weekly drop) gives us a number of 1213. The MACD and RSI have both risen over the week. The Donchian channel has shifted upwards to approximately 1234 (got to love that number) lower and 1287 upper bounds. The 23% Fibonacci would have to be retested for prices to fall below 1222. There is a lot of news for the coming week. However, news from GREXIT will most likely dominate the scene. Stocks have climbed to near all-time highs after the FED’s announcement of interest rates rising in the future. We are not sure how much of a pullback stocks could experience IF things thoroughly go awry in Greece.

We are targeting strikes between 1210 and 1230 with the statistical, technical, historical, news, and open interest metrics providing assurance of a RUT price at or above this range between now and expiration morning on June 26th (JUN4) of next week.


1. Standard Deviation (6 days to expiration):

Price 1286.3
Implied Volatility 15.46%
1 σ 1261
2 σ 1235  (always chosen for RVPCS)

2. Technicals:

Donchian 1234 lower and 1287 upper channel
RSI 65
MACD above signal line and above zero with the signal line above zero
Fibonacci Retracements Retracement 23% at 1222 (retesting required) and 38.2% at 1187.5

123

*Charts from ThinkorSwim™


3. Historical Price Compare:

Time Frame:
For the past 1.5 years

-5.7%

1213


4. Open Interest:

Price at 1286, PUT OI peaks at 1280, 1230, and 1210 as seen below.  Note that the orange highlight is reflecting the price fluctuation as calculations were being performed.


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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