RVPCS – 08.28.2015

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Russell 2000 – Vertical Put Credit Spread


There is not much to speak of for the coming week in terms of market moving news.  With the volatility over the past week, there’s not a whole lot that we can predict to move the market per news.  We’d almost expect that the FED may leak more info in regards to an interest rate increase.

Charts are oversold of course.  However, much less oversold compared to Mondays value.  Today’s open and range of values has been flat line.  We are now seeing price action in the middle of the 1243 to 1070 price channel.  RSI is up to 39.5 and MACD is flat with a value of -26.

Open Interest (OI) is low volume as usual for a non-monthly expiration.  The 1070 strike has the most concentration.  We project to be below this value.

The volatility is so high that the two standard deviation value of 1074 is far below the historical drop value of 1088!  We are able to take on trades with strikes as much as 100+ points away.

We are targeting strikes between 1060 and 1020 with the statistical, technical, historical, news, and open interest metrics providing relative assurance of a RUT price at or above this range between now and expiration morning on September 4th (SEP1) of this coming week.


1. Standard Deviation (6 days to expiration):

Price 1154
Implied Volatility 27.10%
1 σ 1114
2 σ 1074 (always chosen for RVPCS)

2. Technicals:

Donchian 1070 lower and 1243 upper channel
RSI 39.5 (1 year low = 21.6)
MACD -26, below signal line and below zero with the signal line below zero
Fibonacci Retracements Not Available

RUT _ 8.28.2015

*Charts from Trade Architect™


3. Historical Price Compare:

Time Frame:
For the past 1.5 years

-5.7%

1088


4. Open Interest:

Price at 1154, PUT OI peaks at 1100 and 1070 as seen below. Note that the orange highlight is reflecting the price fluctuation as calculations were being performed.

Capture


5. News:

Capture

*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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