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):
||1074 (always chosen for RVPCS)
||1070 lower and 1243 upper channel
||39.5 (1 year low = 21.6)
||-26, below signal line and below zero with the signal line below zero
*Charts from Trade Architect™
3. Historical Price Compare:
|For the past 1.5 years
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.
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