RVPCS – 09.01.2015

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Russell 2000 – Vertical Put Credit Spread


As price moves downward this week we are utilizing a little extra cash on hand to trade at higher strikes.  Our typical analysis has strikes at or below 1070 to be reasonably safe places for our credit spread set up.  This is an increase in strike target compared to last Friday, see here.  This could be a concern as strikes and price are moving closer together.  However, with the correction and subsequent flat lining of the market today we feel this is a justified place to increase earnings.

We are targeting strikes between 1070 and 1060 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 1141
Implied Volatility 29.47%
1 σ 1111
2 σ 1083 (always chosen for RVPCS)

2. Technicals:

Donchian 1072 lower and 1242 upper channel
RSI 37.2 (1 year low = 21.6)
MACD -24.3, below signal line and below zero with the signal line below zero
Fibonacci Retracements Not Available

RUT 9.1.2015

*Charts from Trade Architect™


3. Historical Price Compare:

Time Frame:
For the past 1.5 years

-5.7%

1076


4. Open Interest:

Price at 1140, 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.

RUT _ OI _ 9.1.2015

 


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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