RVPCS – 09.11.2015

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Russell 2000 – Vertical Put Credit Spread


Today marks the 14th anniversary of the 9/11 attacks.  It is a solem reminder of what we can do to each other.

We are targeting strikes between 1040 and 1030 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 18th (SEP) of this coming week.


1. Standard Deviation (6 days to expiration):

Price 1145
Implied Volatility 25.99%
1 σ 1107
2 σ 1069 (always chosen for RVPCS)

2. Technicals:

Donchian 1070 lower and 1224 upper channel
RSI 43 (1 year low = 21.6)
MACD -17, above signal line and below zero with the signal line below zero
Fibonacci Retracements Not Available

RUT 9.11.2015

*Charts from Trade Architect™


3. Historical Price Compare:

Time Frame:
For the past 1.5 years

-5.7%

1080


4. Open Interest:

Price at 1145, PUT OI peaks at many strikes as seen below. Note that the orange highlight is reflecting the price fluctuation as calculations were being performed.

RUT _ OI _ 9.11.2015


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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