RVPCS – 09.18.2015

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Russell 2000 – Vertical Put Credit Spread


The markets are sold off this morning due to yesterday’s FOMC message in regards to its ZIRP policies.  No rate hike now, but to be expecting a rate hike that will begin in December.

Typical economic news will not drive the market pricing within a weekly time frame like FOMC messages.  GDP and Jobless claims may be the heaviest hitters for next week.  The releases will most likely not be a concern.

The price channel gives support at 1070, which was the lowest drop during the market pull back of the last two weeks.  Along with the MACD and RSI, the technicals are giving a price in the upper area of the current trading range.

We are targeting strikes between 1060 and 1080 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 25th (SEP4) of this coming week.


1. Standard Deviation (6 days to expiration):

Price 1170
Implied Volatility 23.75%
1 σ 1134
2 σ 1099 (always chosen for RVPCS)

2. Technicals:

Donchian 1070 lower and 1190 upper channel
RSI 51 (1 year low = 21.6)
MACD -8.26, above signal line and below zero with the signal line below zero
Fibonacci Retracements Not Available

RUT _ 2015.09.18

*Charts from Trade Architect™


3. Historical Price Compare:

Time Frame:
For the past 1.5 years

-5.7%

1103


4. Open Interest:

Price at 1170, PUT OI peaks at 1080 and 1040 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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