I track the news as if its outcome may sway the markets. Alas, it seems to not matter. With that said, there is a speech coming from Yellen on Wednesday. We can only hope for it to be as entertaining as the one below. Is she ill? Is she high? Is she fit to making decisions that drive market and economic directions!? Maybe she’s just dehydrated.
From Bloomberg: While “there wasn’t anything significant enough that changed in one week for her to give us a different take,” said Tom Porcelli, chief U.S. economist at RBC Capital Markets LLC in New York, Yellen “finally acknowledges that she, specifically, does believe that a rate hike is appropriate this year.”
The thing that crossed my mind is how much have the markets priced this fact in? Would it not make sense that everyone knows what everyone knows? Probably not. There will most likely still be a certain amount of panic selling after a rate hike announcement. It would be a tough week to defend vertical put positions based on the broad market! We will see, and as for now this week is shaping up nicely.
I am targeting strikes between 1060 and 1040 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 October 2 (OCT1) of this coming week.
1. Standard Deviation (6 days to expiration):
1072 (always chosen for RVPCS)
1130 lower and 1190 upper channel
41.4 (1 year low = 21.6)
-10.861, above 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 1140, PUT OI peaks at 1085, 1070, and 1060 as seen below. Note that the orange highlight is reflecting the price fluctuation as calculations were being performed.
5. News: Personal Income & Outlays, Janet Yellen Speaks, Jobless Claims, Employment Situation
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