RVPCS – 10.16.2015

MBT Banner

Russell 2000 – Vertical Put Credit Spread


I am targeting strikes between 1080 and 1070 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 23 (OCT4) of this coming week.


1. Standard Deviation (6 days to expiration):

Price 1160
Implied Volatility 18.26%
1 σ 1133
2 σ 1106 (always chosen for RVPCS)

2. Technicals:

Donchian 1074 lower and 1172 upper channel
RSI 54.67 (1 year low = 21.6)
MACD 0.87, above signal line and above zero with the signal line below zero
Fibonacci Retracements Not Available

Please note the chart below was taken for the futures (/TF) price before opening bell:

RUT _ 2015.10.16

*Charts from Trade Architect™


3. Historical Price Compare:

Time Frame:
For the past 1.5 years

-5.7%

1094


4. Open Interest:

Price at 1160, PUT OI peaks at 1155, 1150-1130, 1100, and 1080 as seen below. Note that the orange highlight is reflecting the price fluctuation as calculations were being performed.

OI _ RUT 10.16.2015


5. News:  Housing Starts, Jobless Claims, Existing Home Sales, PMI

economic calendar _ for week 10.05.2015

*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.

Add a Comment

Your email address will not be published. Required fields are marked *