RVPCS – 10.16.2015
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:
*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.
5. News: Housing Starts, Jobless Claims, Existing Home Sales, PMI
*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.
About The Author
Farmer Dawkins
When not caring for pets, children, the better half, or the needs of a demanding day job; Alan enjoys studying the art of gardening, stock/option/futures trading, and bike racing.