RVPCS – 10.23.2015

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Russell 2000 – Vertical Put Credit Spread


There is a FOMC meeting announcement next week that is the most probably market mover.  Earnings have been mostly positive for the week and the market is up.  The lower volatility has premiums lower.  Therefore, a profitable strike is right at the standard deviation for the price.  I went with a lower position than normal with hopes that a move downward will open up opportunities for better strikes.  If price remains flat or rises, then it’s a good play and cash is always nicer than loses.

I am targeting strikes between 1090 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 October 30 (OCT5) of this coming week.


1. Standard Deviation (6 days to expiration):

Price 1160
Implied Volatility 18.26%
1 σ 1135
2 σ 1107 (always chosen for RVPCS)

2. Technicals:

Donchian 1074 lower and 1170 upper channel
RSI 52.8 (1 year low = 21.6)
MACD 2.44, above signal line and above zero with the signal line below zero
Fibonacci Retracements 61.3% at 1137 and 78.6% at 1094

Please note the chart below was taken for the RUT price after opening bell:

RUT _ 10.23.2015

*Charts from ThinkorSwim™


3. Historical Price Compare:

Time Frame:
For the past 1.5 years

-5.7%

1096


4. Open Interest:

Price at 1160, PUT OI peaks at 1160, 1140-1120, 1100, and 1080 as seen below. Note that the orange highlight is reflecting the price fluctuation as calculations were being performed.

RUT _ OI _ 10.23.2015


5. News:  New Home Sales, Durable Goods, FOMC Meeting Announcement, GDP, Jobless Claims, Personal Income and Outlays

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.

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