SPY-VPCS _ 05.29.2015

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SPY – Vertical Put Credit Spread

GDP showed a retraction in the economy this morning with a -0.7% Q/Q change. Expectations were between -1.0% and -0.2%. In this world of central bank liquidity good economic news is good for the markets, and bad economic news is good for the markets.

We are targeting strikes between 204 and 202 with the statistical, technical, historical, news, and open interest metrics providing assurance of a SPY price at or above this range between now and expiration morning on June 5th (JUN1) of next week.


1. Standard Deviation (6 days to expiration):

Price 211.5
Implied Volatility 13.95%
1 σ 207.4
2 σ 203.3 

2. Technicals:

Donchian 206.93 lower and 213.73 upper channel
RSI 48.92
MACD below signal line and above zero with the signal line above zero
Fibonacci Retracements

SPY - 05.29.2015

*Charts from Trade Architect™


3. Historical Price Compare:

Time Frame:
For the past 1.5 years

-5.7%

199


4. Open Interest:

Price at 211.5, PUT OI peaks at 209, 206, and 205 as seen below.


5. News:

wpid-wp-1431716261919.png

*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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