Stock / Symbol: SPDR S&P500 ETF / SPY
Option Strategy: [private_monthly]put calendar spread[/private_monthly]
Trade entry date / price at trade post: Apr 18 / $154.50
Price at this adjustment: $157.60
Reasoning: Adding a call calendar to smooth out the greeks. Current greeks are: -43.67 delta, -3.3 theta, and 37.3 vega. With the addition of the call calendar, our greeks will look like: 6.5 delta, 3.8 theta, and 79 vega. If not stopped out by Friday, will look to sell next week's expiring calls and puts against the position. With this adjustment, I'm moving the upside stop to [private_monthly]159.50 and keeping the downside stop at 150. [/private_monthly]
Trade Adjustment Details:
[private_monthly]
BTO 2 SPY Jun13 159 calls
STO -2 SPY AprWk4 159 calls
for a max net debit of $2.20 per contract. The mid is currently at $2.10 (day order, limit order). Try for the mid plus 0.01. Note: if you're not filled today, it's ok to retry tomorrow..
Requirements:
Cost/Proceeds $440
Option Requirement $0
Total Requirements $440
Estimated Commission $6
Max Risk: $885
Max Reward: ($50) or -6% @ 150 (at current volatility level) by Apr 26
Profit Range: NA at current volatility
Suggested Downside Stop @ 150
Suggested Upside Stop @ $156.60
[/private_monthly]
