As my SPX options will expire tomorrow I went ahead and rolled into a new set of spreads for next week. The premium on the downside was really jacked up, so I could sell away pretty far and still collect nice premiums. Since I sold these one day sooner than I did last week, I collected a bit more premium overall, which brought down my max risk as well a bit.
I noticed that the put spread moved quite a bit at or near the close. When I sold it the options were like $4 or $5 each, but now they are worth around $2, hence the large "P/L Day" values. I sold these 1hr before the close and the market did rally a bit into the close so I guess that explains it. I guess it's more reason to make your trade closer to the actual close.
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I remember hearing earlier in the week that RIMM had earnings coming out tonight, one day before options ex! News so close to op ex provides some really nice volatility plays. I see RIM's implied vol is around 190%!!! I was thinking buying an ATM condor hoping it would make a big move in one direction or another, or perhaps a more directional play to the downside because of how Apple/iOS and Google/Android are eating their lunch.
Sadly, I forgot about it and missed the opportunity. News just came out and it was bad. The stock went from 35 at the close and is now 30 in the overnight session. Buying an ATM put and selling an ATM call spread to pay for that put (at today's close) would have cost only $0.40. The short call spread will expire worthless tomorrow and, assuming the stock doesn't move much more tomorrow, the put will be worth $5 more than it was a few hours ago, yielding a 12.5-times overnight return on investment at this point.
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Options Expiration days are usually choppy as people are trying to pin their stocks to certain option strikes, so the market made a small move (up) today. My short call spread still made money even on an up-day. Looking at the options chain, nobody is buying calls and the prices on the puts are really pumped up so the overall sentiment is very bearish.
RIMM opened almost 6pts lower (almost 20%) from the previous day's close and the selling went on all day long, closing 8pts off yesterday's close. Those puts I mentioned made some people a lot of money!
I read an interesting article on a volume-weighted MACD, built an indie for it, comparing it to MACD. Seems like you get better zero-line crosses at the beginning of trends and later crosses in chop.
I also spent some time studying the relationship between the CL and the dollar via the 6E. Just using a simple ratio now, and looking for large deviation moves in the relationship, but I don't find this very useful. I'm thinking of some other useful ways to measure this relationship/correlation. I see that when CL moves irregardless of the Euro it moves hard more often than when it mean reverts. Otherwise, when there's not much market conviction either way, it just tends to follow the dollar (inversely).
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Pretty painful to watch today, as the Euro strengthened on the back of a confidence vote out of Greece, which strengthened stocks. Still, there's nothing to do yet. While the position took a hit we're not within an area we need to bail out. These are still out of the money and there's 2 more days of trading to take place. Today was the 2nd largest Close-Open range up-day since December and we closed near the highs of the day, which is very bullish.
Looking at the price action, my short call strike is 1310, which is in a previous support zone, should get tested as resistance so I have that going for me.
Also, volume on the futures was not that impressive, so this could have just been about a lack of sellers, not new buyers. Perhaps shorts were covering (de-risking) in front of the Greek vote. I'll be watching the futures overnight as an indication as to what to expect tomorrow.
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The market was quiet in the morning ahead of The Benanke and then sold off later in the day, which is good news for me. With 1 day of trading left I've achieved most of this position's profit potential and feel confident these should all expire worthless.
I'm speaking at my local Meetup next week, if anybody in SoCal wants to meet up. We usually get 20-30 traders show up.
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I failed to put on another trade for the week because I was living on a boat in Catalina for the past 3 days with spotty Internet 3G connection and wanted to focus on the Boy Scout patrol I was with. We had a great time. So I'll just wait until Thursday for the next set of weeklies trade. I see the VIX rose sharply on Friday so premiums will be higher.
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