Current IC recommendation for an index:
SPY APR 143/140 - 116/113
Reward: $670
Risk: $2,330
Short call delta: 0.2
Short put delta: 0.077
Ideally, we would want the delta on the short call to be closer to 0.07 (SPY @ 148) instead of 0.2; however, due to the volatility skew and current downward bias of the market, we would only receive a credit of about $8 for each call spread that far OTM. That said, there is plenty of resistance at 139 so it's not a huge concern.
I don't recommend putting on this trade on until after Monday or Tuesday, as the beginning of the week might have some more downside.
{See the following}
http://www.1option.com
http://adamsoptions.blogspot.com
It might even prove to be a good idea to enter the put credit spread on Tuesday and wait till later in the week to put on the call spread.
Welcome to the blogosphere.
ReplyDeleteThanks also for deciding to includeVIX and More in your blogroll among some very distinguished company.
It looks like you are off to a good start on the blog; I will certainly keep checking back to see how it develops.
Good luck trading and blogging,
-Bill