OPENING: SPY SEPT 15TH/DEC 15TH 243 PUT CALENDAR

Putting on some more low volatility strategy stuff in this low volatility market ... .

There aren't many metrics to look at:

Buying Power Effect: 3.55 db
Theta: 1.08
Delta: -9.57

As with the IWM put calendar (see Post below), will work both ends of the candle, rolling the long away profitably, rolling the short away/out profitably while keeping the width of any resulting diagonal spread "reasonable."

Trade attivo:

Rolling the Sept 15th 243 to the Sept 22nd 244 for a realized gain of .22 ($22)/contract and a credit of .46. Scratch at 3.09.

Trade attivo:

Rolling the Dec 16th 243 to the Dec 16th 242 for a realized gain and a credit of .28 on this down move. Scratch at 2.81.

Trade attivo:

Rolling the Dec 16th 242 long put to the Dec 16th 241 long put for a realized gain and a credit of .31. Scratch at 2.50.

Trade attivo:

Rolling the Dec 16th 241 long put to the Dec 16th 240 long put for a realized gain and a credit of .30. Scratch at 2.20. The delta's getting a bit long here (~10/contract), so will look to roll the short aspect down once more of its extrinsic bleeds out (a waiting game).

Trade chiuso: obiettivo raggiunto:

Covering here for a 2.91 credit. 2.91 - 2.20 = .71 ($71/contract profit), 20% of what I put it on for. Will reestablish next week assuming volatility remains fairly low.