SPY/QQQ - Feb.'18 Vertical Spread Pairs Trade (QQQ side)

2017年12月26日

Trade details for QQQ:
159/149 Put Vertical Debit Spread @ $2.97
Prob. of Max Profit = 18.00%
Prob. of Max Loss = 43.96%
Break-even @ $156.03
52 D.T.E.

Trade plan:
QQQ identified to be overbought + sign of weakness compared to recent rally.
SPY & QQQ are highly correlating, with QQQ as more volatile mover (suitable for debit spread).
Feb. expiration has sufficient premium for credit spread + room for adjustment during trade if needed
Built credit spread in SPY + Built debit spread in QQQ

For QQQ debit spread:
Expecting QQQ to breach $152 level by expiration.
Expecting to possible adjust with naked put or put vertical spread if market rallies strongly to breach & stay above $160 level.
Max risk reduced by 12% from SPY side of trade with market rally.
Unlikely max profit of $703 if market plunges to $149 level.
Check SPY side of pairs trade for more information.

2018年1月3日

註釋

Adjustment:
Due to break out of expected range early in trade.
149/139 Put Vertical Credit @ 0.41
Converted Debit QQQ into QQQ Put Butterfly

New position:
159/149/139 Put Butterfly Debit Spread @ $2.56
13% reduction in Max Loss

Expecting to take profit IF price drifts between $159 and $139 to further reduce risk exposure for trade.