SPY Bear Call spread 11/3/2023

2023年11月5日

SPY 11/3/2023 11/3/2023 Call Expires 12/15/2023 Sold 452 Bought 454

Credit 0.43 Risk Ratio 3.65 Return on Risk 27.4% Opening DTE 42

I am modeling the SPY in higher timeframe Bullish rally off -2 sig last week. The Bearish range beginning in mid Sept tested a triple top at +1 sig.

While the shortest bear range seller did NOT return, it was end of the week on Fri and SPY left behind 2 clear real gaps earlier in the week. It was late in the afternoon the probabilities of the weekly candle closing at the high were really small. It did fall off a bit after 3pm just after I sold the spread, but we'll see what happens on Sun in the futures if the push down to backfill missed/skipped order flow in the gaps below from 430 to 420 attempt to get filled.

The Bearish bet here is Not that we reach a new lower low below 410, but that the 2nd term seller returns at +1 sig in the Blue band just enough to get through 12/15 expiration. Short strike is back at +3 sig and I think it's a good trade a ceiling holds here and pushes back down into 425 or so. At which point I'll look to sell 393 Puts if it happens.

I also plan on selling more Calls at the +4 sig strike if we test 443.

2023年11月6日

註釋

End of next trading day and I'm thinking it would've been better to be short at the 461 strike at the Bullish model +2 sig Blue line instead.
I did think that the 27% was a bit high and something was off. But it was end of the week on a Fri and I thought for sure the following week would be a market breather that needs to capture order flow low before moving higher.
Today's price action says that thinking may be wrong.
I'll roll it out if I need to and the short strike gets near a challenge.