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Quant Trader
Expert-Level Options for Sophisticated Traders

August 1, 2022

With 22 days left in the August 19, 2022 expiration cycle we are able to lock in well over 50% of the original premium sold in GLD back on July 8.

With SPY reaching a short-term overbought reading several days ago and pushing even deeper today, I’ve decided to add a bear call spread in SPY today. I spoke about this in our latest issue.

The trade will certainly cause our portfolio to lean towards the bearish side as our SPY iron condor currently has negative deltas as well, so we will need to balance that out over the coming days. I don’t mind being a little bearish here, but I don’t want to extend my bearish leaning much further. My preference is to always keep the portfolio towards a neutral stance as seen through the overall deltas.


While the IV rank has come down after the latest rally, I have no problem selling premium any time we see an IV rank above 40. So, when the IV rank is sitting at 56.59 there is no doubt options premium remains inflated.


Image courtesy of Slope of Hope

IV: 23.33%
IV Rank: 56.59

Expected Move (Range): The expected move (range) for the September 16, 2022, expiration cycle is from 388 to 435.

The Trade


With the S&P 500 (SPY) trading for 412.41 I want to place a short-term bear call spread going out 46 days. My intent is to take off the trade well before the September 16, 2022, expiration date.


Sell to Open SPY September 16, 2022, 439 call strike
Buy to Open SPY September 16, 2022, 444 call strike for a total of $0.70 (As always, the price of spread will vary, please adjust accordingly.)


Delta of spread: 0.05
Probability of Profit: 85.63%
Probability of Touch: 28.98
Total net credit: $0.70
Total risk per spread: $4.30
Max return: 16.3%

Risk Management
Since we know how much we stand to make and lose prior to order entry we can precisely define our position size on every trade we place. Position size is the most important factor when managing risk, so by keeping each trade at a reasonable level (I use 1% to 5% per trade) it allows not only the Law of Large Numbers to work in your favor … it also allows you to sleep well at night.

I tend to set a stop-loss that sits 1 to 2 times my original credit. Since I’m selling the 439/444 bear call spread for roughly $0.70, if my bear call spread reaches $1.40 to $2.10 I will exit the trade. As always, I will keep you updated on the status of the position as it progresses and send any necessary updates as needed.

If you have any questions, please do not hesitate to email me at