Please ensure Javascript is enabled for purposes of website accessibility
Quant Trader
Expert-Level Options for Sophisticated Traders

March 13, 2024

I’m going to hold on to my March SPY iron condor and will close towards the end of the trading session tomorrow or Friday depending on the price action over the next two days. When I do close, I only plan on closing the bear call side and will allow the bull put side to expire worthless.

S&P 500 ETF (SPY)

I’m going to hold on to my March SPY iron condor and will close towards the end of the trading session tomorrow or Friday depending on the price action over the next two days. When I do close, I only plan on closing the bear call side and will allow the bull put side to expire worthless.

For those that wish to close the trade now here is the trade:

Simultaneously:

  • Buy to Close SPY March 15, 2024, 505 call strike
  • Sell to Close SPY March 15, 2024, 510 call strike … for a total of $4.86 (As always, the price of the spread can vary from the time of the alert, so please adjust accordingly.)

S&P 500 ETF (SPY) – New Trade

I’m adding a new bear call spread to the mix and intend on adding several more trades over the coming days.

IV: 14.9%
IV Rank: 24.1
Expected Move (Range): The expected move (range) for the March 15, 2024, expiration cycle is from 495 to 537.

Call Side:

COI_QT_031324_SPY_bearcall.png

The Trade

Simultaneously:

  • Sell to Open SPY May 17, 2024, 535 call strike
  • Buy to Open SPY May 17, 2024, 540 call strike … for a total of $1.33. (As always, the price of the spread can vary from the time of the alert, so please adjust accordingly if you wish to take on a position.)

*Our margin of error is roughly 3.5% to the upside
Delta of spread: -0.07
Probability of Profit: 72.31% (upside)
Probability of Touch: 51.59% (call side)

Total net credit: $1.33
Total risk per spread: $367
Max return: 36.2%

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 keeping each trade at a reasonable level 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 bear call spread for roughly $1.33, if my bear call reaches approximately $2.66 to $3.99, I will exit the trade. As always, I will keep you updated on the status of the position (in the weekly reports) as it progresses and send any necessary updates.


Copyright © 2024. All rights reserved. Copying or electronic transmission of this information without permission is a violation of copyright law. For the protection of our subscribers, copyright violations will result in immediate termination of all subscriptions without refund. Disclosures: Cabot Wealth Network exists to serve you, our readers. We derive 100% of our revenue, or close to it, from selling subscriptions to our publications. Neither Cabot Wealth Network nor our employees are compensated in any way by the companies whose stocks we recommend or providers of associated financial services. Employees of Cabot Wealth Network may own some of the stocks recommended by our advisory services. Disclaimer: Sources of information are believed to be reliable but they are not guaranteed to be complete or error-free. Recommendations, opinions or suggestions are given with the understanding that subscribers acting on information assume all risks involved. Buy/Sell Recommendations: are made in regular issues, updates, or alerts by email and on the private subscriber website. Subscribers agree to adhere to all terms and conditions which can be found on CabotWealth.com and are subject to change. Violations will result in termination of all subscriptions without refund in addition to any civil and criminal penalties available under the law.