Monday, July 13, 2015

SPY Calendar

JUL 13


IVR 13

SPY volatility has dropped significantly as the SPY has rallied for three straight days. With the low IVR rank, I am structuring a slightly OTM put calendar spread which is anticipating two things in the days ahead: a reversal in price and a increase or maintenance in volatility.

The put calendar is long vega, short delta, and long theta after this large upside move.

I also have a few opportunities to roll and reduce risk if needed. Target price for the calendar is around 30%. I am placing a GTC order once filled to sell the calendar for 1.65


- 3/c Jul 24' 207 Put
+3/c Aug 14' 207 Put

Net Debit: 1.25


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