Anyone that trades options knows that the pace quickens the last few days before expiration. The delta (the change in option price relative to the underlying) for the ATM option is still around .5, but instead of gradual changes for the deltas on the strikes in / out of the money, the curve starts resembling a step function, going from zero for out-of-the-money, to …
Redirected to SPY dividend. I continue to monitor the correlation between the 2004 values of SPY v.s. the 2010 version. The summer of 2004 was a sideways, slightly declining market and the summer of 2010 seems to be following suit. I was curious how the US treasury interest rates between the two periods compared, so I looked up some data. The yield …
UPDATE — redirected to blog On the chart below you can see that using the slope of the 2004 SPY trendlines anchored on the February 2010 market bottom gave a 2010 bottom trendline that nicely predicted the bottom (or at least a pause) in the recent correction. The big question now is the top trendline. Of course there is nothing to say that 2004 …
I bought SPY at 111.64, and sold-to-open SPY 108 June-30 expiration calls at 4.08 for a net investment (debit) of 107.58. I used the quarterly SPY options because I could go considerably deeper in the money with the calls and still get a premium that is close to the likely SPY dividend for this quarter (around $0.50). Schwab does not appear to …
Bought SPY 109 July calls (17-July expiration) at 2.90.
