SPX Directional Butterfly

Click here to view a chart of the underlying, overall position, P&L graph and Greeks.
SPX closed around 1582.  Expecting a pull back in the market.   Price making a reversal candle around the median line of the APF.  We also see decreasing momentum on the oscillator.
Using the ATM straddle using weekly options (expiring May 3) to gauge what sort of movement traders are expecting over the next week.  Traders are currently pricing around a 20 point (straddle is priced at 19.50).
Playing this via a directional butterfly centered around 20 points below where SPX is trading currently, with 20 point wings, using options expiring next week.
+3 x May1 13 1540 puts, -6 x May1 13 1560 puts, +3 x May1 1580 puts
Max risk = $945, Max gain = $5,050 based on the expiration PL graph.  Might not stay in the trade till expiration.  The position has -ve delta (gains from a drop in price).  The position starts off gaining from a  passage of time (+ve theta), with the theta increasing if price drops.
This entry was posted in Butterfly, Indices, Options, SPX. Bookmark the permalink.

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