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SPX at 3991
I’m going to set up a Bear Trap in 17FEB expiry. This is a combination of a long put vertical and a short put vertical. A debit spread and a credit spread, using all puts.
I’m buying (1) put debit spread at 3800/3750 strikes and I am selling (4) put credit spreads at 3200/3100 strikes for a NET credit of 4.60
Risk Profile:
Order Ticket:
My goal is to hold this trade to about 21DTE. There are several possible outcomes here (at expiration):
1. SPX above 3800 – we’ll keep the initial credit
2. SPX between 3200-3750 – we’ll make the Bear Trap profit
3. SPX below 3200 – we’re losing money in this tradeI will make incremental adjustments in this trade. Trading 10 contracts or more gives us the ability to make smaller adjustments along the way and my goal will be to keep delta or directional exposure on the same side of the underlying market moves (if market is bullish I will keep positive delta, if market turns bearish, I will look to reduce positive delta). We’re starting off positive delta. If we start to move towards 3800 I will use OTM put debit spreads to reduce my directional exposure.
This is going to be a thread that I will update with any adjustments for this trade.
Hi Igor
Can I ask why you prefer SPX over ES?SPX is what I have been trading and feel the most comfortable. I dont think there’s much difference other than ES has higher commission and each contract has a multiplier of 50 instead of 100 as in SPX. This requires a higher number of contracts to be traded and it leads to even higher fees associated with the trade.
SPX at 4028
This trade is 9DIT. SPX looks like it is setting up for a push for 4100-4150
I am going to add a little more positive delta to this trade by Selling To Close 20% of my Put Debit spread.
This is going to add positive delta and increase theta a little. This will also add negative vega.
Greeks (top before, bottom after):
Risk Profile:
Order Ticket:
so your adding some profitability to the trail and reducing it in the trap
@Kim V
Yes, this will reduce the size of the trap but will increase profit potential if SPX is outside of the trap at expiration.
@igor What caused you to be bullish on SPX such that you made the 11/23 adjustment that resulted in increased positive delta and increased negative vega?
@Geoff
The market looked like it was breaking higher and I needed to add more positive delta.
Clearly, I was a bit wrong on my ‘breaking out’ assumption then but it didnt hurt the trade overall.
SPX at 3842
Still holding and looking for potentially trapping price in the Bear Trap
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