We’re going to BUY TO CLOSE 2275/2265 Bull Put spread with 24 days until expiration. This leaves 2465/2475 Bear Call spread.
We might sell another round of puts but with time running down we’d have to trade closer to ATM and risk/reward may not make sense. Best case for this trade is to BTC call spread for .40c or less to close out this trade.
However, selling a put spread with 16 days to expiration may not be the best trade here. 2370/2360 is trading for about .60c. Unless SPX trades much higher that premium is going to stick and this put spread will need to be held through expiration to collect max profit. IF SPX trades 30 points lower over the next 8 days this put will be trading around 1.20 – so risk reward isn’t there.
Igor – I still have a 23JUN17 IC open. It’s still going well and I am still squeezing juice.
– When should I exit to avoid Gamma Risk issues in the last week?
– My short strikes are still 50 and 54 SPX points away from the underlying.
– Many thanks