The 300 SPY Calendar

Why a 300 calendar?

The 300 SPY calendar is a curious thing right now.  First you might ask why that one and second why it matters.  I want to keep the duration relatively short, less than a month and the width between terms about 1 to 2 weeks.  The advent of Weeklys created all kinds of opportunity on high Theta, decaying, calendars.  300 matters because that is the closest big number and the one we cannot get through, and run, until the trade deal is done.

SPX IV moving up from the open, will it last?

300 Calendar as the money maker

Like the tweet cycle we are in, even JPM named an index for it,  I expect some rallies and selloff.  The interesting part, like I mentioned last week, is how regular the interval size is for SPY at about 1%.  We can get close to 300 but never really get past it.  That is perfect for a calendar spread since they do best on a move to the strike.  SPY Sep20/27 300 calendars are inexpensive for .32.  Even a close here would net a nice chunk of change.

Using a SPY put butterfly

One can use a put fly on a ratio against the SPY Calendars, say 5 calendars to every fly.  I think the 300 strike won’t go to 0 on a down move unless it is a, Red Foxx Sanford and Sons big one.  Close to the money SPY put flies of nice width are under a $1.  Using the ratio, a put fly can easily pay for the Volfefe index to go ballistic.  Manage for money and not for greed.

Take a look at Mark’s butterfly webinar Wednesday!



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