ACE - E-Mini S&P - Jan 06, 2019

Below is an illustration trading futures options on E-Mini S&P.  Our post shows bullish and bearish positions using a combination of call and put options.


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E-Mini S&P * Directional & Neutral Positions

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es cme

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Commentary

  • March SP futures bounced back on Thursday with large rally starting with China then Europe flowing to U.S.

  • Unemployment report boosted with participation rate with job growth number.

  • Fed spoke with strong jobs report vs expectation with market reacting positive.

  • From technical standpoint, ES ran above prior highs appearing momentum is higher


Volatility

It appears after the New Year, the market's gained some momentum to the upside.  Implied volatility is currently below historic levels while in the upper 90th percentile.

es vol


Notes:

Contract Size - $50 x S&P 500 Index.

Tick Size:  Outright: 0.25 index points=$12.50

Trading Hours: CME Globex: Sunday - Friday 6:00 p.m. - 5:00 p.m. Eastern Time (ET) with  trading halt 4:15 p.m. - 4:30 p.m.

* Tip: Understanding what the numbers mean when looking at E-Mini S&P prices. The quotation you see is U.S. dollars and cents per 0.25 tick. Each contract you are buying or selling is is index price x 50.  A 1 tick move is $12.50. Notional value of 2,432 = $121,600 USD.

?ml=1" class="modal_link" data-modal-class-name="no_title">* Tip: Click here to read a helpful tip about E-Mini S&P futures and options


E-Mini S&P

Below is a weekly chart with widening of bands possibly indicating more volatility ahead if

es weekly

Below is a daily chart. Price broke above prior highs and although not shown, MACD has turned positive in tandem with Stochastics.  Forecast technical resistance levels based on Fibonacci retracement and expansion levels coinciding above the 20 MA at center of Bollinger Bands.

es daily 2

* Tip: To view a larger chart image, simply right click on the image with your mouse. Next, select view image. Be sure to click the back arrow on your browser to go back to the original page.

?ml=1" class="modal_link" data-modal-class-name="no_title">* Tip: Click here on enlarging images


Strategies

Below is an illustration of a diagonal calendar to the downside if one's view were a further sell off to the downside.  The structure has positive vega to take advantage of a hike in volatility.

es diag condor bear 1
 
Below is a reverse calendar spread using puts if one's view were bullish for negative vega to the upside.  It models a 2 point drop in implied volatility if prices move higher.
 
 
es diag call 2

For more information in learning how to create and manage futures options positions, please reference the ACEProgram in our "Resources" section of the website.