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Highlights
- Year to date 15% on the upside
- Positive employment data has little impact
- Tech sector holds after prior session's weakness
- CPI report will be important given weak wages
- On Wed is the FOMC minutes & ECB decision
- Inflation is the focal point where 2900 is a possible push
Volatility
Options fall into the category of being slightly undervalued in non-volatile markets in the weekly options report.
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.
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E-Mini S&P
Below are charts for reference.
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Strategies
Below is a reverse calendar which falls in line with Paul's weekly report based on looking at implied in relation to statistical volatility levels. The spread is a pure directional play.
Here's a calendar spread to the downside. It takes into consideration that IV would increase with a sell off in the market and maintains positive Vega. I've modeled a 2 point projected increase in implied volatility if a possible sell off were to occur.
Below is an iron condor with a very flat T+0 line assuming a slight continued rise on markets. If prices fell below 2830 or rose above 2930, the structure would be adjusted. This is a more conservative play than above.
