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Volatility
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
The % yield shown in the diagram below represent an estimated return on margin from projected dates shown.
Butterfly
The position below begins with a flat T+0 line covering a wide range of prices being delta neutral. It earns positive time decay and has negative Vega where if the market rebounds to the upside will earn an attractive return and benefit from a decline in implied volatility. If the market moved to extremes in the range, the position could be adjusted by layering additional spreads.
Calendar
The calendar spread below is delta neutral with positive Vega that would benefit the position if implied volatility rose from a sharp sell off. The illustration below starts with T+0.
The illustration below earns positive time decay as the position is held.
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