Dec 20 , 176 put delta = –0.18, SPY = 180.9
Option A: Roll over now with calendar spread +Dec13-Dec20 176, credit 0.42, net of comm $0.40.
Option B: Let Dec 13 176 expire worthless. Short Dec 20 176 on Dec 16. Dec 20 176 put is 0.49. As long as it doesn’t go down by 0.09, Option B is better than Option A. $0.09 decrease on options price means $0.50 increase on SPY’s price. Will SPY be higher than 181.4 by Dec 16?
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