ThetifyDaily scenario: SPY 2019-12-12
SPY, 2019-12-12: spot $287.66, no position on. IV 11.1% vs HV 9.7%. Over the previous 21 trading days SPY moved +2.6%; it closed at its 52-week closing high. Which cash-secured put, if any, clears all four opening rules?
- ASell the $274 put, 35 DTE
- BSell the $281 put, 40 DTE
- CSell the $280 put, 60 DTE
- DPass: no new trade today
What would you do?
The answer and the worked numbers for every choice are in the Thetify app.
Where the position stood
| Underlying | SPY |
|---|---|
| Date | 2019-12-12 |
| Stock price | $287.66 |
| Position | No position on |
| Implied volatility (IV) | 11.1% |
| Historical volatility (HV) | 9.7% |
Under this scenario’s assumptions. Every number in this table is already in the scenario text above; nothing comes from what happened afterwards.
Run these numbers yourself
Each candidate put opens in the calculator with this day’s price, IV and HV and that choice’s strike and days. The calculator leaves out dividends, so its readings can differ slightly from the scenario’s own.
Choice A in the calculatorChoice B in the calculatorChoice C in the calculator
Terms in this scenario
- Implied volatility (IV): The volatility figure that makes the model price equal the price the option actually trades at.
- Historical volatility (HV): How much the stock actually moved over a past window, stated in annualised terms.
- Cash-secured put: A short put backed by enough cash set aside to buy the shares at the strike if assigned.
Same kind of decision
Three more scenarios of the same kind: opening a cash-secured put.
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