The best value of AROR (Annualized Return on Risk) is to use it as a measurement for the profitability of an active Vertical Spread. When the Live-AROR rises above the Baseline-AROR, exiting the Spread anytime will technically be a bigger win. Nerd Alert! This post goes way nerdier than usual.

Archaeology is the search for fact… not truth. If it’s truth you’re looking for, Dr. Tyree’s philosophy class is right down the hall.

– Indiana Jones (Movie: Indiana Jones and The Last Crusade)

Annualizing ROR for Vertical Spreads


Like Indiana Jones, I like to hunt down juicy tidbits of information to improve my performance while selling Vertical Bull Put Credit Spreads. And sometimes, I find a real pearl that will melt my face!

In a previous post, “EXIT RULES: VERTICAL CREDIT SPREADS – PT 2“, I wrote out an “Exit Matrix” that I can follow for setting closing trade triggers for my active Vertical Spreads. But the problem I found with following this table is that the closer a winning position gets to expiration, the more I become hesitant to exit early.

My inner monolog goes like this: “The position is winning. It’s doubtful that the Market will fall far enough to send it ITM. If I hang on to it, maybe I can claim a couple more bucks – why not?”

My inner monolog might be short-sighted.

In this week’s post, I want to convince myself that, in the framework of one year, early exiting a winning Spread can actually put MORE money in my Trading Account.

This commentary is divided into the follow subsections:

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Return on Risk (ROR) – Why Its Worthless

From my experience, the simple Return on Risk (ROR) has limited value in decision-making. This is because ROR can change wildly with positions of different risk profiles. It can be interesting to see the ROR when a Spread closes, but it cannot tell me if one Spread outperforms another. For example:

The formula for ROR is simple:

Annualizing ROR for Vertical Spreads

In general terms, the problem of using a simple ROR to compare two different Spreads is this:

  • If Spread A collects a $50 premium, but I must set aside $1,000 for 4 weeks to cover the risk, then my ROR = ($50 / $1,000 = .05) 5%.
  • Likewise, if Spread B collects a $75 premium, but I have to set aside $1,500 for 6 weeks, then my ROR = ($75 / $1,500 = .05) 5% as well.

So, from the standpoint of comparing RORs, there is no difference between Spread A or Spread B (both are 5% ROR); even though the premium collect is different, the dollars placed as risk are different, and the duration of the Spreads are different.

The reality is that I can repeat Spread A 13 times within a year to collect an accumulated $650 from the repeated uses of the same $1,000 (65% total ROR for the year). But Spread B can only be repeated 8 times in a year, reusing the same $1,500 to collect an accumulated $600 (40% ROR for the year)

From this example, Spread A is more profitable than Spread B – even though they both have a ROR of 5%. So I need to “annualize” ROR to get a better comparison at the start.

X never, ever marks the spot.

– Indiana Jones (Movie: Indiana Jones and the Last Crusade)
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Annualizing Return on Risk (AROR)

Annualizing Return on Risk (AROR) helps normalize the decision. AROR will show me the expected percentage return from the repeated use of short-term dollars over the year.

To annualize the ROR, I need to also include the Spread’s duration into the equation:

Spread’s Duration = The number of days from when the new position opens (today) until the Expiration Date of the Spread’s Options contracts.

So, Spread A (above) was open today with 4-week until expiration = Spread Duration of (4 * 7 =) 28 days

The formula to annualize the ROR requires me to first “annualize” the premiums collected from the Vertical Spread. One way to do that is to divide the premiums by the Spread’s duration, then multiply the results by 365.

Annualizing ROR for Vertical Spreads

Then use the Annualized Premiums in the ROR equation:

Annualizing ROR for Vertical Spreads

Or translating to what my Excel Spreadsheet will understand:

AROR = ((Premiums – Fees) / (Expiration Date – Open Date) * 365) / Dollars at Risk

Using AROR to Pick Prospective Positions

Again, in broad general terms, when I compare the AROR between Spread A and B, I get this:

Spread A’s AROR = (($50 / 28) * 365) / $1,000 = 65.2%
Spread B’s AROR = (($75 / 42) * 365) / $1,500 = 43.5%

Note: narrow Strike Spreads and Spreads with short lifespans will have a higher AROR than those with the opposite configuration. So picking prospective new positions based solely on AROR will likely be counterproductive in higher volatility markets and might violates my Entry Rules. Therefore, I will not use AROR as a decision point for new Vertical Spreads.

But using the opening AROR as a baseline and comparing that with a Live-AROR could give me valuable information on exiting a winning Spread early.

You must choose. But choose wisely,
for while the true Grail will bring you life,
the false Grail will take it from you.

– Indiana Jones (Movie: Indiana Jones and the Lost Ark)
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Live Annualized Return on Risk (Live-AROR)

If AROR is a function of the Spread’s speculated lifespan, then Live-AROR is a function of the active Spread’s current age.

Calculate Live AROR:

To calculate the Live AROR, I first need to know the current value of the active Vertical Spread. Then I will use that current value in the ROR equation instead of the premiums collected.

To get the current value, I can craft a closing order in ThinkorSwim and note the premium price I have to pay to close the position. The active Spread’s current value will then be:

Annualizing ROR for Vertical Spreads

Once I have the current value, I can calculate Live-AROR:

Annualizing ROR for Vertical Spreads

The friendly Excel equation for the Live-AROR will then be:

Live-AROR = ((Current Value / (Today’s Date – Open Date) * 365) / Dollars at Risk

An example:

If I open Spread A (above) on Monday and paid $30 to close it on Friday (5 days later), then:

Net Profit = ($50 on open – $30 on close) = $20.00
AROR = (($20 Net Profit / 5 Day) * 365) / $1,000 Risk = 146%

So, instead of having a theoretical 65.2% annual return rate on the $1,000 risk in Spread A, it was technically 146% by closing 23 days early.

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Compare AROR and Live-AROR For a Good Exit

The best value of AROR is to use it as a measurement for the profitability of an active Vertical Spread. So if the Live-AROR ticks higher than the baseline AROR recorded when the Spread opened, exiting the Spread anytime will technically be a larger win.

Observed Behavior of Comparing ARORs

Live-AROR (Live Annualized Return on Risk)

The Live-AROR will be affected by the daily performance changes of the active Spread. If the underlying moves with the active Spread, the Live-AROR will rise. If the underlying moves against the active Spread, the Live-AROR will fall.

The sensitivity of this oscillation is more pronounced early in the Spread’s lifespan and gets more docile closer to expiration. And if I let the active Spread expire worthlessly, the baseline AROR and the final Live-AROR will be the same percentage.

So to get the maximum benefit from AROR, I need to react to the larger spikes in the Live-AROR early in the Spread’s lifespan.

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Strategic Caveat

Closing early to avoid a significant Market reaction to some geopolitical event makes risk-management sense. But, closing early because the Markets are doing great is very much counterproductive.

My current Entry Rules limit the number of Spreads and the maximum dollars I can place at risk each week. It also mandates that I stay as much risk-averse as my DEFCON levels require. But I will have to modify my Entry Rules to benefit from AROR. If I don’t, then closing a winning Spread early will work against me.

For example, if I enter into a 4-weeks Vertical Spread and collect $50, I expect that over that 4 weeks, I will make $50. However, if I close the Spread 5 days after opening (for $20 profit and not $50) and do not reinvest that same $1,000 immediately, then I am moving against my profitability for the year.

So a rule change will have to include a weekly max-risk override – I need to be allowed to immediately reinvest into a new Vertical Spread if an active spread closed early due to an improved AROR.

It’s not the years, honey. It’s the mileage.

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This Week’s Market Sentiment

This Market Sentiment Section is typically completed by midday Monday morning. By the time this journal is published, it will be a week old.

(As of 07/05/2021)

In this section, I review five indicators: VIX, Put/Call Ratio, S&P 500, Consumer Sentiment Index, and Geopolitical events that could affect the market’s direction. I will use these indicators to help guide my trading decisions for this week.

Geopolitical Tree-Shakers (GTS):

Geopolitical events can be breaking news, political machinations, Federal Reserve musings, or even Twitter Trends. They are events that can abruptly change the dynamics of the current markets.

GTS is like a lit fuse to a bomb. The fuse can be fast or slow, and the bomb can easily be a dud. But I need to watch this closely as an indicator. The GTS can significantly disrupt all the other indicators at the drop of a hat.

  • Bipartisan Infrastructure Bill was a win for the country but could become a Reconciliation Rope-A-Dope
  • Feds tiptoe into Tapering – rising interest/inflation rates will be a continued background pressure for some time
  • Federal Reserve’s meeting minutes to be released end-of-day Wednesday – a chance to read between the lines (expecting kneejerk reaction)
  • Last week’s Federal Jobs Report showed more people are going back to work – but the Unemployment Rate ticked up to 5.9%
  • Energy prices will continue to climb (feeding inflation) as Oil prices hit 6-year high

Can this be the “calm before the storm?”

The jingoistic journalists must be going into severe withdrawals. After a year of pounding economic devastation brought upon us by the Trump Administration, they have switched gears to prove to us just how unamerican America is. We are all racist (unless you are black since black people cannot be racist). Marxism is the true equalizer, and we must cancel the US flag, cancel the Statue of Liberty, and cancel out-doors Bar-B-Qs.

The dearth of critical economic Armageddon reporting is muting the concern that Inflation is rising and Federal Interest Rates will rise. Even though Powell has reported that Tapering will not start until late 2023, that statement has already been updated to late 2022. And I will bet that will be updated to the beginning for next year or a lot sooner. I believe that a lot of this decision will be made when the 2021 Federal Fiscal Budget is finally approved.

I would love to have my first DEFCON 5 week, but the heavy shadow of Inflation/Interest continues to darken the sky. I will initially set the DEFCON (Damocles Options Trading Readiness Signal) to 4.

Setting DEFCON to 4

VIX: Broad Market Volatility

The VIX is an emotion-gauge for the general investing population. It is thought to be driven by the Marketeers’ current level of greed or fear. As one-month forward-looking volatility, it is not designed to tell us which direction the market will be going, but more of how fast it can get there.

A VIX of 15% is assumed to be a market at rest. Since the intrinsic nature of the Stock Market is to move up, a VIX close to 15% or below will have an innate tendency to rise.

CBOE Market Volatility Index - 07/04/2021
CBOE Market Volatility Index – 07/04/2021

The 1-month Regression Channel for the VIX is showing that the Marketeers are continuing to relax. The VIX ended last week at 15.1%, down from 15.6% the week before. The 9-Day SMA is below the 50-Day SMA, and the current VIX is below the 9-Day SMA. The last remnants of a hysterical nation seem to be subsiding.

These values suggest the Marketeers are shrugging off the immediate effects of a rising Inflation Rate, and no news about the upcoming Federal Fiscal budget and giving everyone a pause.

The VIX (now really, really close to falling below the 15% line) lets me know that the current Markets direction is likely to continue. It also tells me that a falling VIX corresponds to falling Market Index volatility, which means falling Vertical Spread premiums for the positions I open this week.

Clam waters is great for sailing… I will Maintain DEFCON 4.

Maintaining DEFCON = 4

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Put/Call Ratio:

Put Options are frequently used as protections against existing investments falling. When the ratio between Put Options bought versus Call Options bought is above 1, then this is an indicator that the Marketeers are buying insurance to what they may see as declining Markets. Conversely, when the Put/Call Ratio falls below 1, then there is a general sense that the broader Markets will increase, and more investors are buying more than selling.

S&P 500 Put/Call Ratio - as of 07/04/21
S&P 500 Put/Call Ratio – as of 07/04/21

The Put/Call Ratio for the S&P 500 steadily dropped below the .5 line, proving that most Marketeers are buying Call Options over Puts. This suggests that most investors believe that the new Bull Markets are here to stay (for now…).

The 9-Day SMA has fallen below the 0.5 line as well as the Put/Call Ratio for all of last week. This indicator is agreeing with the VIX that there is little general Market concerns.

Maintaining DEFCON = 4

Consumer Sentiment Index (CSI):

I’m searching for a new Consumer Sentiment Index (CSI) chart as provided by the University of Michigan.

A low CSI index is a general dissatisfaction with our current management of U.S. economic policies. This dissatisfaction will imply that something has to change. A high satisfaction rating suggests approval of the current policy management and implies market stability.

Consumer Sentiment as of 6/27/2021
Consumer Sentiment as of 6/27/2021

Ancillary reports are showing that general Consumer Sentiments are improving over what is shown above. Last week’s Jobs Report showed more people are going to work. With the lack of significant GTS to bum us out, I will assume that the new sentiment update in mid July will be a nice jump up.

Maintaining DEFCON = 4

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Market Indexes:

DOW (DJX) = 34,786 – up 1.0% from 34,436 last week. (4 week deviation: 360 down from 362 last week)
S&P 500 (SPX) = 4,352 – up 2.7% from 4,281 last week. (4 week deviation: 40.1 up from 25.67 week)

The S&P 500 is a stock market index that tracks the 500 largest companies in the U.S. This index represents about 80% of all the capitalization for the country. The S&P is widely considered the best indicator of how all the U.S. markets are performing.

Daily S&P 500 Index - Four Months Trend (Updated 07/04/2021)
Daily S&P 500 Index – Four Months Trend (Updated 07/04/2021)

Market Thrashing

4-Week Thrashing of DJX = +/- 360 points or 1.0% of the market’s volume is flat from 1.0% last week.
4-Week Thrashing of SPX = +/- 40.1 points or 0.9% of the market’s volume is up from 0.6% last week.

The Markets continue to have a good (quite) last few weeks. The flat thrashing between the last two weeks suggests that the Marketeers are pretty much in harmeny of Market Risks.

The 4-month Trend Channel is maintaining a long-term Bullish bent and the 4-week trajectory aligns.

The Market Thrashing is technically low as the Indexes continue its trajectory of slowing moving bullish. If history is any kind of indicator, we should continue having winning Vertical Spreads.

Maintain DEFCON = 4

My sentiment for this coming week:

Of the five indicators:

  • the GTS is lacking significant reported risks but it’s still overshadowed by Inflation by fears – BLAH!
  • the VIX is on the verge of dropping below 15% for the first time since the COVID-CON started, but it is still above the line – BLAH!
  • the P/C Ratio shows growth in Call Options buying (more believe that stocks will go up than down)- YEAH!
  • the CSI shows a consumer base getting excited about our economic future, but still well below 95% – SAD!
  • the Market Movement inching bullish – YEAH!

There is not a consensus in “YEAHs” with this week’s indicators. But I do have a very positive outlook for the any new Vertical Bull Put Credit Spreads that I will open this week.

Trading Readiness Level for this week

DEFCON = 4

This week, I will focus on:

My short-term outlook for my Vertical Bull Put Credit Spreads is positive. I will maintain within my stated budget, but I will change my position strategy and open narrower strike-width spreads, but more of them.

  • Three 10 Strike-Wide spreads this week totaling < $3.0K risk) as the Markets see fit
  • Spread term of 8-weeks or less
  • Probability of OTM > 80%
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Profit and Loss Statement

(As of 07/02/2021)

Balance Sheet

Year
2021
Month
July
Week
#27
Beginning Account Balance$16,000.00$18,403.81$18,403.81
Deposits (Div. & Int.)$0.65$0.00$0.00
Withdraws (paycheck)-$1,800.00-$0.00-$0.00
Premiums on Open$4,623.01$0.00$205.00
Premiums on Close-$351.00-$0.00-$0.00
Fees Paid (total)-$69.00-$0.00-$3.06
Ending Account Balance$18,617.75$18,617.75$18,617.75
Total Gain/Loss$2,617.75$201.94$201.94
ROR1.1%1.1%
ROC16.4%

Progress Graph

Running P&L – As of 07/09/21

(Note: the negative weekly results for weeks 4, 8, 12, 17, 21 and 25 are when I withdrew $300 from the Trading Account for my paycheck.)

My Performance vs. SPY

Hypothetically, instead of depositing $16,000 in my Options Trading Account, could I have done better if I bought $16,000 of the ETF/SPY instead?

Options Trading SPY
(Fictional)
Initial Investment
(As of Jan 4, 2021)
$16,000
(Cash)
$16,000
(43.39 shares @ $368.55)
Funds Added$4,840.811
(Premiums)
0.31 shares
(Dividends Reinvested)
Funds Removed-$423.06
(Early Close & Fees)
$0
(Fractional Shares Sold)
Ending Balance$20,417.75
(Cash)
$19001.21
(43.70 shares * $434.86 CV)
ROI+27.6%+18.8%
As of 7/09/2021
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Schedule for this Week

Goals for this week: (07/06/2021 – 07/09/2021) (Week #27)

  • Document lessons learned or new thoughts
  • Open one or two wide-strike spread
  • Update Trading Log as trades occurs

Monday:

  • Determine/update this week’s market sentiment section
  • Calculate/record Put/Call Ratios for all stocks on the watch list
  • Review/tweak Trend-Channels for all stocks in the watch list
  • Set target expiration dates for all Options as follows:
    • Bull Credit Spreads: Aug 27 (6-8 weeks)
      Note: If there are no Options Chains published for the 8-week expiration, then use the next Options Chain down from 8-weeks (7-weeks, 6-weeks). Beyond 4-week expirations, if only the monthly chains are available to trade.
  • Look up Ex-Dividend dates for positions in/approaching ITM (MarketWatch/Calendar)
  • Stage possible trades for all watch list stocks by 10:00 AM
  • NO TRADING BEFORE 10 AM. (Let the Market find its direction after the weekend.)
  • Watch one Webcast or take one online mini-course to be completed by Friday.

Tuesday – Thursday:

  • Review how yesterday’s staged trades moved. Adjust premiums to take advantage of movements.
  • Submit a couple of Spreads, but keep a close watch. If one is accepted, cancel the others (we want only one new active trade per day).
  • Be mindful of Entry Rules.

Friday:

  • Review the total technical dollars at risk for this week. If significantly below $500, then submit additional spreads if prudent.
  • Update and post weekly journal (this blog) with any lessons learned or strategy changes.
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This Week’s Trade Activity

(As of 07/09/2021)

Spread Count Summary:

Year
2021
Month
July
Week
#27
Vertical Bull Put Credit Spread4933
Vertical Bear Call Credit Spread000
Vertical Bull Put Debit Spread000
Vertical Bull Call Debit Spread000
Margin Interest100
Total5033

Current Dollars at Risk:

Year
2021
Month
July
Week
#26
Vertical Bull Put Credit Spread$11,662.$2,324.$2,324.
Vertical Bear Call Credit Spread$0.$0.$0.
Vertical Bull Put Debit Spread$0.$0.$0.
Vertical Bull Call Debit Spread$0.$0.$0.
Iron Condor$0.$0.$0.
Total Dollar Risk$11,662.$2,324.$2,324.
Max Risk Allowed$16,000.00$12,000$3,000.
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Vertical Spreads Opened This Week

(07/06/2021 – 07/09/2021)

IWM: 205p/185p  – Open 07/09/21 – Expires 08/27/21 – Max Gain = $135.00 – Open Price = $225.54
(Vertical Bull Put Credit Spread)
At Open: Prob. OTM=81.2%, Headroom=-9.1%, Max Loss=$1,865.00, AROR=53.5%

Vertical Bull Put Credit Spread – IWM – Short: 205 Put – Long: 185 Put
Vertical Bull Put Credit Spread – IWM – Short: 205 Put – Long: 185 Put

Entry Rules for Vertical Bull Put Credit Spreads:

  • Current maximum dollars at risk < $16,000? Yes ($11,662)
  • Max dollar at risk this week < $3,000? Yes ($2,324)
  • Max time to have any dollars at risk < 8 weeks (<56 days)? Yes (49 days)
  • Long-term trend (four months) bullish? Yes (see chart)
  • Short-term trajectory of the underlying bullish? No (see chart)
  • Put/Call Ratio < 1, (or falling if it is > 1)? No (2.2 up from 0.7)
  • Current price above 9-Day SMA?: No (see chart)
  • 9-Day SMA above 50-Day SMA?: Yes (see chart)
  • Short-strike < 1 SD below the current price? Yes (1SD=$210.10)
  • Short-strikes Prob-OTM > 80%? Yes (81.2)
  • Short-Strike price below the trend channel at expiration?: Yes (see chart)
  • Current price within the bottom 1/2 of Trend Channel?: Yes (see chart)
  • Long-strike at maximum width (>= 10)? Yes (20 strike width)

DIA: 325p/320p  – Open 07/07/21 – Expires 08/20/21 – Max Gain = $82.00 – Open Price = $346.97
(Vertical Bull Put Credit Spread)
At Open: Prob. OTM=82.5%, Headroom=-6.3%, Max Loss=$918.00, AROR=72.3%

Vertical Bull Put Credit Spread – DIA – Short: 325 Put – Long: 320Put
Vertical Bull Put Credit Spread – DIA – Short: 325 Put – Long: 320Put

Entry Rules for Vertical Bull Put Credit Spreads:

  • Current maximum dollars at risk < $16,000? Yes ($9,768)
  • Max dollar at risk this week < $3,000? Yes ($918)
  • Max time to have any dollars at risk < 8 weeks (<56 days)? Yes (44 days)
  • Long-term trend (four months) bullish? Yes (see chart)
  • Short-term trajectory of the underlying bullish? Yes (see chart)
  • Put/Call Ratio < 1, (or falling if it is > 1)? Yes (0.6 down from 1.3)
  • Current price above 9-Day SMA?: Yes (see chart)
  • 9-Day SMA above 50-Day SMA?: Yes (see chart)
  • Short-strike < 1 SD below the current price? Yes (1SD=$325.43)
  • Short-strikes Prob-OTM > 80%? Yes (82.5)
  • Short-Strike price below the trend channel at expiration?: Yes (see chart)
  • Current price within the bottom 1/2 of Trend Channel?: Yes (see chart)
  • Long-strike at maximum width (>= 10)? No (5 strike width)
  1. My schedule states that I should wait 1.5 hours after Market Open before I enter into any position – letting the overnight shenanigans calm. But contrary to this schedule, I entered this position about 20 minutes after the Market opened. No Bueno! After I opened it, DIA reversed (down) and started the same pattern as yesterday. Should have seen that coming.
  2. This is my first multiple-contract Spread in over a year. This is a shallow Spread but yields a higher collective premium for the same risk. I don’t plan to repeat this configuration again until DEFCON 5.

Opening this Spread with a Long of 320 inadvertently closed out the Short 320 that was opened 06/30/21. This threw my logging methodology into chaos. The result was that this Spread was automatically changed to 1 contract, and the 06/30 spread changed to a Short of 325. So, outside of confusing the snot out of me, I now have a new topic for next week’s JE.

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Vertical Spreads Currently Cooking

(As of 07/09/2021)

IWM: 205p/195p  – Open 07/02/21 – Expires 08/20/21 – Max Gain = $56.00 – Open Price = $229.36
(Vertical Bull Put Credit Spread)
At Open: Prob. OTM=86.2%, Headroom=-10.6%, Max Loss=$944, AROR=43.4%
Now: Prob. OTM=83.4%, Headroom=-9.2%, IV%=7.1%

QQQ: 325p/315p  – Open 07/01/21 – Expires 08/20/21 – Max Gain = $80.00 – Open Price = $354.06
(Vertical Bull Put Credit Spread)
At Open: Prob. OTM=82.3%, Headroom=-8.2%, Max Loss=$920, AROR=62.71%, 50d Dev = $10.21
Now: Prob. OTM=86.9%, Headroom=-9.9%, IV%=14.6%

DIA: 320p/310p  – Open 06/30/21 – Expires 08/20/21 – Max Gain = $70.00 – Open Price = $344.22
(Vertical Bull Put Credit Spread)
At Open: Prob. OTM=84.0%, Headroom=-7.0%, Max Loss=$930, AROR=53.1%, 52d Dev = $3.20
Now: Prob. OTM=84.5%, Headroom=-6.7%, IV%=5.9%

SPY: 400p/390p  – Open 06/29/21 – Expires 08/20/21 – Max Gain = $74.00 – Open Price = $428.20
(Vertical Bull Put Credit Spread)
At Open: Prob. OTM=81.9%, Headroom=-6.6%, Max Loss=$926, AROR=55.3%, 52d Dev = $5.00
Now: Prob. OTM=86.6%, Headroom=-8.0%, IV%=2.9%

DIA: 320p/310p  – Open 06/24/21 – Expires 08/06/21 – Max Gain = $71.00 – Open Price = $341.52
(Vertical Bull Put Credit Spread)
At Open: Prob. OTM=83.2%, Headroom=-6.3%, Max Loss=$929, ROC 7.5%, 43d Dev = $1.56
Now: Prob. OTM=92.6%, Headroom=-8.2%, IV%=5.9%

QQQ: 315p/295p  – Open 06/22/21 – Expires 07/30/21 – Max Gain = $101.00 – Open Price = $345.02
(Vertical Bull Put Credit Spread)
At Open: Prob. OTM=85.1%, Headroom=-8.7%, Max Loss=$1,899, ROC 5.3%, 38d Dev = $6.89
Now: Prob. OTM=96.1%, Headroom=-12.7%, IV%=14.5%

QQQ: 315p/300p  – Open 06/15/21 – Expires 07/30/21 – Max Gain = $113.00 – Open Price = $342.62
(Vertical Bull Put Credit Spread)
At Open: Prob. OTM=81.9%, Headroom=-8.0%, Max Loss=$1,387, ROC 8.1%, 44d Dev = $6.54
Now: Prob. OTM=95.1%, Headroom=-12.7%, IV%=14.5%

SPY: 400p/390p  – Open 06/10/21 – Expires 07/23/21 – Max Gain = $85.00 – Open Price = $423.75
(Vertical Bull Put Credit Spread)
At Open: Prob. OTM=78.8%, Headroom=-5.4%, Max Loss=$915, ROC 8.3%, 43d Dev = $2.93
Now: Prob. OTM=95.6%, Headroom=-8.0%, IV%=3.1%

Vertical Spreads Closed This Week

(As of 07/09/2021)

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Conclusion

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Disclaimer

Even though I have tried to make it clear that this blog is my personal trading journal, it has been suggested by others that I, nevertheless, include a general disclaimer. So here goes…

“This blog and the information contained herein is not intended to be a source of advice or analysis concerning the material presented. The information and/or documents contained in the blog do not constitute investment advice.”

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