SPY/QQQ - Feb.'18 Vertical Spread Pairs Trade (SPY side)

2017년 12월 26일

Trade details for SPY:
261/258 Put Vertical Credit Spread @ $0.37
Prob. of Max Profit = 79.79%
Prob. of Max Loss = 12.62%
Break-even @ $260.63
52 D.T.E.

Trade plan:
QQQ identified to be overbought + sign of weakness compared to recent rally.
SPY & QQQ are highly correlating, with QQQ as more volatile mover (suitable for debit spread).
Feb. expiration has sufficient premium for credit spread + room for adjustment during trade if needed
Built credit spread in SPY + Built debit spread in QQQ

For SPY credit spread:
Expecting SPY to expire worthless IF market rallies with no consolidation + $37 profit will lower QQQ max loss ($293) by 12% before any QQQ adjustments
Max risk ($263) in SPY is possible with strong market plunge, BUT QQQ profits will cover that sufficiently in that case.
Check QQQ side of pairs trade for more information.