With SPX currently at $2393, about 12 points from the all time highs, I am looking at a Call Credit Spread. I am looking at a 24 day trade in the June 16 expiration. Sell 1 2430 Call and Buy 1 2440 Call for an $1.90 Credit. Just filled this trade live at 11:35 am central time with SPX at 2393.
The Delta of the short call is 20, that means there is only a 20% probability that SPX will finish over the short strike of 2430 in 24 Days. The margin or risk on this trade is $810.
I am looking at making around 10% or around $80 on my risk capital of $810 for every 1 contract. I will have an order in to buy back the credit spread at $1.10 Debit as a profit target.
If SPX continues up, I will have an order in to buy back the spread at 2 times my profit target of $80. So I will buy the credit spread back for a loss if the credit goes from the initial $1.90 credit to $1.90 plus $1.60 or $3.50.
Always have a Plan before you start each trade! The position Greeks of the Trade for every 1 contract: Deltas -6.66 Gamma -.14 Theta 6.22 Vega -40.42.