Weeklies Asymmetrical FLY

With the slight volatility spike today an interesting trade to enter would be an at the money asymmetrical fly. The trade would benefit from a drop in volatility once entered and also from rapid time decay. Looking at a possible trade entry as below:

SPX November 24th expiration
Buy 1 2535 put
Sell 2 2575 puts
Buy 1 2600 put

Look to enter around $5.50 to $5.60 debit per spread
Cost of trade is debit plus margin. Close at 10% profit or 10% loss based on the cost of the trade.

Mark Fenton


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