Option trades – week of June 27, 2016

Last week

Week endingOpenHighLowClose
June 17, 20162081.002089.252040.752059.75
June 24, 20162071.002119.501999.002018.25

Commentary for last week

UK Brexit referendum brought high volatility to global financial markets. The voting results sent ES a big whipsaw move by pushing price up to 2119.50 level first and then crashing 120.50 points down from that high on Friday.

Last week’s price action

160624-es-60a

ESU6 June 24, 2016. 60-minute bars.

Nat made no option calls last week.

 

This week:

This week is the end and beginning of the Month. There are 3 option expiration days on SP500 index and two on ES. All are very active because of the news and will drive the price to go both directions.

Member content

 

Hi . Here is the member content for this week.

Calls:

Above 2055 strike price, The 2100 and 2125-30 strike price calls have relatively large open interests. As long as index doesn’t go above 2075 level, it is likely for SP500 index to struggle to stay below it to prevent triggering a run on buy stops. Our system shows that index and ES shouldn’t close above 2115 level, therefore we look for short calls when price moves above 2070 level.

Puts:

Under 2055 strike price, the 2000 and 1975 strike price puts have larger open interests. It indicates there is a great chance for price to move lower below the current price level. But it also shows that price could be squeezed up if those puts are not working. Our system shows that index and ES shouldn’t close below 1945 level, therefore we look for short the puts when price goes below 2000.

Put/call volume ratio on SPX and ES June 30 and July 1 option is 1:1 from 2100 to 2055 level, and 8:1 from 2050 to 1950 level.

Nat’s option trades for this week

ExpirationStrike price Sell options when ES price is
June 30, 20162125, 2135 calls above 2070
2115 calls
Meanline 2055
June 30, 20161955 putsbelow 2000
1945 , 1925 puts

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