Last week
| Week ending | Open | High | Low | Close |
|---|---|---|---|---|
| Mar. 11, 2016 | 1994.50 | 2022.25 | 1967.25 | 2011.75 |
| Mar. 18, 2016 | 2009.50 | 2042.75 | 1995.50 | 2038.75 |
Commentary for last week
SP500 index had a strong close on quadruple witching expiration day. It not only recovered all the loss made in the early months this year, it also closed with a small gain. So far, so good.
Last week’s trades
ESM6 to March 18, 2016. 60-minute bars.
Not much excitement for option traders last week. The full range for the week was about 45 points; a few weeks ago the market moved that far in a day.
The space between Nat’s Meanline and the trigger point to sell Calls pretty much contained the price activity.
A few traders managed to sell Calls on Thursday when the price spiked, but there was not much profit in it.
However all of the Calls expired out-of-the-money, so anyone who did get a trade in kept all the premium. There just wasn’t much of it to keep.
This week
Member content
Hi [MM_Member_Data name=’firstname’]. Here is the member content for this week.
This week is likely to show some minor weakness after the quadruple witching expiration, especially on Monday. It shouldn’t kill the longer term bullish outlook. We may not see a big rally like the past few weeks; a minor pullback or sideways movement should be expected.
Calls:
Above the 2000 strike price, there is a large volume of Call contracts purchased last week. This indicates that buyers still expect the SP500 index to hold the price above the 2000 level this week. Our system shows that both index and ES shouldn’t close above 2115 level if there is a breakout rally, therefore we look to sell Calls when the price moves above the 2065 level.
Puts:
Under 2000 the strike price, there are more Put contracts purchased than Calls. This could cause a short squeeze if the price breaks above the 2055 level or shorts covering if the index holds above 2010 level. Only if the index moves below 1990 could the selling pressure drive the price down further into the 1975-70 zone. Our system shows that index and ES shouldn’t close below 1950 level, therefore we look to sell Puts when the price goes below 2000.
Put/call volume ratio on SPX and ES March 24 option is 1:5 from 2100 to 2000 level, and 3:1 from 2000 to 1950 level.
Nat’s option trades for this week
| Expiration | Strike price | Sell weekly options when ES price is |
|---|---|---|
| March 24, 2016 (Thursday) | 2095, 2100 calls | Price is above 2065 |
| 2085 calls | ||
| Meanline | 2050 | |
| March 24, 2016 (Thursday) | 1950 puts | Price is below 2000 |
| 1935, 1925 puts |