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HiPOS Conservative New Trade Update

By Derek Moore

We wanted to post a quick update on our HIPOS Conservative strategy as the ZEGA trading team put on a new short put spread. With continued elevated levels of volatility, the short 3100 strike was about 18% out of the money (below the market) at the time of entry. This one is targeting a return of just over 1%. With elevated volatility, not only are trades further away from the current index level (S&P 500 Index), but they have less time until expiration. Given there is a market holiday in between today and the A.M expiration on February 19th, that leaves only 12 trading days left until then.

As we move through the trade, we will post updates in not only this strategy but our aggressive version that remains ready to also find and deploy new positions. Below I will post the particulars. Above we have our typical graph showing our normal purple defensive posture cure, expiration date, and short strikes on top of the current chart of the S&P.


Now for the HiPOS Conservative Particulars: 

  • Index: S&P 500 Index
  • Position type: Short Put Spread
  • Short put strike: 3100
  • Long put strike: 3050
  • Put Spread Risk (prob. ITM):  < 1% at time of entry
  • Targeted return: ~ 1%
  • Put Spread Distance OTM: ~ 18 at time of entry
  • Expiration: February 19th or 12 trading days to expiration