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HiPOS Weekly Update: Final Stretch Drive

By Derek Moore

With Friday’s October 18th expiration in view we are now in the home stretch. This edition of the HiPOS trade was interesting in that we entered the position at the recent highs of the market. We also used a short put strike lower than the normal market calculations would have suggested. Simply, we were more conservative with our strike selection given our internal calculus.

Despite the market moving lower, thus far we never were in a range which required defensive action. Being a little more conservative turned out to be the right plan. Today the market remains about 10.7% above the short strike price. After the close Monday there are only 3 full trading days left. Friday is an A.M. expiration where the final S&P 500 Index settlement price is determined by an opening rotation or what the opening trade for each of the stocks within the index.

Moving forward you probably won’t see much change in the value of the put spreads until expiration provided there are no unexpected outsized market movements. ZEGA’s traders are continually monitoring the positions so if something should occur, we’ll provide an update.

Next week we will be back with an update. Until then feel free to reach out to the ZEGA team with questions.