/SPY/OPTIONS
ATM IV4.6%0 calendar daysSTRADDLE MOVE0.1%$0.74 ATM premium25Δ SKEW—put IV minus call IVVOLUME5,689,249P/C 0.82ATM SPREAD38.9%wide quote qualityEVENTNONEbefore expiry | CALLS | STRIKE | PUTS |
|---|
| Volume | Bid | Ask | IV | Delta | Gamma | Theta | SPOT$763.47 | Theta | Gamma | Delta | IV | Bid | Ask | Volume |
|---|
| 320 | 7.57 | 7.82 | 35.2% | 0.92 | 0.028 | -2.863 | 756.00 | -0.001 | 0.000 | 0.00 | 12.5% | 0.00 | 0.01 | 29,940 |
| 1,044 | 6.57 | 6.83 | 32.0% | 0.91 | 0.034 | -2.841 | 757.00 | -0.009 | 0.001 | -0.00 | 12.5% | 0.00 | 0.01 | 53,439 |
| 808 | 5.56 | 5.81 | 27.6% | 0.90 | 0.041 | -2.535 | 758.00 | 0.000 | 0.000 | 0.00 | 6.3% | 0.00 | 0.01 | 78,839 |
| 3,436 | 4.57 | 4.82 | 24.2% | 0.89 | 0.052 | -2.477 | 759.00 | 0.000 | 0.000 | 0.00 | 6.3% | 0.00 | 0.01 | 107,250 |
| 9,205 | 3.57 | 3.82 | 20.2% | 0.87 | 0.068 | -2.295 | 760.00 | -0.002 | 0.001 | -0.00 | 6.3% | 0.00 | 0.01 | 264,401 |
| 19,644 | 2.58 | 2.82 | 16.3% | 0.84 | 0.097 | -2.139 | 761.00 | 0.000 | 0.000 | 0.00 | 3.1% | 0.00 | 0.01 | 305,171 |
| 89,819 | 1.62 | 1.82 | 12.3% | 0.78 | 0.154 | -1.934 | 762.00 | -0.189 | 0.090 | -0.03 | 5.2% | 0.01 | 0.02 | 604,356 |
| 370,292 | 0.68 | 0.76 | 7.1% | 0.67 | 0.330 | -1.374 | 763.00 | -0.149 | 0.420 | -0.07 | 2.1% | 0.01 | 0.02 | 1,003,884 |
| 810,141 | 0.09 | 0.10 | 4.4% | 0.23 | 0.437 | -0.706 | 764.00 | — | — | — | — | — | — | — |
| 829,926 | 0.01 | 0.02 | 5.3% | 0.03 | 0.087 | -0.196 | 765.00 | — | — | — | — | — | — | — |
| 457,886 | 0.00 | 0.01 | 3.1% | 0.00 | 0.000 | 0.000 | 766.00 | — | — | — | — | — | — | — |
| 271,181 | 0.00 | 0.01 | 6.3% | 0.00 | 0.001 | -0.002 | 767.00 | — | — | — | — | — | — | — |
| 130,983 | 0.00 | 0.01 | 6.3% | 0.00 | 0.000 | 0.000 | 768.00 | — | — | — | — | — | — | — |
| 44,821 | 0.00 | 0.01 | 6.3% | 0.00 | 0.000 | 0.000 | 769.00 | — | — | — | — | — | — | — |
| 30,133 | 0.00 | 0.01 | 12.5% | 0.00 | 0.001 | -0.009 | 770.00 | — | — | — | — | — | — | — |
STRATEGY CANDIDATESEntries use the displayed bid/ask quotes; review liquidity before use
| Strategy | Entry | Max profit | Max risk | Return / risk | Breakeven | Liquidity |
|---|
| Covered callincome | $-76,338 | $62 | $76,338 | 0.1% | $763.38 | good · 10.5% |
| Cash-secured putincome | +$1 | $1 | $76,299 | 0.0% | $762.99 | wide · 66.7% |
| Protective puthedge | $-76,349 | — | $49 | — | $763.49 | wide · 66.7% |
| Long straddlevolatility | $-78 | — | $78 | — | $762.22 / $763.78 | wide · 66.7% |
| Short straddleshort_volatility | +$69 | $69 | — | — | $762.31 / $763.69 | wide · 66.7% |
| Long stranglevolatility | $-12 | — | $12 | — | $762.88 / $764.12 | wide · 66.7% |
| Short strangleshort_volatility | +$10 | $10 | — | — | $762.9 / $764.1 | wide · 66.7% |
| Bull call spreaddirectional | $-67 | $33 | $67 | 49.3% | $763.67 | good · 11.1% |
| Bear put spreaddirectional | $-7,714 | $-14 | $7,714 | -0.2% | $762.86 | wide · 66.7% |
| Bear call spreaddirectional_credit | +$7 | $7 | $93 | 7.5% | $764.07 | wide · 66.7% |
| High-probability iron condorrange | +$6 | $6 | $94 | 6.4% | $762.94 / $764.06 | wide · 66.7% |