Trade Placed: July 2009

On Friday June 12th, I sold to open 1 July 2009 1125 put. I still feel the market is due for a pullback, but I don't think it will be a vicious pullback - more like a slow, drawn out reversal with probably little participation from the VXN, especially since so many are waiting for "the pullback" so they can jump back in. I am also thinking of selling another July put, but one only about 17% otm - currently the 1225 put can be sold for 3.50 or so. Again, I feel the pullback will be shallow, and there is plenty of support at 1435 (the June 1st gap up) and then again at about 1425 and 1340.

Index level: 1476.60
Sell to open: 1 July 09 1125 put
Credit received: 1.95
Initial Margin req.: $11,237.50
Commission: $1.25
Net credit: $193.75
Days to expiry: 34
Simple return: 1.72%
Yield: 18.51%
% to ITM: 23.81%
Probability of expiring ITM: 2.89%

Please view my disclosure on the bottom of this blog.