Trade Placed: July 2009

On June 16th I sold to open 1 NDX July 1200 put for 4.40. The VXN jumped and I decided to take advantage of the increased premium inherent in the put strikes. I chose the 1200 strike because it is below multiple support levels and was 17% otm with 30 days until expiry. This is generally closer to the index level than I like, but I believe any pullback will be a shallow one that won't cause a large increase in the VXN. I think there is just too much money waiting on the sidelines to get into the market.

Index level: 1450.54
Sell to open: 1 July 09 1200 put
Credit received: 4.40
Initial Margin req.: $12,005.00
Commission: $1.25
Net credit: $438.75
Days to expiry: 30
Simple return: 3.65%
Yield: 44.47%
% to ITM: 17.27%
Probability of expiring ITM: 7.23%

Today I sold to open 1 NDX July 1025 put for 1.05. The 1025 strike lies below the March low of 1040 and was roughly 30% otm. I don't believe the market is going to re-test the absolute lows (at least within the nest 29 days), so I believe this strike is safe to sell.

Index level: 1460.58
Sell to open: 1 July 09 1025 put
Credit received: 1.05
Initial Margin req.: $10,255.00
Commission: $1.25
Net credit: $103.75
Days to expiry: 29
Simple return: 1.01%
Yield: 12.73%
% to ITM: 29.82%
Probability of expiring ITM: 1.90%


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