Trade closed: Nov 2009

Today the Nov 1375 put and one Nov 1400 put were filled at .05 (no commission at TOS) - tomorrow I expect the one remaining 1400 put to be filled as well.

Index level: 1805.80
Buy to close: 1 Nov 09 1375 put
Cost to close: .05
Initial Margin req.: $13,995.00
Commission: $0.00
Net debit: $5.00
Profit: $143.75
Days open: 45
Simple return: 1.05%
Yield: 8.48%
% to ITM: 23.86%
VXN level: 22.71%
Mmkt equivalent earnings @ 1.30%: $22.03

Index level: 1809.55
Buy to close: 1 Nov 09 1400 put
Cost to close: .05
Initial Margin req.: $13,995.00
Commission: $0.00
Net debit: $5.00
Profit: $83.75
Days open: 24
Simple return: .60%
Yield: 9.10%
% to ITM: 22.63%
VXN level: 22.89%
Mmkt equivalent earnings @ 1.30%: $11.96

I have been researching the extent to which each of the previous 7 rallies since May have climbed and it seems that the current rally from Nov 2nd has climbed just under 10% - the average rise being 9.88%. Does this mean the currcent rally is over extended and will soon pullback the average retracement of 6.06%? Possibly, as the low volume that has been driving this rally higher makes the move suspect. The VXN is also back down to the low point of its recent trading range around 23. Potentially, the market could be setting up for another pullback - if this does occur, I will be looking to sell further 1400 Dec puts (or lower) - the 31 days left until expiry will allow for juicy put premiums should the market endure the kind of pullback that occurred at the end of October when the NDX lost 7% in 5 trading days.