RTH rallied to $96.83 this morning before pulling back below $96.50. The rally has stalled for now, but there’s a good bit of support around $96. To facilitate closing this trade we’re lowering our price on any orders that did not get filled at $1.75:
Day limit order
Sell to close 4 RTH July 95 puts
Buy to close 4 RTH June 95 puts
for a net credit of $1.65.
Analysis: We’re closing this position now to reduce our gamma risk in expiration week. At this price we have a loss of 7.04% of total capital risked. Note that the bid/ask spread on this trade is $0.35, so it might take some flexibility to get filled.