SPY is getting close to our projected downside risk-management price threshold, and as I’m sure you all know, our remaining positions are carrying a lot of negative gamma. Officially, we’re letting things stand for another day, but anyone concerned about overnight gap risk might consider buying the July 129/135 strangle this afternoon, as follows:
Day limit order
Buy to open 4 SPY Jul 135 calls
Buy to open 4 SPY Jul 129 puts
for a net debit of about $0.42.
Note that the 4 contracts above represent approximately the same number of contracts currently allocated to SPY Jul/Aug CS#1 (133 puts). Also note that, again, that this is not an official newsletter trade, and it will not be autotraded.