Year End Rally?


Directional Assumption

Long SPY

The Narrative

Anticipating a year end rally. Risk of contested election is gradually fading. Vaccine is coming.

Trading / Investing Strategy

I intend to re-balance my options portfolio from a portfolio beta-weighted delta of negative 3 to something closer to a neutral position. As IV rank of SPY is < 20%, enter into a debit call spread (long 328 call, short 330 call) with DTE 56 days expiring on 15 January 2021. Expect some support at 337.

Possible Downside Risks

Rising cases (short term) vs availability of vaccine (medium term). Depends on severity of the lockdowns in the short term. Stimulus may not come that soon.

Disclaimer: This post is not an investment / trading advice or endorsement. Please refer to the general disclaimer of this blog.

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