Neutral-bearish Trade initiated on Thursday November 19, 2015 when ES was at 2079. Since then, it got as low as 2068 and as high as 2098, ending at 2089.25.
Here was my initial position:
Strike A = 209
Strike B = 212.5
Shorted Strike A @ 209 with front-week Nov27 call for a credit of $1.18 per contract.
Simultaneously bought Strike B @212.5 with back-week Dec4 call for a debit cost of $0.56 per contract.
Short 25 contracts of Nov27 209 call @1.18
Long 25 contracts of Dec04 212.5 call @.56
The -$71 and $73 unrealized gains indicates the position was roughly flat from the beginning.
Beginning Net credit per spread = 1.18-.56=$0.62 credit
Potential profit= $62 per contract * 25 contracts = $1500
Goal: for this spread distance to go towards 0 be expiration on November 27 for roughly $1500 in profit
Actual profit = $1200
Ending net credit per spread = .42-.30=$0.12 credit
Result: exited trade on November 27 when ES was at 2085 and SPY was near 209 (higher than my entry at 2079)– and still made money.
209 call = 1.95k
212.5 call = -721
1.95k-721= $1.2k profit
Why did I close out in the morning instead of letting it expire?
Because the ES futures got higher than I expected on the day of Thanksgiving to 2098 and the fact that it dropped back to 2084 down to
If I didn’t close out the position, would I will have been profitable?
Yes, but instead of $1.2k– probably less than $300 because ES closed at 2089.5 and SPY closed at 209.56– higher than our ideal close SPY 209.