SPY
Asupersededhedgerecommended 2026-05-05 · source risk_analysis_2026_05_05.md §1 / Tier 1Research-mode rules
| Research status | researching |
|---|---|
| Analysis batch | 2026-05-05-risk-analysis |
| Analysis file | codex/risk_analysis_2026_05_05.md→ risk_analysis_2026_05_05.md §1 / Tier 1 |
| Kelly size % | 2.80% of book cap |
| Stop-loss | -50% premium → exit fully |
| Time stop | 2026-09-01 → exit if <100% gain |
| Profit ladder | +100% premium → sell_third +250% premium → sell_third |
Instrument & sizing
| Instrument type | leaps_put |
|---|---|
| Strike | $685 |
| Expiration | 2027-01-15 |
| Polygon symbol | O:SPY270115P00685000 |
| Recommended quantity | 0.509 |
| Recommended dollar amount | $1,400 |
| Recommended entry price | $27.50 |
| Spot at recommendation | $722.00 |
| OTM% | -5.1% |
| IV at recommendation | 0.20 |
| Delta at recommendation | -0.32 |
Thesis summary
Tail hedge — gamma kicker. SPY is at ATH ($722); 5% OTM put gives linear protection on gradual drawdown. Δ=-0.32, IV=0.20 (cheap relative to RV). Funds: trim ETN $1K + GEV $500.
Linked predictions (0)
No predictions linked.
Upcoming catalysts (1 of 1)
| Date | Type | Description | Expected impact | Status |
|---|---|---|---|---|
| 2027-01-15 | expiration | SPY option expiration | volatility_only | upcoming |
Update history (1)
Most recent first.
| Updated at | Type | Source | Drift / shift |
|---|---|---|---|
| 2026-05-05 22:11Z | auto_review | cron | spot +0.2% |
Actions
Recommendation is superseded; further actions handled via the position detail page.
Status: superseded