Published On: Fri, Feb 24th, 2017

Trade view: Volatility strategy with the Russell 2000 — #SaxoStrats



The US small cap index has largely underperformed; the large caps year-to-date, as well. While the S&P 500 (SPX) is up 4.4% for the year, the RUT is up 1.7% for the same time frame.

It is possible that investors are becoming more cautious about the market and particularly about the small caps. Whatever the reason might be, today we are seeing an opportunity to sell some premium in the market as volatility is up at least measured by the CBOE Volatility Index (VIX). At the time of this writing, the VIX is up 4.7% at its upper range of $ 12.26

Source: Saxo Bank

We believe that the Russell will continue to move in a range with limited upside and downside.

For this is reason, we are choosing to work with a $ 5-wide iron condor on the Russell 2000. Volatility is up and premium on these options is richer. Here’s the set up:

Management and risk description

The risk in the strategy is limited to the difference of net credit and width of strike prices. We are risking 1%.

Underlying:Russell 2000 (RUT) at 1388


Trade:Sell -1 RUT 17 March 17 1415/1420/1350/1355 CALL/PUT at $ 2.40 

Max risk:$ 2.60 at expiration

Max gain:$ 2.40 at expiration

ROR: 92%


Today with the ticket


No stop

sideways trading

Time horizon:
15-20 days

— Edited by Jack Davies

Non-independent investment research disclaimer applies. Read more
A compiled overview of Trade Views provided on is found here

Feed for all trade views

Leave a comment

XHTML: You can use these html tags: <a href="" title=""> <abbr title=""> <acronym title=""> <b> <blockquote cite=""> <cite> <code> <del datetime=""> <em> <i> <q cite=""> <s> <strike> <strong>