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August 5, 2013

$RUT Weekly Trade

Russell 2000 Index is trading around 1060. We are looking to sell 1060 put that expires this week (Aug2) and buy a 1060 put that expires next week (Aug). This makes it a calendar spread that benefits from a rise in volatility (IV) and passage of time (Theta). This trade is made up of weekly/monthly options which make it a very risky trade, so manage risk accordingly.
Trade: BUY +1 CALENDAR RUT 100 AUG 13/AUG2 13 1060 PUT @4.15 LMT
Margin: $415 per spread
Profit Target: $65 per spread (15% of margin)
Stop: $85 per spread (20% of margin)
Duration: 2-3 days
Risk Profile: