Short term
Trade view / 01 June 2016 at 1:31 GMT

Sideways shift calls for short vertical call spread on E-mini S&P 500

Product Manager Futures and Options / Saxo Bank
Trade idea background

We are initiating this 10 point wide vertical call spread on the E-Mini S&P 500 with the assumption that the index will trade largely sideways over the next two weeks. We would therefore benefit from the neutral view of the market and the time decay of the option sold. Although a rally in the underlying index will hurt our trade, our losses are limited to the width of the calls spread minus the credit received. 

  Source: Saxo Bank

Management and risk description

*The trade requires an expert level approval from Saxo Bank

Both the profit and the loss in a vertical call spread are well-defined. If the underlying price moves above the short strike price before or at expiration, we could be assigned on the short call. At the same time we could exercise our long call in a "same day substitution". The E-Minis options are American-style.


Underlying Price: 2100 

Sell 1 ESM6 2125 Call at $7 June 16 (17 days to expiration)
Buy 1 ESM6 2135 Call at $4.25
Net Credit  $2.75

Maximum Profit (at expiration) = $2.75 x 50 x 1 ( $137.50/contract)

Maximum Loss (at expiration) = $7.25 x 50 x 1 ( $362.50/contract)

ROR= 137.50/362.50 = 38%

Entry: Today.

Stop: No stop. 

Target: Underlying to trade below short strike price. 

Time horizon: 17 days.

— Edited by Susan McDonald

Non-independent investment research disclaimer applies. Read more


The Saxo Bank Group entities each provide execution-only service and access to permitting a person to view and/or use content available on or via the website is not intended to and does not change or expand on this. Such access and use are at all times subject to (i) The Terms of Use; (ii) Full Disclaimer; (iii) The Risk Warning; (iv) the Rules of Engagement and (v) Notices applying to and/or its content in addition (where relevant) to the terms governing the use of hyperlinks on the website of a member of the Saxo Bank Group by which access to is gained. Such content is therefore provided as no more than information. In particular no advice is intended to be provided or to be relied on as provided nor endorsed by any Saxo Bank Group entity; nor is it to be construed as solicitation or an incentive provided to subscribe for or sell or purchase any financial instrument. All trading or investments you make must be pursuant to your own unprompted and informed self-directed decision. As such no Saxo Bank Group entity will have or be liable for any losses that you may sustain as a result of any investment decision made in reliance on information which is available on or as a result of the use of the Orders given and trades effected are deemed intended to be given or effected for the account of the customer with the Saxo Bank Group entity operating in the jurisdiction in which the customer resides and/or with whom the customer opened and maintains his/her trading account. When trading through your contracting Saxo Bank Group entity will be the counterparty to any trading entered into by you. does not contain (and should not be construed as containing) financial, investment, tax or trading advice or advice of any sort offered, recommended or endorsed by Saxo Bank Group and should not be construed as a record of ourtrading prices, or as an offer, incentive or solicitation for the subscription, sale or purchase in any financial instrument. To the extent that any content is construed as investment research, you must note and accept that the content was not intended to and has not been prepared in accordance with legal requirements designed to promote the independence of investment research and as such, would be considered as a marketing communication under relevant laws. Please read our disclaimers:
- Notification on Non-Independent Invetment Research
- Full disclaimer

Check your inbox for a mail from us to fully activate your profile. No mail? Have us re-send your verification mail