Opening (IRA): SPX Oct 18th -5590P/Nov 15th 5590P Calendar... for a 30.15 debit.
Comments: Opening a calendar here at or near ATH's and in (fairly) low IV.
Selling the front month 40 delta put and buying the back month same strike put. I'm indicating that the setup is bearish, but it's starting as basically neutral from a delta standpoint with the metrics being .08 long delta/13.22 theta, but will benefit from movement into the put strikes, as well as any accompanying IV expansion that occurs.
Peak profitability of this setup generally occurs when the stock price falls to the strikes near the expiration of the short option, but calculating the max profit is impossible due to the expiration of the short put leg before the long put leg coupled with any rolls of the short put that might be undertaken to reduce cost basis of the setup. Conversely, max loss starts out as what you paid to get filled for the setup, but you'll generally have a few rolling opportunities of the short put to reduce cost basis further in the event that it doesn't hit your take profit before the short put reaches expiration.
Here, I'll look to money/take/run at 10% of what I put it on for and look to roll out the front month on approaching worthless to the following week to reduce cost basis in the setup.
