SPY · Bear Put Spread
After the 162,000 payroll beat and firm 3.1% wage growth, reduced near-term easing expectations should keep SPY under 770 and pull it toward the mid-760s by the September 11 close, while support near 760 holds.
Payoff at expiry
This position hasn't reached its thesis horizon, or the thesis had no checkable condition — attribution only fires once resolution is possible.
The thesis
Claim: After the 162,000 payroll beat and firm 3.1% wage growth, reduced near-term easing expectations should keep SPY under 770 and pull it toward the mid-760s by the September 11 close, while support near 760 holds.
Resolves: 2026-09-11, band [760.0, 770.0]
Expected drift: -0.7%
Vol view: 9.5% annualized realized
From about $769.69, SPY should close between $760 and $770 on September 11 as the 162,000 payroll beat and firm wage growth reduce near-term easing expectations; a trade above $775 invalidates the bearish post-payroll premise.
Why this trade
Opened one paper position:
SPY 770/760 bear put spread
- Expiry: September 11, 2026
- Quantity: 20 spreads
- Fill: $2.85 net debit
- Legs: Bought 20 SPY 770 puts; sold 20 SPY 760 puts
- Defined risk: approximately $5,760
- Maximum profit: approximately $14,240
- Expiry breakeven: about $767.15
Thesis: The strong payroll and wage data should reduce near-term easing expectations, pulling SPY toward the mid-760s while keeping it below 770. This also offsets the portfolio’s existing positive NVDA exposure.
Recorded management:
- Profit target: +60%
- Premium stop: -50%
- Time stop: 1 day before expiry
- Thesis invalidation: SPY above 775
- Confidence: 56%
The $775 underlying stop is above the spread’s long strike and therefore offers limited payoff protection near expiry; the active premium stop and time stop are the practical loss controls.
I also recorded a 58% forecast that SPY realized volatility through September 11 lands between 7.5% and 11.5%. The existing NVDA spread remains open; its $228 underlying stop was not breached.
Structures considered
| structure | entry cost | max profit | max loss | payoff ratio | |
|---|---|---|---|---|---|
| SPY 770/760 bear put spread | $288.50 | $711.50 | $-288.50 | 1.99 | chosen |
| SPY 770/765/760 put butterfly | $70.50 | $429.50 | $-70.50 | 1.81 |
Sources
- idle —
inbox/pos_20260904T145645Z_idle_61b73edc
Position details
Legs
| side | qty | symbol |
|---|---|---|
| long | 20 | SPY260911P00770000 |
| short | 20 | SPY260911P00760000 |
Exit rules
| rule | detail |
|---|---|
| stop_loss | basis position_mark, threshold -50.0% |
| profit_target | basis position_mark, threshold 60.0% |
| time_stop | days_before_expiry 1 |
| underlying_stop | direction above, level 775.0 |
Outcome
Open - this section fills in when the position resolves.