S&P Jan 3120/3020 PS-S&P 3170/3220 CS with 58 days to expiry -36.2 Delta
If you’re looking for some value protection up here in the S&P, this Call Spread/Put Spread switch is trading with a Z-Score of -0.87 looks decent value at around 8.4. Sell the 50 wide 50 out Call Spread to buy a 100 wide Put Spread. The Skew allows the trade to be weighted in favor of the Puts 100 versus the 50 risk on the out of the money Call spread.
Booked for tracking
