Acorn Update: SPY Straddle
Our hedge against a breakdown in the crowded dispersion trade
As mentioned in the Monday Morning Notes, we are re-setting the SPY straddle, referencing the close today.
Strike: $512 (put and call)
Expiry: March 15th (we will probably roll this to April 19th this coming Friday - some readers may prefer to go straight there)
Total premium: $8.825 ($882.50 per contract pair)
Link to OptionStrat worksheet via clicking th…