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Ironcondor

Iron Condor $UAL (10 Days to Exp.)Hey Traders, I'm mostly testing out neutral strategies with small positions to add to a separate portfolio dedicated to market neutral strategies. The position is as follows. Option Strategy: Iron Condor Position Expiration: 21 APR 17 (Red Vertical Line / 10 Days to Exp -1.05% .) Total Legs: 4 Total Contracts held: 16 Position Breakeven Points: $63.74 / $71.26 Upper Leg: - Short (4) $71 Strike Calls - Long (4) $71.5 Strike Calls Lower Leg: - Short (4) $64 Strike Puts - Long (4) $63.5 Strike Puts Max Loss: $124.00 Max Win: $74.00 ROI: 59.67% Trade Management: Holding to expiration for premium / max loss. Reason for such management is the exceptional return on capital invested along with the fact that the expiration crosses over earnings for which I don't expect a wild move. In the small case there is a wild move then loss is mitigated and capped at a set rate that I'm willing to accept.
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by Daniel.B
5
TRADE IDEA: KMX APRIL 21ST 50/52.5/60/62.5 IRON CONDORKMX announces earnings on 4/6 before market open, so look to put on a play before tomorrow's New York close to get in on a volatility contraction play (six month implied volatility percentile is around 100, with background implied at 47). Here's the metrics for this puppy: Probability of Profit: 50% Max Profit: $113/contract Max Loss/BP effect: $137/contract Break Evens: 51.37/61.13 Theta: 2.90 Delta: .45 (neutral) Notes: Here, I've gone in a little bit tighter (around 30 delta for the shorts) to bring in a little more credit and am keeping the wings somewhat tight because, well, it's a piece of crap with monthlies only, so I don't want to hang a lot of BP out there if it causes me trouble because I'll have to roll from month to month.
NYSE:KMX
by NaughtyPines
OPENING: NKE MARCH 31ST 54.5/58.5/59/63 IRON CONDOR... for a 2.23 credit. (Earnings volatility contraction play). Metrics: Probability of Profit: Coin Flip Max Profit: $223/contract Max Loss/Buying Power Effect: $177/contract Break Evens: 56.27/61.23 Notes: I filled this at open, but price has moved down somewhat, so you may want to adjust the setup by a half strike or so. In any event, this thing's so narrow, that's it's almost an iron fly, so I'll look to manage at 25% of max profit.
NYSE:NKE
by NaughtyPines
OPENING: BBY MARCH 10TH 38/42/47.5/51.5 IRON CONDORBBY announces earnings tomorrow before market open, so look to put on something today before market close to take advantage of the ensuing volatility contraction. Implied volatility rank is currently at 92 over the preceding six months, with implied volatility just shy of the 50% mark. I compared and contrasted going with my standard 20-delta iron condor, as well as a full on iron fly. Here, I'm selling the 30-delta shorts as a sort of compromise ... . Metrics: Probability of Profit: 57% Max Profit: $163/contract Max Loss/Buying Power Effect: $239/contract Break Evens: 40.39/49.11 Delta: -2.39 Theta: 9.03
NYSE:BBY
by NaughtyPines
TRADE IDEA: ATVI FEB 17TH 34/38.5/40/44.5 IRON CONDORATVI announces earnings tomorrow after market close, so look to put on a play in the waning hours of the NY sesh ... . Its implied volatility rank is >70%, and its background volatility is on the cusp of 50% ... . Metrics: Probability of Profit: 50%* Max Profit: $231/contract Max Loss/Buying Power Effect: $219/contract Theta: 11.33/contract Delta: -2.47/contract BE's: 36.19/42.31 Notes: * -- The body of this is so narrow such that it's almost an iron fly; hence, the piss poor POP%. I considered doing the standard 20-delta iron condor here, but just couldn't squeeze out enough credit to satisfy me. I'll basically look to treat it like an iron fly, and look to take it off at 25% max profit.
NASDAQ:ATVI
by NaughtyPines
3
OPENING: SPY APRIL 21ST 211/214/234/237 IRON CONDORI tweaked the setup a bit from yesterday, and got filled for a 1.01/contract credit. Metrics (Currently): Max Profit: $106/contract Max Loss/Buying Power Effect: $194/contract Break Evens: 212.94/235.06 Delta: -5.65/contract Theta: .71/contract Notes: I probably could have been a touch more patient and gone with a fill slightly above the mid. In any event, shooting for 50% max profit .... . Basically, what I do with these is watch the position's net delta throughout its "life time" and make adjustments if necessary to delta balance (usually, rolling the "untested" side toward the "tested" side). Otherwise, I leave it alone.
AMEX:SPY
by NaughtyPines
1
TRADE IDEA: GDXJ FEB 17TH 30/36/37/45 IRON CONDOR/FLYThere isn't much non-earnings stuff out there that has both high implied volatility rank and high implied volatility. This is one of them. Here I'm going with an extremely narrow iron condor, such that it's almost an iron fly ... . Metrics: Max Profit: $338/contract Max Loss/Buying Power Effect: $462/contract Break Evens: 32.62/40.38 Notes: I'm going to treat this as a fly for purposes of take profit and look to get 25% max.
AMEX:GDXJ
by NaughtyPines
TRADE IDEA: SPY APRIL 21ST 209/212/235/238 IRON CONDORGoing out to April for my core index exchange-traded fund position, since volatility "locally" (<45 DTE) blows here. Very close to getting 1/3rd the width of the wings; it'll have to do ... . Metrics: Probability of Profit: 54% Max Profit: $92/contract Max Loss/Buying Power Effect: $208/contract Break Evens: 211.08/235.92 Theta: .67/contract Delta: -5.34/contract Notes: Here, I'm setting up my short options at the 20 delta strike, and the long options three strikes out from those. Looking to manage at 50% max profit.
AMEX:SPY
by NaughtyPines
OPENING: SPY MARCH 17TH 205/208/234/237 IRON CONDORI used to do a lot of SPY, IWM, QQQ, and DIA iron condors as a core position, but temporarily wandered away from those given how sporadic the implied volatility has been in these underlyings. Additionally, they have nonexistent "engagement value" (i.e., they're boring), and I haven't been able to get decent premium out of 45 day setups. Because implied volatility is so low right now, I went out to the first expiry in which I could get something approaching a 1.00 credit for a 3-wide, 20-delta setup. Here, though, I actually went a touch wider (the short options are around the 16 delta strikes). Metrics: Probability of Profit Percentage: 59% P50: 75% Max Profit: $94/contract Max Loss/Buying Power Effect: $206/contract Break Evens: 207.06/234.94 As with all of these, I'll look to manage the setup at 50% max profit.
AMEX:SPY
by NaughtyPines
ROLLING: IWM DEC 16TH 116/119/121/124 IRON CONDOR ... ... to JAN 20TH 119/122/125 iron fly for a .01 net credit. With the short put side of the Dec 16th iron condor nearing worthless and rolling intra-expiry to a fly not particularly productive, I'm rolling this out to the Jan expiry, improving the call side a strike and rolling the put side into a fly, "keeping the dream alive." Rolling is never fun, but it's the nature of the beast if you do not want to just take the loss and walk away. This is one that will probably have to be worked a couple of cycles to get to scratch ... . IWM/RUT has just ripped brutally to the upside ... .
AMEX:IWM
by NaughtyPines
COVERING: IWM JAN 20TH 119/122/144/147 IRON CONDOR... for a .35 debit. Here, I'm "cherry picking" profitable spreads from other iron condors or spreads I layered on in this expiry over time to get a combination that I can take off in profit. The 119/122 short put vert was opened on 11/22 for a .36 credit and the 144/147 on 12/12 for a .34 credit, for a total of .70 ($70) in credits, so I'm basically taking this off at 50% max profit here. Taking a little bit of risk off the table ... .
AMEX:IWM
by NaughtyPines
OPENING: LULU DEC 16TH 49/52/64/67 IRON CONDOR... for a .92 credit. Truth be told, I chased a bit. It announces earnings tomorrow after market close, but just wanted to get into play, since there isn't much premium out there to be sold, and I won't have time to putz with it tomorrow. Here are the mid price metrics: Probability of Profit: 61% Max Profit: $94 Max Loss/Buying Power Effect: $206 Break Evens: 51.06/64.94 I'll look to manage this at 50% max profit on the post-earnings volatility contraction.
NASDAQ:LULU
by NaughtyPines
1
OPENING: IWM DEC 23RD 135/138 SHORT PUT VERTHere, I'm opening a short call vertical to pair with a short put vertical that I originally put on as a delta hedge. IWM, after all, is looking overextended, toppy here, and I want to have more short delta in place for my overall IWM position if the election "exuberance" begins to wear thin. I filled the spread for a .52 ($52)/contract credit and will look to take off the now complete iron condor as a unit at 50% max profit if I get the chance. Notes: I generally don't leg into iron condors as a matter of course, but it just so happened that I had more "put side" units than "call side" units. This balances that out.
AMEX:IWM
by NaughtyPines
ROLLING: IWM DEC 9TH 116.5/119.5/123.5/126.5 IRON CONDOR ... ... to Dec 9th 124/127/127/131 Iron Fly for a .47 ($47)/contract credit. I figured I had to do something here to improve the prospects of this broken iron condor. I first rolled the short call vert side from the 116.5/119.5 short call vert to the 127/131. The only way to get a credit from this intra-expiry roll was to widen the spread by one strike. And then rolled the short put side up to the 124/127, creating an iron fly. In order for this setup to have a "perfect finish," price will have to roll back into the "body" of the setup toward expiry. If it doesn't, I'll roll the short call side out again, improve the strikes if I can, and sell the short put side against for a credit such that the cost of the roll is "net credit." Just can't believe that IWM won't give up some of this post-election up-move ... at some point.
AMEX:IWM
by NaughtyPines