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Ironcondor

SOLD JUNE 24TH SPX 2020/2030/2145/2155 IRON CONDORKeeping with the short term engagement trade theme here while I wait for some volatility to sell premium in something ... anything ... (currently, there is no fairly liquid underlying with an implied volatility rank of greater than 70 to work). Metrics: Probability of Profit: 58% P50: 77% Max Profit: $310/contract Max Loss/Buying Power Effect: $690/contract Theta: 8.99/contract Delta: -3.62/contract Notes: I'll look to take this off at 50% max profit or earlier if something pops to the forefront with decent volatility ... .
FX:SPX500
by NaughtyPines
2
TRADE IDEA: SPX JUN 15TH 2000/2010/2120/2130 IRON CONDORWith few "new" premium selling opportunities available, I'm looking to put on a short-term engagement trade that I will bail out of at the first sign of trouble (or, more likely, the first sign of profit). Metrics: Probability of Profit: 63% P50: 68% Max Profit: $310/contract Max Loss/Buying Power Effect: $690/contract Theta: 10.61/contract Delta: -2.98/contract Notes: I generally don't like to put on a premium selling setup in a low volatility environment, but I'm collecting nearly 1/3rd the width of the wings here in credit and the theta (10.61) rates as "drop dead gorgeous sexy." Moreover, the "lay" of the strikes here is good from a charting aspect, with the short call slightly above the 2016 high and the short put below that pesky 2040 resistance ... . Depending on how things go, I may also consider putzing with strategically and repeatedly rolling the short call side out and to the 75% probability out-of-the-money strike and the short put side out to the 85% probability out-of-the-money strike at particular intervals or when it's profitable to do so.
FX:SPX500
by NaughtyPines
ROLLING SPY MAY 27TH 208/212 TO JUNE 10TH 209/213More housekeeping ... . With 4 DTE and this 30 handle upmove, this is one of those "too close for comfort" rolls. Truth be told, I'll probably end up rolling it again if we don't come off of this 208 level with some vengeance, but only time will tell. In any event, I got a $40/contract credit for the roll ... . To protect the rolled short call vertical from further upmove, I also sold a June 10th 199/202 short put vertical against it for an additional $27 credit, yielding a June 10th 199/202/209/213 iron condor. And we'll see how that goes ... .
AMEX:SPY
by NaughtyPines
TRADE IDEA: SPX JULY 8TH "CLASSIC 85/75" IRON CONDORThis particular setup I consider the "classic" delta neutral index IC setup, with the short put at the 85% probability out-of-the-money strike and the short call at the 75% probability out-of-the-money short call. The short call is placed closer in to current price to accommodate skew and on the general assumption that "velocity" of movement is generally greater to the downside than to the upside (which is why puts in these instruments are generally more expensive than similarly distant out-of-the-money calls), as well as to give you a largely "delta neutral" setup. Additionally, you're receiving approximately 1/3rd the width of the $10 wings in credit for the whole shebang, which is generally what you're ideally shooting for in these ... . In any event, here are the metrics for the setup: Probability of Profit: 60% Max Profit: $335/contract Max Loss/Buying Power Effect: $665/contract Theta: 4.94/day/contract Delta: -2.04/contract Notes: As usual, look to take the entire setup as a unit at 50% max profit. As a total side note, as your account size grows, at some point you will need to consider transitioning away from the smaller index instruments like SPY, IWM, and QQQ to the larger SPX, RUT, and NDX. You can naturally continue to scale up your trade size by increasing the number of contracts and/or widening the wings of your setups. However, increasing the number of contracts also increases fees/commissions. Additionally, widening the wings only goes so far, since -- at some juncture -- the long options really get too cheap and can go "no bid" during the life of the trade, causing you headaches with exiting the spread cleanly as a unit (usually, where that occurs, your only choice is to exit the short option of the spread first, and then wait for an opportunity to take off the long when it's bid again or wait until expiry when it will expire worthless). Naturally, an interim step between trading SPY and the larger SPX using strictly defined risk setups can be to go short strangle ... .
FX:SPX500
by NaughtyPines
TRADE IDEA: IWM JULY 1ST 100/103/114/117 IRON CONDORLayering on a bit more bread on my butter while VIX>15 ... . This is about as full a boat as I like to have (not <25% in cash), so I may not be posting many new trade ideas here for a bit; most of them will be closing trades. I know ... boring ... . Metrics: Probability of Profit: 58% P50: 65% Max Profit: $102/contract Max Loss/Buying Power Effect: $198/contract Theta: 1.56/contract Delta: -4.62/contract Notes: You know the drill ... . Look to take this off at 50% max profit ... .
AMEX:IWM
by NaughtyPines
TRADE IDEA: IWM JULY 15TH 101/104/117/120 IRON CONDORAfter having looked at iron condors in all the index ETF's, IWM presents the best metrics for a nearer in time setup (my ordinary "thang" is to go >90 days out if VIX is <15, as it is here and <45 DTE if VIX >15). Metrics: Probability of Profit: 57% P50: 69% Max Profit: $93/contract Max Loss/Buying Power Effect: $207/contract Theta: 1.07/contract Delta: -3.56/contract Notes: I tried to squeeze out 1/3rd the width of the wings in credit, but didn't want to go any narrower here (the short options are at or near the 75% probability out-of-the-money strike). I'll look to take it off at 50% max profit.
AMEX:IWM
by NaughtyPines
TRADE IDEA: AUG 19TH 188/191/217/220 IRON CONDORAs previously discussed in my post below, there are several things you can do in a "locally" low volatility environment, one of which is to sell premium farther out in time. If you look at SPY's implied volatility in the June, July, and August monthlies, you'll see that there is a natural gravity toward normalization or reversion of implied volatility to a background level of around 20%, with June having an implied volatility of 16.4%; July, 17.6%; and August, 18.6%. It gets more toward 20% in September (19%) and December (21%), but I don't want to go farther out than two cycles (a lot can happen in two options cycles, and I naturally want to keep buying power free in closer-in-time expirations to take advantage). Here are the metrics for this setup: Probability of Profit: 51% P50: 68% Max Profit: $109/contract Max Loss/Buying Power Effect: $191/contract Theta: .64/contract Delta: -3.32/contract Notes: Additionally, I foresee pulling off several SPY setups in profit in the next few days, as we are less than two weeks away from May opex where I've got a variety of setups on, and I don't want to get behind the curve with keeping a certain measure of positive theta on here. It ain't sexy, but bread and butter ain't sexy ... .
AMEX:SPY
by NaughtyPines
TRADE IDEA: SPY JUNE 17TH 193/196/212/215 IRON CONDORWith VIX above 15, I'm layering on some additional SPY in the June monthly here ... . Metrics: Probability of Profit: 54% P50: 71% (explained below) Max Profit: $100/contract Max Loss/Buying Power Effect: $200/contract Theta: 1.53/contract Delta: -3.97 Notes: The overall probability of profit for the setup is quite low. However, the P50 -- the probability that the setup will reach 50% max profit sometime prior to expiry-- is 71%, which I'm more than satisfied with since I'm getting one-third the width of the spreads for the setup. The other thing is that I already have several iron condors on in that expiry, so I can "mix and match" the short call spreads of one iron condor with the short put spreads of another to peel them off should I want to do that at some point ... .
AMEX:SPY
by NaughtyPines
TRADE IDEA: IWM JUNE 17TH 102/105/115/118 IRON CONDORI don't have an IWM setup on at the moment and with the highest implied volatility among the four index exchange traded funds (SPY, IWM, QQQ, and DIA), this is the place to sell broad market premium ... . Moreover, with similar percentage out-of-the-money strikes, I'm getting almost exactly as much bang for my buck as the June 17th SPY iron condor (see Post Below). Metrics: Probability of Profit: 55% P50: 68% Max Profit: $99/contract Max Loss/Buying Power Effect: $201/contract Theta: 1.50/contract Delta: -4.14/contract Notes: As with the SPY iron condor, the probability of profit ain't that great. However, I'm getting 1/3rd the width of the wings, and the probability of hitting 50% max at some point during the life of the setup (P50) is 68%. Moreover, I'll look to layer a few of these on over time in the June 17th expiry, assuming VIX >15, and mix and match short call sides with short put sides to take them off in profit ... .
AMEX:IWM
by NaughtyPines
SOLD TO OPEN EWZ MAY 20TH 17.5/20.5/29.5/32.5 IRON CONDORGoing to where the volatility is to sell premium, and that's in EWZ (implied vol rank >70/implied vol is >50). (Plus, I'm kinda ticked that I screwed up closing out that rolled EWZ setup without checking the trade chain ahead of time ... ). In any event, here are the metrics for the setup: Probability of Profit: 74% Max Profit: $66/contract Buying Power Effect: $234/contract Notes: I'm continuing to go with small defined risk setups here. EWZ has been "hot" volatility wise, and I may want to layer on additional setups going forward in the instrument, dispersing risk over several expiries. I also want to keep powder dry for broad market premium selling plays and/or additional long volatility setups, depending on which way the market goes ... .
AMEX:EWZ
by NaughtyPines
VIX >15 MAY WARRANT LOOKING AT ROTATING BACK INTO INDEX ETF'SOrdinarily, when VIX is below 15, I look to get in on long volatility plays, and I piled into them mightily on the sub-13 dip, loading myself up on them, thus spoiling my appetite to partake of earnings in any meaningful fashion. Now, however, with VIX starting to rotate into +15 territory (today's high was 17.09), I'll turn my attention back to at least looking at index ETF premium selling plays, although -- as always -- higher volatility means higher premium, and VIX at 15.15 isn't actually the index ETF premium selling bonanza we had in mid-December, mid-January, and mid-February. As of right now, QQQ offers the highest IV out of the four major index ETF's, and my standard, put-skewed iron condor setup (e.g., June 10th 96.5/99.5/110/113; 65% POP; $216 max risk) is offering up $84/contract at the mid price, which isn't horrible (using a four-wide instead will yield $100/contract at the mid price with a $300 max risk). As always, I'll go in small, keeping powder dry for further opportunities to go long VIX/VIX derivatives (if VIX fades here) or other index ETF setups (if VIX continues to rise).
CBOE:VIX
by NaughtyPines
TRADE IDEA: SPY JULY 15TH 188/191/217/220 IRON CONDORGoing a bit bonkers here with the lack of <45 DTE premium selling setups in the index ETF's, but doing my best to stay mechanical here. My general cycle is that when VIX drops below 15, I look for (a) setups in index ETF's >90 DTE, as that is when implied volatility begins to return to regularize or return to a general background value; (b) look for long setups in VIX or VIX derivatives; and (c) do earnings plays. When VIX rises meaningfully above 15, I cycle back into <45 DTE index ETF setups. Sticking to the "script," I'm looking for a fill of this setup at NY open, trading off a bit of profitability of profit percentage for credit nearly equal to one-third the width of the wings. Naturally, going out this far in time isn't that much fun, because it seems like you're waiting an awfully long time before these come to fruition. Nevertheless, it beats leaving your buying power out there unengaged waiting for a volatility pop that may occur tomorrow or three months from now ... . I'll look to take this off at 50% max profit. Metrics: Probability of Profit: 53% Max Profit: $93/contract Buying Power Effect/Max Loss: $207/contract
AMEX:SPY
by NaughtyPines
3
TRADE IDEA: IWM 102/105/114/117 IRON CONDORPutting some index ETF premium selling action on in the May expiry in IWM, the index ETF with the highest IV. Metrics: Probability of Profit: 55% Max Profit: $97/contract Buying Power Effect: $203/contract Notes: This is one of those probabilistic iron condors I referenced in the post below, with the strikes being selected based on their probability of expiring out of the money percentage. It's not what I usually like to go with in terms of probability of profit (70%+ is ideal), but I'm looking to eek out one-third the width of the wings in credit here ... .
AMEX:IWM
by NaughtyPines
TRADING IDEA: IWM 101/105/113/117 "PROBABILISTIC" IRON CONDORThere are several different ways to set up iron condors, one of which is to set it up using given strikes' percentage of being out of the money at expiration; another way is to set up the IC using the delta values for each individual option. In this particular case, I'm using the "probabilistic" method. In this particular case, each long option is about at the 15% probability ITM strike and each short option is about at the 70% probability out of the money strike. This relieves me of having to look at each individual option's delta and tweaking this and that to get a fairly delta neutral setup. The additional criteria I'm using for this particular setup is that I attempt to get at least 1/3rd the width of spread in credit. Since the wings are four strikes wide, I'm looking to get at least 1/3rd of the width or about 1.33 in credit for putting it on. These are the metrics for the setup: Probability of Profit: 52% Max Profit: $140/contract Max Loss/Buying Power Effect: $260/contract Delta: -6.45 Notes: Unfortunately, with volatility this low in the broad market, twisting premium out of index ETF's is difficult here (even though IWM is the "best of the bunch") ... . This is why you always go small, dispersing risk across a large number of setups put on at different times in different expiries and at different price points.
AMEX:IWM
by NaughtyPines
BOUGHT AMZN 552.5/557.5/617.5/622.5 TO CLOSEClosing out this fella here at 26% max profit ... . Wasn't my favorite kind of trade to put on (IVR wasn't high enough for me, frankly), so I'm taking what little money there is and running to free up buying power for approaching earnings. Nothing's worse than being in a trade you hated from the get go and then having it go sour on you ... . (Originally opened for a $96 credit; closed here for a $72 debit, so about $18 profit/contract, after all was said and done with fees and commissions).
NASDAQ:AMZN
by NaughtyPines
ROLLING IUX/RUT APRIL 15TH 1075/1085/1105/1120 IC... to April 15th 1060/1080/1110/1135 iron condor. The short put side and short call sides were rolled separately: the put side for a .48 credit and the call side for a .59 credit. Notes: I widened the spreads on both sides here (rolling the short call up and the short put down) to increase the probability that I will be able to exit either one or both sides at or near max profit some time prior to expiration. A word of caution is in order: widening the spread increases the profit potential of the spread, but it also increases max loss. As a general matter, I only use widening as a last resort in rolling where I simply cannot get enough credit from the sale of an oppositional side to offset the roll of the tested side adequately. Here, I'm doing it largely for practical reasons: first, I want to insure that at least one side is not "too close for comfort" such that I have to roll both sides out (i.e., I want to be able to close at least one side for near max profit); second, I may not be able to watch the setup attentively next week to be able to take advantage of a short-term move ... .
I
by NaughtyPines
TRADE IDEA: MON APRIL 15TH 76.5/81/93.5/98 IRON CONDORMON announces earnings on Wednesday before market open, so look to put on your play on Tuesday in the waning hours and minutes of the NY session. As with all earnings plays, you may have to tweak your strikes somewhat, depending on how MON moves running into the end of the session. Here are the metrics for this defined risk setup: Probability of Profit: 69% Max Profit: $63/contract Buying Power Effect/Max Loss: $387/contract Alternatively, you can go short strangle: MON April 15th 81/93.5 short strangle Probability of Profit: 72% Max Profit/Buying Power Effect: $99/~$1140/contract Notes: Because we're just at the beginning of earnings season, I'm looking to manage my capital a bit more efficiently here and will probably use the iron condor because it's defined risk and the per contract buying power effect is easier to swallow than that of the short strangle ... . Additionally, the broad market is in a low volatility environment here, and I don't want to have a bunch of buying power tied up with earnings plays in the event we get a volatility pop such that I can wade back into 45 DTE index ETF setups.
M
by NaughtyPines