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Ironcondor

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 ... .
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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
SOLD RUT/IUX APRIL 15TH 1075/1085 SHORT PUT VERTICALAfter buying back the short put vertical side of this short duration iron condor yesterday at 50% max, I'm resurrecting the short put side here to hedge against the possibility of further upside in the Russell. The setup is rather tight, with a scant 20 strikes between my short options, but the model is telling me that the 1075/1085 short put vert has a 70%+ probability of profit for that expiry, so that's what I'm mechanically going with. Filled for a 1.41 credit ($141/contract). I'll look to take the entire setup off in profit or the wings one at a time ... .
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by NaughtyPines
TRADING IDEA: LULU APRIL 8TH 54/68.5 SHORT STRANGLEI'm going to go with a nondirectional bias here (pretty much always do). Here are the metrics for both a run of the mill one standard deviation short strangle, as well as an iron condor: April 8th 54/68.5 short strangle Probability of Profit: 70% Max Profit: 1.30/contract ($130) Buying Power Effect/Max Risk: ~$616/undefined Break Evens: 55.30/67.20 April 15 50/54/68.5/72.5 iron condor Probability of Profit: 68% Max Profit: 1.00/contract ($100) Buying Power Effect/Max Risk: $301/contract Break Evens: 53.01/69.49 Notes: I had to go a touch farther out in time for the iron condor to get the long options strikes I wanted, but it'll still yield about $100/contract ... . Look to take either setup off at 50% max profit on the volatility contraction that is likely to occur post earnings.
NASDAQ:LULU
by NaughtyPines
1
SOLD TO OPEN APRIL 15TH RUT/IUX 1025/1035 SHORT PUT VERTAfter closing the short put wing yesterday for a small profit and rolling the short call wing up and out a week for an additional credit, I'm selling a 1025/1035 short put vertical in the same expiry as the rolled out call wing to complete an April 15th 1025/1035/1105/1120 iron condor. I'm still playing a little bit with the percentage of max profit to either take the whole setup off or an individual wing off. Ordinarily, I take off the entire setup as a unit at 50% max profit, but I regard these short term setups kind of like scalps, so have been taking them off at lower profit percentages (money, take, run ... ). Filled for a 1.21 ($121) credit ... .
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by NaughtyPines
SOLD RUT/IUX APRIL 8TH 1100/1110 SHORT CALL VERTICALAfter closing the short call wing of my original iron condor, I rolled out the short put wing down one strike and out one week to the April 8th expiry to give it a little more room and a little more time. I'm just matching that rolled out side with a new call wing to hedge, resulting in an April 8th 1050/1060/1100/1110 iron condor. Since I rolled out the short put size for a miniscule debit ($4), I'll look to take off the entire setup at 50% max profit or either side when it approaches near worthless ... .
I
by NaughtyPines
BOUGHT TO CLOSE RUT/IUX APRIL 1ST 1120/1130 SHORT CALL VERTWith this little down move here, I closed out the short call side of my RUT/IUX iron condor -- the April 1st 1120/1130 short call wing. The short call wing of the iron condor was worth approximately $166 in credit/contract when put on as part of the iron condor, and I closed it out today for a $40 debit, yielding a profit of about $126/contract for that side. To give the put side a little more time and room to work out, I rolled it out and down to the April 8th expiry for a $4 debit and will erect a new call wing in the April 8th expiry tomorrow ... .
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by NaughtyPines
APRIL 1ST RUT/IUX 1055/1065/1120/1130 IRON CONDORBack to short duration trades post-FOMC/post-Draghi ... . Metrics: Probability of Profit: 65% Max Profit: ~$260/contract Buying Power Effect: $729/contract, Defined Risk Notes: You will want to try to get a fill slightly above the mid with this instrument; I would shoot for .05 ($5) above the mid and see if you get a fill and then adjust the fill price if you don't. I've been looking to take these off at 25% max and move on ... .
I
by NaughtyPines
TRADE IDEA: NKE APRIL 1ST 60/70 SHORT STRANGLEHere are the metrics for the setup: Probability of Profit: 73% Max Profit: $100/contract Buying Power Effect/Risk: $846/contract; Undefined Risk Break Evens: 59/71 Alternative: April 15th 56.5/60/69/72.5 iron condor Probability of Profit: 61% Max Profit: $100/contract Buying Power Effect/Risk: $250/contract; Defined Risk Break Evens: 59/70 Notes: As you can see, there are pros and cons to the short strangle versus the iron condor. The short strangle has a higher probability of profit, but requires more buying power and the risk is undefined. The iron condor has a fairly nice defined risk buying power metric of $250/contract, but the probability of profit is less (and I had to go farther out in time in order to get decent long options; the longs in the April 1st expiration at basically the same strikes were "no bid" on one side or the other ... ). The break evens of both setups are nearly identical, however.
NYSE:NKE
by NaughtyPines
TRADE IDEA: SPY JUNE 17TH 177/181/215/219 IRON CONDORWhen volatility is low such as it is now in shorter term expiries, you have a couple of different choices when selling premium in broad-based market instruments like SPY, IWM, QQQ, and DIA: (a) sit on your hands, waiting for volatility to pop to a level such that less-than 45 DTE setups are more profitable; or (b) look farther out in time for volatility to "regularize" in more time-distant expiries. (Naturally, there is nothing to prevent you from continuing to put on premium selling setups in this environment, but they're subject to the vagaries of volatility expansion, which is the opposite of what you generally want when selling premium). In this particular case, I'm looking to keep setups in queue in the event that this lower volatility hangs about for several weeks and, after looking at the implied volatility for April, May, and June, have concluded that implied volatility in SPY options doesn't begin to "regularize" until the June expiry: April's IV is 17.2%; May's, 18.7%; and June's, 19.9%, after which the IV%-age pretty much hangs around the 20% area for the remainder of the year. Here's the setup: June 17th 177/181/215/219 Iron Condor Probability of Profit: 61% Max Profit: $104/contract Buying Power Effect: $296/contract Notes: Naturally, this is quite far out in time, and a lot of stuff can happen between now and then. Consequently, I like to keep these longer dated setups small relative to my 45 DTE and under setups, so that I don't have a ton of buying power tied up while I'm waiting for the statistical probabilities to play out.
AMEX:SPY
by NaughtyPines