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Ironcondor

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 ... .
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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
SELLING GLD APRIL 15th 109/112/127/130 IRON CONDORTaking on a little bit of extra GLD risk here, primarily to finance the improvement of my short call side of my June 112/115/115/118 iron fly (using the .70 credit I hope to receive here to finance the roll of the 115/118 side of the iron fly to higher strikes (same expiry)). Here are the metrics for the setup: GLD April 15th 109/112/127/130 iron condor Probability of Profit: 66% Max Profit: $70/contract Buying Power Effect: $230/contract
AMEX:GLD
by NaughtyPines
BOUGHT TO CLOSE BIDU MAR 18TH 152.5/157.5/180/185 IRON CONDORClosed this setup at 50% max profit (for the rolled setup) ($62.58/contract). It doesn't entirely make up for my early bobble of BIDU's earnings announcement date (first they said it was 2/10; then it was 2/25), but I'll take it here going into Draghi/FOMC. Here's the entire chain: 2/25 Sold March 8th 132/137/177.5/182.5 iron condor for a $131 credit 2/26 Bought the 132/137 short put vert back for a $9 debit (post earnings announcement; near worthless) 2/29 Rolled the 177.5/182.5 short call vert to the March 18th 180/185 short call vertical for a $17 credit (price too close to short call strike with limited DTE) 2/29 Sold the March 18th 152.5/157.5 short put vertical for a $48 credit (this wasn't strictly necessary, since I received a credit for the roll of the short call side; I just wanted some protection there if price continued to shoot off into the ether). 3/9 Bought to close the March 18th 152.5/157.5/180/185 Iron Condor for a $106 debit. Total credits minus total debits minus fees and commissions = $62.58/contract, not quite 50% max profit of the original setup, but close enough considering that I had to roll and that it was supposed to be one of those ideal "inzee/outzee" earnings plays ... .
NASDAQ:BIDU
by NaughtyPines
BOUGHT TO CLOSE MAR 18TH QQQ 99/102/107/110 IRON CONDORTaking some risk off the table while I can ... . This was part of a layered on arrangement I had in QQQ in the March expiry, much as I did with SPY. Here's the trade chain from head to toe: 2/2 Sold March 18th QQQ 94/97/109/112 iron condor for a $110 credit 2/2 Sold March 18th QQQ 93/96/108/111 iron condor for a $112 credit (Don't ask me why I sold two setups the same day; I imagine there was somewhat of a large move that particular day such that selling a second setup made sense). 2/4 Sold March 18th 92/95 short put vertical for a $56 credit (sold on weakness) 2/5 Bought to close March 18th 109/112 short call vertical for a $16 debit (bought back on weakness/spread near worthless). 2/5 Bought to close March 18th 108/111 short call vertical for a $22 debit (bought back on weakness; spread near worthless). 2/16 Sold March 18th 106/109 short call vertical for a $41 credit (sold on strength) 2/17 Sold March 18th 107/110 short call vertical for a $49 credit (sold on strength) 2/22 Bought to close March 18th 92/95 short put vertical for a $26 debit (bought back on strength; spread near worthless) 3/1 Bought to close March 18th 93/96 short put vertical for a $9 debit (bought back on strength; spread near worthless) 3/2 Bought to close March 18th 94/97 short put vertical for a $10 debit (bought back on strength; spread near worthless) I should have bought to close here, as the "chain" was net in profit, but forgot to check when I was doing my Tuesday housekeeping trades. 3/7 Rolled the March 18th 106/109 short call spread to the 107/110 spread (same expiry) to merge the 106/109 with an existing 107/110 for a $34 debit 3/7 Sold March 18th 99/102 short put spread to finance the cost of the roll for a $74 credit 3/8 Bought to close March 18th 99/102/107/110 iron condor for a $176 debit I'm not going to do all the math here, but if you add up all the credits and subtract all the debits, the net profit after fees and commissions is about $100/contract ($99.89, to be exact), which is a little less than 50% max profit for the combination of the two original iron condors ... .
NASDAQ:QQQ
by NaughtyPines
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NDX/IUXX MAR 11TH 4190/4200/4420/4430 IRON CONDORAnother thing I'm going to do while waiting for volatility to return in the broader markets such that it makes sense to set up plays 45 days out is go short duration. While I'm not going to put this particular trade on because I have a short duration RUT/IUX iron condor that I rolled out to next week standing in as this week's short duration play (see Post below), at some point I figured I'd putz with the "big daddy of the indices" -- IUXX or NDX (RUT/IUX is the smallest, followed by SPX/SPX500, followed by NDX/IUXX). Here's a basic setup: NDX/IUXX Mar 11th 4190/4200/4420/4430 Iron Condor Probability of Profit: 63% Max Profit: $335/contract Buying Power Effect: $665/contract Notes: Like RUT or SPX plays, this is one that you want to fiddle with getting a fill above the mid price, since price can swing back and forth across that by +/- .20 given the wide bid/ask due to the price of the underlying. Hey $20 is $20 and if you're going 2 or 3 contracts or more, that little .20 swing can add up and be significant. I generally set price .10-.20 above the mid, see if it gets filled, wait a bit, adjust price slightly, etc. As with all iron condor setups, I look to take the play off as an entire unit if I can for 50% max profit or, if a single side is approaching worthless (.10 or less), I look to take that off first. In the event a side is breached, look to roll it out another week, improving strikes if possible, and selling an oppositional side against for at least a credit that exceeds the cost/debit to roll any tested side.
NASDAQ:NDX
by NaughtyPines
MARCH 4TH SPY IRON CONDORI'm layering these on with a particular price zone in mind between the .236 and .764 shown on this SPX 500 chart, but giving myself a bit more leeway to the downside from the outset. I can always delta balance the setup on the fly by rolling the short put side up a little bit within the same expiry as the trade progresses. March 4th SPY 180/184/203/207 Probability of Profit %: 62% Max Profit: 1.04/$104/contract Buying Power Effect: 2.96/$296/contract Break Evens: 182.96/204.04
FX:SPX500
by NaughtyPines
BIDU EARNINGS: MARCH 4TH 136/141/185/190 IRON CONDORBIDU announces earnings after tomorrow's close, so look to put a setup on in the waning hours of the NY sesh. Now that I've got the earnings date correct (they previously "tentatively" announced a 2/10 earnings release -- sooooo annoying), here's the metrics for the setup: BIDU Mar 4th 136/141/185/190 iron condor Probability of Profit: 70% Max Profit: $125/contract Buying Power Effect: $375/contract Notes: Naturally, you may need to tweak the setup given the underlying's price movement during the session ... .
NASDAQ:BIDU
by NaughtyPines
THIS WEEK'S OPTIONS EARNINGS PLAYS -- COSTFor all practical purposes, this quarter's earnings season is all but over. However, there is one last play I might do and that is in COST, which announces earnings on Tuesday after market close. Currently, it's implied volatility rank is 58 and its implied volatility is 26. Generally speaking, I like to see the rank in the 70% percentile, and this isn't quite there, but this is one of those underlyings that just never gets that volatile -- its IV has been between 20 and 30 or so for the past 90 days. I'll look to put on a play before NY market close on Tuesday, and I'll post a play (most likely an iron condor given the price of the underlying) some time during Tuesday's NY session. Preliminarily, this looks like the approximate setup I'll use, although tweaking may be required as price moves on Monday and Tuesday: March 11th 137/142/157.5/162.5 Probability of Profit: 66% Max Profit: $99/contract Buying Power Effect: $401/contract
NASDAQ:COST
by NaughtyPines
RUT/IUX 66% POP MAR 4 970/975/1045/150 IRON CONDORAs with my previous, short-term RUT trade, I'm looking to keep buying power engaged while I wait for March index ETF trades to decay and/or work themselves out. Here's the metrics for the setup: March 4th 970/975/1045/1050 Iron Condor Probability of Profit: 66% Max Profit: ~$170/contract Buying Power Effect/Max Risk: ~$329 Notes: Due to the price of the underlying, look to attempt to get a fill slightly above the mid price, since price can move +/- .05 somewhat quickly. Look to take the entire setup off at 50% max profit or peel off the side that is at or near max profit (<.05) prior to expiration. In the event a side is tested, look to roll the tested side out to the next weekly and sell an oppositional side against for a credit that exceeds the cost of the roll.
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by NaughtyPines
LAYERING ON: MAR 24TH RUT/IUX 945/955/1070/1080 IRON CONDORLayering on to my existing Mar 24th IUX/RUT Iron Condor with this little number: March 24th RUT 945/955/1070/1080 Probability of Profit: 63% Max Profit: $330/contract Buying Power Effect: $670/contract Notes: I'd ordinarily go out to April, but I have a preexisting March 24th setup on and have a little bit more unused buying power and less theta on than I'd ordinarily like. Plus, I just don't feel like going out to April with a ton of stuff yet. I actually looked at layering on another SPY iron condor on top of the one I put on yesterday, but price hasn't moved enough yet ... . With this particular "discretionary" setup, I won't chase price; if it fills, it fills; if it doesn't, I'll look at it again some other day.
I
by NaughtyPines
FSLR -- MAR 4TH 51/54/70.5/73.5 IRON CONDORGoing small here, given the fact that the solar space has been a bit of wild of late ... . Metrics: FSLR March 4th 51/54/70/73.5 Probability of Profit: 66% Max Profit: $71/contract Buying Power Effect: $229/contract Notes: Ordinarily, I pass on stuff that doesn't have at least a 1.00 credit in it. I could naturally go short strangle, but don't want to tie up the buying power if the thing goes awry (a 53.5/71.5 short strangle would get you a 1.44 credit). That being said, I don't have a ton of stuff going on (mostly waiting for longer-term setups to play out), so I figured I'd play it just to keep some buying power engaged ... . Look to take it off at 50% max profit.
NASDAQ:FSLR
by NaughtyPines
BUYING REVERSE MAR 18TH 177/180/200/203 TO CLOSENow that I'm done layering on March 18th credit spreads and iron condors, I'm starting to mix and match the spreads that I put on at different times and closing them out as a unit. In this particular case, I'm taking a 177/180 short put vertical that was part of one iron condor or a leg in on weakness and matching it with a 200/203 short put credit spread that I either put on as an iron condor or as a spread I legged into on strength and looking to close it as a unit for a .69 debit. If filled, it will yield about .47 or a $47/contract profit, which is about 50% of max profit, since most of these were put on for between a .95 and 1.05 credit ... .
FX:SPX500
by NaughtyPines
SPY APRIL15TH 173/177/203/207 IRON CONDOROkay, okay, okay, so I'm starting on my layering on of April SPY iron condors a little bit earlier than I'd like, but with this slight uptick in volatility, there's no time like the present. Consider this the first small layer of my April SPY "onion" ... . Metrics: SPY April 15th 173/177/203/207 Probability of Profit: 62% Max Profit: $102/contract Buying Power Effect: $298/contract Notes: As with March SPY iron condors/credit spreads, I'll be looking to layer these on small and over time, after which I'll proceed to peel off "mixed and matched" pairs of short put credit spreads/short put call spreads and/or adding short put credit spreads on obvious weakness/short put call spreads on obvious strength ... .
FX:SPX500
by NaughtyPines
IUX/RUT 80% POP FEB 29TH 895/905/1050/1060 ICWith a paucity of meaningful earnings plays to work this week and having exited all of my Feb index plays, I'm looking for something short-term to bide my time as my core March index setups work themselves out. I'm not yet ready to move into the April monthly (it's still a bit far out) for index setups, so a short duration, high probability setup is a good way to keep engaged without tying up buying power for substantial periods of time. The setup metrics: RUT Feb 29th 1740/1750/1965/1975 Probability of Profit: 82% Max Profit: $98/contract Buying Power Effect: $902 Notes: As you can see by the metrics, the probability of profit is great; the risk-reward is not. As with all setups of this type, there is typically a trade-off between probability of profit (which generally requires a wider setup) and your defined risk, which represents the max loss you would experience if you allowed the setup to go to expiration without doing anything in the event of a test of one of your sides ... . All that being said, I generally treat these as scalps. Although I shoot for 50% max profit for the setup, I usually look to get out of the trade for a smaller profit if that 50% max isn't fairly immediately realized.
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by NaughtyPines
FSLR -- EARNINGS PLAYS VIA OPTIONSFSLR announces earnings tomorrow after market close, so look to put on a play in the final hours of the NY session. Here's two setups, one of which is an undefined risk trade; the other, defined: FSLR March 4th 55.5/73.5 Probability of Profit: 74% Max Profit: $144 per contract Buying Power Effect: Undefined FSLR March 4th 53/56/72/75 Iron Condor Probability of Profit: 66% Max Profit: $79 per contract Buying Power Effect: $221/contract Notes: I had to goof around with the iron condor setup, since the strikes "thin out" at 75 and increase to 5 dollar increments, making it difficult to set your short strikes at the 85% probability OTM strike with your long options 3-4 strikes out from that, so the max profit isn't what I'd ordinarily like to see.
NASDAQ:FSLR
by NaughtyPines
SPY 64% MAR 18 175/179/200/204 IRON CONDORGuess I'm not done with March ... just quite yet. In the past several weeks, I have put on several SPY iron condors and/or credit spreads in the March 18th expiry, giving me quite a selection of short put credit spreads and short call credit spreads to mix and match to improve probability of profit. I think I can fit one more in here before the remaining time to the March 18th expiration just gets too short to play with (I generally don't like to go shorter than 25 days for these layered on setups; the "expected move" zone constricts such that sides are more subject to being tested in light of average true range). Going into expiration, I'll look at mixing and matching short put with short call sides to take off units in profit ... . SPY March 18th 175/179/200/204 iron condor Probability of Profit: 64% Max Profit: $101/contract Buying Power Effect: $299/contract Notes: Standing alone, the setup isn't that great. Generally, I shoot for 70% probability of profit with iron condors, and this falls a touch short of that. However, the strikes on both the short and long sides of the setup fit in nicely with the spreads I've already got on. Consequently, you may want to play with the strikes and/or the width of the wings to get more favorable metrics for the setup ... .
FX:SPX500
by NaughtyPines
RUT/IUX MARCH 31ST 805/815/1060/1070 IRON CONDORWith the highest implied volatility out of the four indices (S&P, Dow, Nasdaq, and Russell 2000), the Russell 2000, RUT or IUX (symbology will vary by platform, apparently), offers good premium selling as an alternative to playing its ETF counterpart, IWM. Given the value of the underlying and its accompanying options, having more "meat on the bone" allows you to go wider with your iron condor, increase the probability of profit of the setup, and still get something for your trouble (the only way you can do that with IWM is to increase the number of contracts involved). While I ordinarily place the short put side of my index ETF, SPX, or RUT iron condor setups at one standard deviation out (84% probability OTM), here I've gone somewhat out to the 94% probability OTM strike for the short put; on the call side, I ordinarily set up the short call at the 75% probability OTM short call, but here I've gone out to the 80% strike. Here's the setup: RUT/IUX March 31st 805/815/1060/1070 Iron Condor Probability of Profit %: 73% Max Profit: $210/contract Buying Power Effect: $790/contract Notes: Look to take the entire setup off at 50% max profit and/or balance the setup's fairly delta neutral disposition by rolling sides in toward current price if you've still got 25 days or more until expiration ... . I put something like this on last week while waiting for my Feb SPY IC's to finish out, but neglected to post it here ... .
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by NaughtyPines