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BookingAlpha Option Trading Advisory

Friday, September 20, 2013

November 2013 SPX Iron Condor

Today I sold an SPX 1565/1570/1800/1805 Iron Condor with November expiration options as follows:

Bought 4 SPX November 1565 Put @5.70
Sold 4 SPX November 1570 Put @6.10
Sold 4 SPX November 1800 Call @3.40
Bought 4 SPX November 1805 Call @3.00
Credit: 0.80 ($320)
Max Risk: 4.20 ($1680)
Days to expiration: 55
Probability of success: 77%

SPX was around 1714 at the time and the VIX at 13.31.
This is the first position of the November expiration cycle.

There are also two more positions in the portfolio, both of them in October:
SPX 1610/1615/1780/1785 Iron Condor
RUT 1120/1125 Bear Call Spread

Finally a chart of SPX as usual for future reference
(Click on image to enlarge)

Check out Track Record for 2013

Related Articles
Weekend Portfolio Analysis (September 21, 2013)
Weekend Portfolio Analysis (September 28, 2013)
Weekend Portfolio Analysis (October 5, 2013)
Weekend Portfolio Analysis (October 12, 2013)
Weekend Portfolio Analysis (October 26, 2013)
Weekend Portfolio Analysis (November 2, 2013)
Closed 1800/1805 Call side of Iron Condor (November 4, 2013) 
Weekend Portfolio Analysis (November 9, 2013)

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  1. What was your rational for opening the November SPX trade today? This looks like a sold position. I would have done the same position but perhaps give myself 5 more points on the upper leg to 1805/1810. Good luck and good trading.

  2. Hi Jonathan,

    Just staying mechanical and opening the first trade exactly 8 weeks from expiration. No other rational behind it.
    Good luck to you too.


  3. May be I miss something, what is the purpose of mentioning 77% probability?
    The loss vs reward is 5.25:1. Probability of loss is 0.23.
    Long term, for every 4.37 successful trades there will be one with a loss of 5.25 x reward of a one successful trade. By probability definition the trade is losing one.

    Of course, there may be higher probability assumed, based on some subjective assumptions, but then it makes sense to mention this probability and assumptions, and not 77% based on historical prices. I

    f it is traded on 77% success this is statistically losing trade = gambling. Nothing wrong with gambling per se, but I think there are better strategies to gamble than iron condor.

  4. Hey Anonymous,

    Most of the time, when selling credit spreads that's what happens. The probability of success is slightly lower than the risk/reward, or if pricing is perfect they would be the same. And you would call that gambling too. Specially this year with implied volatility so low that is surely the case you will find. Are you a seller of options? Can you share some constructive knowledge? What strategies are you using in this market? Long call? Long put?