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Tuesday, October 21, 2014

Closed November $RUT 910/920 Credit Put spread

Today I closed the RUT November 910/920 Credit Put spread that had been entered as part of an adjustment made to the Put side of the 1020/1030/1230/1240 Iron Condor played with October options.

Buy to Close 3 RUT November 920 Put @0.72
Sell to Close 3 RUT November 910 Put @0.57
Debit: 0.15 ($45 for 3 contracts per leg)

I initially received 0.67 credit for this Credit Put spread. Closing it for a 0.15 debit results in a 0.52 gain, or 0.52 * 3 * 100 = $156 in dollar terms for 3 contracts per leg played in the model portfolio.

With this trade, the whole October RUT Iron Condor ended up being a profitable venture despite the adjustment. To recap:

1- August 19 - Sold October RUT 1020/1030/1230/1240 Iron Condor for 1.66 credit. 1.10 credit for the Call side ($220). 0.56 credit for the Put side ($112). In dollar terms $332 in total for 2 contracts per leg.

2- October 10 - Closed 1020/1030 Put side for 2.20 debit. A $440 debit for 2 contracts per leg. The loss on this 1020/1030 Credit Put spread was $328 as originally a $112 credit had been obtained from it.

3- October 10 - Sold the 910/920 Credit Put spread as an adjustment obtaining 0.67 credit playing 3 contracts per leg.

4- October 17 - Monthly expiration. The 1230/1240 Credit Call spread expires worthless for a gain of 1.10, or $220 for 2 contracts per leg.

5- October 21 - Closed the 910/920 Credit Put spread for 0.15, that is a 0.52 gain or $156 gain in 3 contracts per leg. Final result -$328 + $220 + $156 = +$48.

Very small gain, but I take it. Specially in a bad month. Like I said in the Weekend Portfolio Analysis, I will reflect this trade as part of the November cycle as the Puts were November options. I don't want to over complicate the track record in October.

A RUT chart after market close for future reference:
(Click on image to enlarge)
Current positions after this trade:

November RUT 970/980 Credit Put Spread
$120 credit. 93% probability of success. 30 days to expiration.

November RUT 1150/1160 Credit Call spread
$200 credit. 75% probability of success. 30 days to expiration.

November SPX 1685/1690 Credit Put Spread
$120 credit. 96% probability of success. 30 days to expiration.

There's still a lot of fight in November and it will be hard to pull off a positive month. My goal is to mitigate the damage as much as possible.

Check out 2014 Track Record

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  1. When are you going to sell some ccs to iron condor the Nov SPX? Today would have been a good day to do it since it hit my short-term overbought indicator. The only reason I have not done it yet because I have some December SPX cps that I can wait a big longer to make an iron condor.

    1. Not sure about when I will start with December positions man. Still with more exposure than I would like in November. I'm going to focus in November probably this week and next week too. But certainly markets are getting close to a short term overbought extreme.


    2. Sorry I just noticed you talked about Nov CCS. Sorry. Yes, Actually I have thought about it. Maybe the time is getting closer to sell SPX Calls in November. I wanted to sell above 2040 but seems to ambitious at the moment. So, not sure. I may need to adjust the RUT 1150/1160 CCS. After that if SPX keeps going up I will sell Calls. Ideally above 2020.


  2. This morning, I sold the Nov SPX 2025/2030 credit call spread for .40 credit. Got in when SPX was at 1948.

    1. Nice. Funny how your style and mine trigger signals in similar areas although the math behind theM is totally different. McClellan totally overbought above +230 this morning. Stochastics also overbought. 66% stocks above 20 DMA, getting close to overbought.

      By the way I noticed you don't sell the 10% probability options. You seem to be more focused on the credit am I right?


    2. That is correct. I look at the credit more nowadays. I am comfortable with delta between 10 and 15.