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Friday, January 23, 2015

March 2015 SPX unbalanced Iron Condor

Today I sold an SPX unbalanced Iron Condor using March options.

I had to slightly mutilate the language of Shakespeare by the end of my tweet due to the 140 character limit rule. But I hope it was clear enough. I received 0.30 credit for the Put spreads and 0.50 for the Call spreads. I decided to play fewer Call spreads as the 2170 short Calls are not clearly above the projected uptrend channel. So, I prefer to play that side conservatively.

Here's the trade with position sizes adjusted for the "Model Portfolio"
Buy 4 March SPX 1845 Put @9.80
Sell 4 March SPX 1850 Put @10.10
Sell 2 March SPX 2170 Call @3.85
Buy 2 March SPX 2175 Call @3.35

Credit Received: $220 (0.30*4 + 0.50*2)
Max Risk: $1780
Days to expiration: 56

The market is pretty much in no man's land here so I started playing the March cycle with an Iron Condor. Decent time premium 8 weeks to expiration and still an attractive VIX (above 16) for selling options. If we go to an extreme in the next few weeks I will add a Credit spread preferably using RUT as my vehicle.

As usual an SPX chart at the time of the trade, when the future is still unknown (I hate left side of the chart traders that are so great in retrospective). This is for my own future reference and study.

(Click on image to enlarge)
Current positions in the portfolio:
February SPX 1875/1880/2190/2195 Iron Condor
$320 credit. 27 days to expiration and 87% probability of success. Looking as good as <insert name of hot model here> naked. No concerns with this babe.

March SPX 1845/1850/2170/2175 Iron Condor
The trade discussed in this article. A fight that has just begun. Time will tell.

Check out 2015 Track record

Related Articles:
Weekend Portfolio Analysis (February 8, 2015)
Weekend Portfolio Analysis (February 14, 2015)
Weekend Portfolio Analysis (February 21, 2015)
Weekend Portfolio Analysis (February 28, 2015)
Weekend Portfolio Analysis (March 7, 2015)
Weekend Portfolio Analysis (March 14, 2015)
Position expires worthless yielding max profit

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  1. I like it LT. It looks like you have lighten up the contracts on the call side but received more credit and taken less credit for the put side and made it up by doubling the contracts. I have March SPX 1720/1710 credit put spread. I am looking to iron condor with March SPX 2220/2230 or 2210/2220 credit call spread for .35 or .40 credit we continue to rally above 2100 in the next 2 weeks.

    You can follow me on Twitter @lienjonathan where I tweet my high probability credit spread trades in real-time for free.

    My Facebook page:

    Here is a link to all my trades and results:

  2. Hi LT, how do you usually enter unbalanced orders to maximize the probability to get filled? Do you create two separate orders, one for the put and one for the call side, or do you enter a single order?

    1. Hey Thomas,
      No. The unbalanced Iron Condor is not in order to maximize credit. It is in order to reduce risk on the Call side. As for the fill, I try to enter it all as a single order. If I dont get fill I try the spreads individually.

    2. Sorry, my question wes written in my very incorrect english (I'm Italian) and what I meant to ask was how do you enter the unbalanced iron condor orders to get filled: in fact I was never been able to get one filled unless I set a very disadvantageous price. At the same time I don't like the idea to enter two individual spread because if the market takes one direction I will only get filled one side, which is the one that will become a looser.

    3. Like I said. First I enter the unbalanced Iron Condor. As you mentioned it is very very hard to get filled. But I wait, I give it 1 or 2 hours for the price that I want. If not I cancel and send the two verticals as individual orders. It is true that the market can run away from you after one of the sides only is filled. That's the risk. But on this particular day that the trade was entered it was all pretty quiet so I could afford the luxury.