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Tuesday, May 19, 2015

July 2015 SPX unbalanced Iron Condor

Today I entered the first position of the July 2015 monthly options expiration cycle.

I finally got filled with the 1935/1940/2220/2225 unbalanced Iron Condor. This was after trying my luck with RUT 1110/1120/1330/1340 and not getting filled for more than 30 minutes for the credit that I wanted. Then I went to SPX but trying a more conservative 1920/1925 Put side. In the end I had to split the order in two and enter the Call side and the Put side separately. The fills were really difficult today I must say, especially on the Put side. But, I always remind myself that I have to be patient. Order entry is one of the few things that you can control and if I am going to be doing this only a couple times a month, I better take my time and not rush anything.

Because I am charged a flat rate per contact and no order ticket charge, splitting the order in two doesn't hurt me. Otherwise paying 2 separate order ticket charges would have been painful. That's why you need a commissions schema that is friendly and suitable for your strategy.

Trade details:
Buy 4 SPX 1935 July Put @7.40
Sell 4 SPX 1940 July Put @7.70
Sell 2 SPX 2220 July Call @3.31
Buy 2 SPX 2225 July Call @2.81

Total Credit: $220
Max Risk: $1780 to the downside, $780 to the upside
Days to Expiration: 58

Here's the profit picture of this position:
(Click on image to enlarge)

And here's SPX after market close for future reference and self-study:
(Click on image to enlarge)

Current positions in the Portfolio:

June RUT 1130/1140/1340/1350 unbalanced Iron Condor
$225 credit, 91% probability of success and 30 days to expiration.

July SPX 1935/1940/2220/2225 unbalanced Iron Condor
The trade discussed in this article.
$220 credit, 75% probability of success and 58 days to expiration

Check out 2015 Track record

Related Articles:
Weekend Portfolio Analysis (June 7, 2015)
Weekend Portfolio Analysis (June 14, 2015)
Weekend Portfolio Analysis (June 20, 2015)
Weekend Portfolio Analysis (June 27, 2015)
Weekend Portfolio Analysis (July 11, 2015) 


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3 comments:

  1. I like the July SPX iron condor than the proposed July RUT iron condor. The July RUT iron condor would be very similar to your June RUT iron condor. Diversifying to SPX can lower your risk instead of concentrating all of your eggs in one index.

    ReplyDelete
    Replies
    1. It's really food for an interesting debate Jonathan because even though the RUT strike prices are similar, the probability models are very different given the difference in time left to expiration. So, for traders who adjust based on absolute distances (expressed in RUT points), yes, both positions would be considered threatened in similar moments, perhaps at the same time, which is not good.

      However, because we adjust based on probabilities (or deltas) it means that even though we have two similar positions, they would never be considered threatened or in need for an adjustment at the same time.

      That being said, yes, it is still preferable to go with the SPX index all things considered.

      Cheers,
      LT

      Delete
    2. I agreed. When adjusting for delta, a June 1150/1140 cps is different than a July 1150/1140 cps due to the time remaining until expiration.

      Delete