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Thursday, December 22, 2016

February 2017 RUT Unbalanced Iron Condor

Today I initiated a February 2017 Unbalanced Iron Condor in RUT:


Trade details:

BUY  20 February RUT 1200 Put @5.64
SELL 20 February RUT 1210 Put @6.30
SELL 10 February RUT 1470 Call @3.59
BUY  10 February RUT 1480 Call @2.78


Total  Credit received: $2,130 (0.81 from Calls * 10 + 0.66 from Puts * 20)
Days to expiration: 57

I usually receive more credit than this, but in such a low volatility environment there is just no other alternative than to reduce our returns expectations. Speaking of low volatility. The VIX is still in the 11's and RUT is still uncomfortably far from its main moving averages. I thought it was a good idea to add some long Put exposure:

BUY 2 February IWM 126 Put @1.28
Total debit invested: $256

This is the risk profile of both positions combined:
(Click on image to enlarge)



An End-of-Day RUT chart for future reference and self-study:
(Click on image to enlarge)


Check out 2016 Track Record 

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