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Friday, January 20, 2017

March SPX Unbalanced Iron Condor

Today I initiated a March 2017 Unbalanced Iron Condor in SPX:

Trade details:

BUY  20 March SPX 2090 Put @8.00
SELL 20 March SPX 2100 Put @8.60
SELL 10 March SPX 2360 Call @4.14
BUY  10 March SPX 2370 Call @3.24

Total  Credit received: $2,100 (0.90 from Calls * 10 + 0.60 from Puts * 20)
Days to expiration: 56


Due to the super low VIX, I also added the following:

BUY 1 March SPY 214 Put @1.26
Total debit invested: $126

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


An SPX chart for future reference and self-study:
(Click on image to enlarge)

Trade Update - February 13, 2017

The 2360/2370 Call side was closed for 2.80 debit.
The original credit received was 0.90, so, this is a 1.90 loss ($1900 in 10 Credit Call spreads)

A new 2400/2410 Credit Call spread was initiated @0.75 credit. 15 contracts per leg.
The new credit received is therefore 0.75 * 15 * 100 = $1,125.

After this adjustment we now have a 2090/2100/2400/2410 Unbalanced Iron Condor position made up of 20 Credit Put spreads ($1,200 credit)  and 15 Credit Call spreads ($1,125), for a total credit of $2,325. We also have a loss of $1900. There is still a chance to come out with an overall winner out of this given that the total credit collected is greater than the loss we had. Of course, due to the loss, it would be a smaller winner than originally expected.

Trade Update - February 21, 2017

Bought two 2400 SPX Calls @4.90 debit as upside hedge.

Here's the position after this addition:
(Click on image to enlarge)

Next decision point if we see SPX 2,385.

Trade Update - March 1, 2017

Sold two March 2400 SPX Calls @14.50 credit.
Initial debit paid for this was 4.90 so there is a net 9.60 gain. In two contracts that is a $1,920 gain.

Closed the fifteen March 2400/2410 Call spreads for 3.65 debit.
Initial credit was 0.75, so there is a 2.90 loss per spread. So, a total $4,350 loss here.

Overall the loss is  $2,430 (+1920 - 4350)

Sold fifteen May 2520/2530 Credit Call spread at 0.90 credit.

Summing up, I now have the following position:
- Twenty March 2090/2100 Credit Put spreads. $1,200 credit.
- Fifteen May 2520/2530 Credit Call spreads. $1,350 credit.
Total Credit: $2,550

In the process we have incurred two losses: the adjustment on February 13 ($1900) plus today's loss ($2430). Total loss of $4,330. 

Trade Update - March 9, 2017

Closed fifteen May 2520/2530 Credit Call spreads at 0.40 debit.
Original credit received was 0.90. Net gain = 0.50 ($750 in dollar terms)

I now have the following position:
- Twenty March 2090/2100 Credit Put spreads. $1,200 credit.

Trade Update - March 17, 2017

Twenty March 2090/2100 Credit Put spreads expire for max profit
Original credit received was 0.60. Gain in dollars: $1,200.

The position is entirely closed now, and net net the result is: -1900 - 2430 + 750 + 1200 = -2,380
Had I never adjusted the Call side at all, just taken the $1900 loss that day and moved on, leaving the Put side on, the final loss would have only been $700 today. I guess this says a lot about defending the Call side or not. Last year, defending was overall better than not defending. But in the long run I think it may be a close Call, whether one decision is better than the other one. As long as your first defense works, you're golden. The problem is when you have to adjust more than once.

At the same time the March SPY 214 Put, purchased due to the very low volatility environment that prevailed then the position was open, expired for max loss of $126, which also needs to be factored in in the final result.

Check out 2017 Track Record 

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