tag:blogger.com,1999:blog-5375291312433129989.post4029681668381507167..comments2023-06-03T05:06:58.216-04:00Comments on The Lazy Trader: Weekend Portfolio Analysis (April 11, 2015)Henrikhttp://www.blogger.com/profile/05792195649092816606noreply@blogger.comBlogger11125tag:blogger.com,1999:blog-5375291312433129989.post-8191825873766825872015-04-15T19:17:18.842-04:002015-04-15T19:17:18.842-04:00Thank you Martin. Be careful with selling an iron ...Thank you Martin. Be careful with selling an iron condor at market extremes. Please keep us posted on your progress. Jonathanhttps://www.blogger.com/profile/14635010979050643513noreply@blogger.comtag:blogger.com,1999:blog-5375291312433129989.post-74902298405348263942015-04-15T14:42:00.135-04:002015-04-15T14:42:00.135-04:00Hi Jonathan,
> Do you take into account whethe...Hi Jonathan,<br /><br />> Do you take into account whether the market is oversold or overbought before you sell an iron condor?<br />I use Bollinger Bands (20,2) to give me some idea if the market is overbought or oversold. But the BB indicator is not perfect: when the volatility is low BB is pretty narrow and the price can easily cross the upper/lower BB without being truly extended. Anyway, I balance iron condors using BB as follows:<br />When the price is around the middle of BB, I sell a balanced iron condor (the same number of put and call credit spreads). <br />When the price is in the upper part of BB, I sell a higher number of call spreads vs put spreads.<br />When the price is in the lower part of BB, I sell higher number of put spreads vs. call spreads.<br /><br />> I prefer to sell only the put spreads and wait for the market to become overbought before selling the call spread. <br />I like having fairly delta neutral positions. I don't sell only the put or call spreads unless the market makes me by running over my existing positions. Example, let's say that RUT exceeds 1300 in the next couple of days forcing me to roll over my existing RUT May 1330/1350 call spreads. In this case, I will be willing to sell only call spreads in the June expiration month, because I think that RUT would be pretty extended to the upside at that point.<br /><br />> How long have you been selling iron condor this way?<br />I have been trading options since 2012; mainly naked puts on stocks, calendars and iron condors on stock indices. I started trading iron condors more regularly in 2014. The iron condor strategy that I am writing about here is still a work in progress.<br /><br />Martin<br />Martinnoreply@blogger.comtag:blogger.com,1999:blog-5375291312433129989.post-34409491535199535942015-04-14T18:54:19.932-04:002015-04-14T18:54:19.932-04:00Hi Martin,
I like your adjustment plan. Do you ta...Hi Martin,<br /><br />I like your adjustment plan. Do you take into account whether the market is oversold or overbought before you sell an iron condor? If the market is oversold, I prefer to sell only the put spreads and wait for the market to become overbought before selling the call spread. How long have you been selling iron condor this way? Jonathanhttps://www.blogger.com/profile/14635010979050643513noreply@blogger.comtag:blogger.com,1999:blog-5375291312433129989.post-58519035047854614232015-04-14T16:57:03.704-04:002015-04-14T16:57:03.704-04:00Hi LT,
> Thanks a lot for sharing all the deta...Hi LT,<br /><br />> Thanks a lot for sharing all the details of your trading style Martin.<br />I also appreciate that you share your trades with others. I usually learn the most from those who actually trade with real money. That's why I decided to post a short summary of my trading on a weekly basis. Let's see how it goes.<br /><br />MartinMartinnoreply@blogger.comtag:blogger.com,1999:blog-5375291312433129989.post-42038101856588676432015-04-14T16:55:14.593-04:002015-04-14T16:55:14.593-04:00Hi Jonathan,
> How many debit spreads would yo...Hi Jonathan,<br /><br />> How many debit spreads would you buy if you sold 4 contracts? <br />It is usually 1 debit spread per 4 credit spreads. The goal is to cut position delta by half. I am willing to pay for this protection up to 50% of received credit (e.g. if I initally sell the iron condor consisting of 4 contracts for $1000, I may pay for the debit spread around $350-$400 (but it depends on the number of days to expiration).<br /><br />> Do you always sell an iron condor around 60 days until expiration?<br />I sell iron condors in RUT and SPX between 60-56 days to expiration (usually one on Monday and the other Thuersday/Friday to diversify). Unless it's a part of an adjustment, I don't like selling new credit spreads with less than 50 to expiration (if the price moves against the postion, there is not much time left and I have to roll credit spreads pretty close to the current price to get a decent credit).<br /><br />Martin.<br />Martinnoreply@blogger.comtag:blogger.com,1999:blog-5375291312433129989.post-31182530651282213932015-04-13T19:33:41.494-04:002015-04-13T19:33:41.494-04:00Thanks a lot for sharing all the details of your t...Thanks a lot for sharing all the details of your trading style Martin.<br />I really appreciated.<br />It's always interesting to see how others go about their craft.<br />LTThe Lazy Traderhttps://www.blogger.com/profile/08598866019359750526noreply@blogger.comtag:blogger.com,1999:blog-5375291312433129989.post-28399744789345028872015-04-13T17:46:37.480-04:002015-04-13T17:46:37.480-04:00Thanks for the detailed explanation. How many debi...Thanks for the detailed explanation. How many debit spreads would you buy if you sold 4 contracts? <br /><br />Do you always sell an iron condor around 60 days until expiration?Jonathanhttps://www.blogger.com/profile/14635010979050643513noreply@blogger.comtag:blogger.com,1999:blog-5375291312433129989.post-61491108545581430872015-04-13T15:16:51.749-04:002015-04-13T15:16:51.749-04:00Hello Jonathan,
Profit target: I shoot for 75% of...Hello Jonathan,<br /><br />Profit target: I shoot for 75% of received credit (e.g. when I sell a 20 wide iron condor for 2.60, I am willing to buy it back for 0.65). The reason is that I try to maximize the profit while giving the market less time to hurt my open positions. I observed that when I sell credit spreads about 60 days before expiration and no adjustment is made, I am able to get 75% of max profit in about 30 days. I don't want to wait another 30 days to get the remaining 25%. I prefer to sacrifice the 25% of max profit by buying back the position and opening a new iron condor in the following month that has a better time decay.<br /><br />Adjustments: There are three types of adjustments.<br />(i) Mickey mouse ear - I buy a debit spread to cut the position delta by half to reduce the loss if market keeps moving futher. This creates a Mickey mouse ear on the expiration graph (e.g. assuming SPX May 2190/2210 call credit spread, I would buy SPX May 2170/2190 call debit spread). I use this adjustment when the delta of sold options reaches 22 or when the price of sold credit spread doubles or when open loss is about -5%.<br />(ii) Rolling - I roll the spreads futher from the money by closing the threatened spreads and opening new ones at delta 10-15 (I may increase the size of new spreads). I use this adjustment when the delta of sold options reaches around 30 or when the price of sold credit spreads triples or when open loss is over 10%.<br />(iii) Exit with loss - in this case the has market moved too much. I just close the whole position. I exit the position when the option loss is around 15%. (I broke this rule last October and November and took some beating from the market).<br /><br />I will try to post my yearly trading results next weekend.<br /><br />Martin<br />Martinnoreply@blogger.comtag:blogger.com,1999:blog-5375291312433129989.post-23429311178325692232015-04-12T21:53:55.881-04:002015-04-12T21:53:55.881-04:00Hi Martin,
What is your profit target? What are y...Hi Martin,<br /><br />What is your profit target? What are your adjustment rules?Jonathanhttps://www.blogger.com/profile/14635010979050643513noreply@blogger.comtag:blogger.com,1999:blog-5375291312433129989.post-90963221270835167632015-04-12T15:19:34.131-04:002015-04-12T15:19:34.131-04:00Last week:
Yet another quiet week when I just watc...Last week:<br />Yet another quiet week when I just watched the theta/time decay of my credit spreads. Neither of my iron condors got into trouble or reached the profit target. So I was a lazy trader this week. I agree with Henrik: this range bound price action can not go for ever. There will come a time when the market will make a violent move in order to test our ability to manage credit spreads.<br /><br />Open positions:<br />4x IC SPX May 1860/1880/2190/2210<br />4x IC RUT May 1070/1090/1330/1350<br /><br />Next week:<br />Both positions look good. If the market is nice and quiet next week at least one of them might hit the profit target (I will enter buy limit orders on Monday). Otherwise, I will watch them in case the market moves sharply one way or the other: adjustment potions are roughly (1980;2140) for the SPX iron condor and (1160;1290) for the RUT iron condor.Martinnoreply@blogger.comtag:blogger.com,1999:blog-5375291312433129989.post-88071964466552945392015-04-11T10:27:34.214-04:002015-04-11T10:27:34.214-04:00The market in 2015 has been pretty easy and stress...The market in 2015 has been pretty easy and stress-free for conservative credit spread sellers. It doesn’t get any better than this.<br /><br />I did not make any trades last week as we are currently in no man’s land. All current positions are profitable and safe. I am waiting for an overbought or oversold signal to make another trade.<br /><br />My current positions:<br /><br />SPX May 31st 1775/1765 credit put spread<br />RUT June 30th 1000/990 & 1380/1390 iron condor<br />SPX June 30th 1750/1725 credit put spread<br />Jonathanhttps://www.blogger.com/profile/14635010979050643513noreply@blogger.com