SPX 02 FEB Iron Condor (662)

[IgorKeymaster]

SPX at 2647
VIX at 10.71

I’m going to put on an Iron Condor in 02 FEB expiration cycle with 60 days until expiration. I’m selling:

SPX 2520/2510 Bull Put spread
SPX 2750/2760 Bear Call spread

Short strike on the put side has a delta around 16 and the short call delta around 9.
These are 10 point wide credit spreads.

Risk Profile:

My Max Allowable Loss (MAL) is around 1.5 times total credit. If total credit is $1.70 then MAL is $2.50
My first profit target is 50% of credit in 30 days or less.
I’m going to manage this position when short put delta reaches 25 or short call delta 20
Upside Adjustment Level: 2690
Downside Adjustment Level: 2585

Order Ticket
Type	Asset	Duration	Strike	C/P
Buy To Open	SPX	02 FEB 18	2760	Call
Sell To Open	SPX	02 FEB 18	2750	Call
Sell To Open	SPX	02 FEB 18	2520	Put
Buy To Open	SPX	02 FEB 18	2510	Put
Total Credit:			$1.70 – $1.80

[IgorKeymaster]

Original strikes did not fill at 1.70 credit or higher.
We’re going to shift strikes to:

2740/2750 Bear Call
2530/2520 Bull Put

P/L graph

Upside adjustment point: 2680
Downside adjustment point: 2590

 

Order Ticket
Type	Asset	Duration	Strike	C/P
Buy To Open	SPX	02 FEB 18	2750	Call
Sell To Open	SPX	02 FEB 18	2740	Call
Sell To Open	SPX	02 FEB 18	2530	Put
Buy To Open	SPX	02 FEB 18	2520	Put
Total Credit:			$1.70

[IgorKeymaster]

We set our Adjustment Point on the upside to around 2680. At this time SPX is trading around 2678 and we’re going to buy a call hedge to reduce our NET delta of this position by 2/3. Our NET delta is about -30 for 10 contract IC. We’ll use 2770 Call (9 deltas) to remove our NET delta exposure. If I add (2) 2770 calls here, it’ll take my NET delta from about -30 to about -12 and this is what my P/L graph looks like after adjustments:

Order Ticket
Type	Asset	Duration	Strike	C/P
Buy To Open	SPX	02 FEB 18	2770	Call
Total Debit:			$2.85

[IgorKeymaster]

We’re going to BUY TO CLOSE 2530/2520 Bull Put spread here.

This leaves 2740/2750 Bear Call on, with an upside hedge.

We’ll look to sell another put spread to increase overall credit for this IC and that will help cover cost IF/WHEN we have to roll up the call spread.

P/L graph:

Order Ticket
Type	Asset	Duration	Strike	C/P
Buy To Close	SPX	02 FEB 18	2530	Put
Sell To Close	SPX	02 FEB 18	2520	Put
Total Debit:			$0.25

[IgorKeymaster]

I’m going to sell another put spread closer to ATM.

My goal is to collect an additional .90c credit

Order Ticket
Type	Asset	Duration	Strike	C/P
Sell To Open	SPX	02 FEB 18	2650	Put
Buy To Open	SPX	02 FEB 18	2640	Put
Total Credit:			$0.90 – $1.00

 

P/L graph:

NOTE: I will look to roll up 2740/2750 Bear Call spread when 2740 Call’s delta turns 30.

[IgorKeymaster]

I’m going to roll up 2740/2750 Bear Call spread upto 2770/2780 strikes. I will leave the hedge that was bought back on 12/15.

P/L graph:

[IgorKeymaster]

SPX trading at 2782.

I’m going to close out 2770/2780 Bear Call spread and any hedge that was a part of this trade

Buy To Close 2770/2780 Bear Call spread:

Order Ticket
Type	Asset	Duration	Strike	C/P
Buy To Close	SPX	02 FEB 18	2770	Call
Sell To Close	SPX	02 FEB 18	2780	Call
Total Debit:			$5.90

 

Sell To Close 2780 Call hedge:

Order Ticket
Type	Asset	Duration	Strike	C/P
Sell To Close	SPX	02 FEB 18	2780	Call
Total Credit:			$24.20

 

P/L graph: 

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