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SPX at 2860
SPX moved about 5.8% since we entered this Iron Condor. We haven’t seen much of reversion and that makes this trade a little more difficult. We’ve rolled puts up several times and hedged the upside twice.
Now with 23 days to expiration, we’re going to start to unwind this trade. We’re going to remove 2690/2680 put spread first.Order Ticket Type Asset Duration Strike C/P Buy To Close SPX 31AUG 18 2690 Put Sell To Close SPX 31AUG 18 2680 Put Total Debit: 0.20 Next we’re going to remove the hedges and look to roll remaining call spread into a calendar spread, centered at 2860.
SPX at 2835
We’re going to use this pullback to reduce our upside risk.
We’re going to Buy To Close 1/2 size of 2860/2870 Bear Call spread.
Order Ticket Type Asset Duration Strike C/P Sell To Close SPX 31AUG 18 2870 Call Buy To Close SPX 31AUG 18 2860 Call Total Debit: 3.60-3.80
Risk Profile:
This adjustment will cut NET delta close to Neutral.
SPX at 2825.
We’re going to sell another round of put spreads.
Risk Profile:
Order Ticket Type Asset Duration Strike C/P Sell To Open SPX 21SEP 18 2690 Put Buy To Open SPX 21SEP 18 2680 Put Total Credit: 0.85 SPX at 2806.
Previous put spread did not fill at 0.85
I’m going to try again with different strikes
Order Ticket Type Asset Duration Strike C/P Sell To Open SPX 21SEP 18 2665 Put Buy To Open SPX 21SEP 18 2655 Put Total Credit: 0.85 We’re going to exit this trade with 18 days until expiration.
Order Ticket Type Asset Duration Strike C/P STC SPX 07SEP 18 2760 Put BTC X2 SPX 07SEP 18 2740 Put STC SPX 07SEP 18 2690 Put Total Debit: 0.50
Risk Profile:
RUT at 1712.
We’re going to add Tier 2, 30 points above Tier 1. We’re going to use a 50 point wing on the downside and a 20 point wing on the upside. This will cut NET delta close to neutral and boost theta.
Order Ticket Type Asset Duration Strike C/P BTO RUT 28SEP 18 1700 Put STO X2 RUT 28SEP 18 1680 Put BTO RUT 28SEP 18 1630 Put Total Credit: 2.10 Risk Profile:
SPX at 2864
With 10 days to expiration, we’re going to stop out of this trade.
We’re buying to close 2860/2870 call spread:
Order Ticket Type Asset Duration Strike C/P Sell To Close SPX 31AUG 18 2870 Call Buy To Close SPX 31AUG 18 2860 Call Total Debit: 5.80 – 6.00
Selling 31AUG 2910 Call hedge:
Order Ticket Type Asset Duration Strike C/P Sell To Close SPX 31AUG 18 2910 Call Total Credit: 2.20
Selling 14SEP 2930 Call hedge:
Order Ticket Type Asset Duration Strike C/P Sell To Close SPX 14SEP 18 2930 Call Total Credit: 4.20
Risk Profile:
SPX at 2870 VIX at 12.46 We’re going to put on an income trade in 05OCT expiration cycle with 45 days to expiration.
This is a Broken Wing Put Butterfly.
We’re buying 2750 put, selling (2) 2780 puts, buying 2790 put.
This is a high probability trade with max potential profit around 10% return on risk.
Order Ticket Type Asset Duration Strike C/P BTO SPX 05OCT 18 2790 Put STO X2 SPX 05OCT 18 2780 Put BTO SPX 05OCT 18 2750 Put Total Credit: 1.90 Risk Profile:
SPX at 2865
VIX at 12.21I’m looking to sell an Iron Condor in 19OCT expiration cycle with 59 days to expiration.
I am looking to sell a Bear Call spread that pays close to .85c credit and a Bull Put spread that pays around .85c as well, for a total credit of 1.70 or higher.
I want to keep my credit fairly balanced between both spreads.
For example, I don’t want to see 1.20 credit for one side and .50c for the other.
I want to keep credits as close to .80-.90 per side.I’m selling:
2720/2710 Bull Put spread
2990/3000 Bear Call spread
Order Ticket Type Asset Duration Strike C/P Buy To Open SPX 19OCT 18 3000 Call Sell To Open SPX 19OCT 18 2990 Call Sell To Open SPX 19OCT 18 2720 Put Buy To Open SPX 19OCT 18 2710 Put Total Credit: 1.70 Risk Management: I will use OTM options to hedge this Iron Condor when 2990 Call’s delta reaches 20 and 2720 Put’s delta reaches 25.
Price levels for adjustments: 2900 and 2800
Profit Target: 50-80% credit
MAL: -25% RORRisk Profile 
AnonymousIgor,
In the final tally was this trade a loss of 7.20?
SPX at 2857.
We’re going to add a put spread.
Order Ticket Type Asset Duration Strike C/P Sell To Open SPX 21SEP 18 2760 Put Buy To Open SPX 21SEP 18 2750 Put Total Credit: 0.85 The final P/L for this trade was -2,150
This trade ended up being a loser and within our original Max Allowable Loss area.
We could have rolled this position out in time and work this trade from a loser to a winning trade, but I do not want to have this trade effect my decision making going forward. It is much easier to cut a losing trade and focus on new trade setups.
We’re going to try this trade again, moving the strikes to:
2710/2700 Put spread
2980/2990 Call spreadTotal Credit: 1.70
Order Ticket Type Asset Duration Strike C/P Buy To Open SPX 19OCT 18 2990 Call Sell To Open SPX 19OCT 18 2980 Call Sell To Open SPX 19OCT 18 2710 Put Buy To Open SPX 19OCT 18 2700 Put Total Credit: 1.70 SPX at 2897
We’re going to make an adjustment on the upside. Our goal is to reduce our NET delta exposure by 2/3.
Right now, 10 contract Iron Condor has a NET delta of -20.
We’re going to add +13 delta to reduce NET exposure from -20 to -7.
We’re going to pick up (1) 13 delta call
Risk Profile:
Order Ticket Type Asset Duration Strike C/P Buy To Open SPX 19OCT 18 3005 Call Total Debit: 6.25 SPX at 2898.
We’re going to BUY TO CLOSE 2760/2750 Bull Put spread. Mid-price is showing between 0.30-0.40
Order Ticket Type Asset Duration Strike C/P Buy To Close SPX 21SEP 18 2760 Put Sell To Close SPX 21SEP 18 2750 Put Total Debit: 0.35
