TRADE IDEA: SPX JUN 15TH 2000/2010/2120/2130 IRON CONDOR
With few "new" premium selling opportunities available, I'm looking to put on a short-term engagement trade that I will bail out of at the first sign of trouble (or, more likely, the first sign of profit).
Metrics:
Probability of Profit: 63%
P50: 68%
Max Profit: $310/contract
Max Loss/Buying Power Effect: $690/contract
Theta: 10.61/contract
Delta: -2.98/contract
Notes: I generally don't like to put on a premium selling setup in a low volatility environment, but I'm collecting nearly 1/3rd the width of the wings here in credit and the theta (10.61) rates as "drop dead gorgeous sexy." Moreover, the "lay" of the strikes here is good from a charting aspect, with the short call slightly above the 2016 high and the short put below that pesky 2040 resistance ... .
Depending on how things go, I may also consider putzing with strategically and repeatedly rolling the short call side out and to the 75% probability out-of-the-money strike and the short put side out to the 85% probability out-of-the-money strike at particular intervals or when it's profitable to do so.
Metrics:
Probability of Profit: 63%
P50: 68%
Max Profit: $310/contract
Max Loss/Buying Power Effect: $690/contract
Theta: 10.61/contract
Delta: -2.98/contract
Notes: I generally don't like to put on a premium selling setup in a low volatility environment, but I'm collecting nearly 1/3rd the width of the wings here in credit and the theta (10.61) rates as "drop dead gorgeous sexy." Moreover, the "lay" of the strikes here is good from a charting aspect, with the short call slightly above the 2016 high and the short put below that pesky 2040 resistance ... .
Depending on how things go, I may also consider putzing with strategically and repeatedly rolling the short call side out and to the 75% probability out-of-the-money strike and the short put side out to the 85% probability out-of-the-money strike at particular intervals or when it's profitable to do so.
Comment:
Filled for a $305/contract credit. I may look to roll up the short put side a tad tomorrow to the 85% out-of-the-money strike (same expiry) if I can do so profitably.
Comment:
I'm probably being somewhat aggressive here with delta balancing the setup ... . Rolled up the short side to the 2030/2040 strikes (within the same expiry) for an additional $50/contract credit. I'll still shoot for taking the entire setup off at the original profit target (50% of $310 or about $155/contract).