FX:SPX500   S&P 500 index of US listed shares
Several days ago (before we had this downmove/volatility pop), I set up a long-term SPY             iron condor, my intent being to manage it "dynamically" over time, rolling my options intratrade as price moved either toward my short put wing or toward my short call wing.

The original setup was a March 18th 166/169/219/222 SPY             iron condor, for which I originally received a fairly paltry .71 in credit. In my earlier post, I discussed various options for managing the setup intratrade: (1) rolling the wings as a unit toward current price; (2) leaving the long options alone and moving only the short options toward current price; and (3) moving both the long options away from current price and the short options toward current price. I pointed out the pluses and minuses of each of these methodologies, with the preference being toward moving the wings as a unit toward current price.

In the interest of experimentation (and also to capture greater credit than that offered by merely rolling the call side wing down three strikes), I'm going to opt to roll the short call toward current price and the long put away from current price at the same time and by the same number of strikes to capture credit generated by this down move (i.e., I am going to roll the 219 short call to the 216 and the 166 long put to 163 and will look to get a fill for an additional .77 credit/contract to do this). I chose the 216 short call strike, since that is currently at the edge of the current expected move for SPY             for the March 18th expiration.

Should I get filled, the new iron condor will be a Mar 18 SPY             163/169/216/222 iron condor, so I will be widening the wings to six strikes wide by rolling the short call/long put in this manner. The upside is that I received .77 in credit for the intratrade roll (on top of the .71 I originally received); the downside is that widening the spreads requires some additional margin and could potentially give me a headache if I need to roll one of those 6-wides out for duration on the back end of the trade. Consequently, I naturally want to exercise caution going forward as to how many times I roll intratrade, keeping an eye on the width of the wings, the overall margin used, and whether I am getting too aggressive by bringing in the wings too tightly to current price.

Comment: As with all my trades, I've been checking in on this trade on a daily basis. The first thing I look at is the setup's overall delta, which is currently -5.21; so, all in all, it's still a fairly delta neutral setup in spite of this down move we've had. On the call side, the 216 short call has diminished in value from 1.35 to .79 and the long call from .65 to .20, but on the put side, the long put has actually decreased in value in spite of price's moving toward it, so it doesn't make sense to do another short call/long put roll here as I did before. Consequently, I'm opting to try to roll the call side as a unit down four strikes to 212/218 for an additional .56 credit.
Comment: I would note that it might be advisable just to leave this setup alone at this point. My short call wing, after all, is at the edge of the expected move (somewhat short of the 1 SD line), and is quite close to the 2015 high (it will actually be below that if I roll to 212/218); and the setup, for the time being, is basically delta neutral. The reason why I'm rolling is because I'm basically just try to be mechanical here and capturing additional credit when the opportunity presents itself ... .
Comment: The setup remains largely delta neutral at this point in time, although it's slightly negative (-11 or so). Because I have more room to work with on the put side, I'm waiting for an upmove to move the put wing up as a unit toward current price. I looked at rolling the whole side at this point 2-3 strikes toward current price, but couldn't get more than a .50 credit out of that, so I'm going to wait a bit.
Comment: Now an adjustment appears to be worthwhile; I checked both rolling the short put wing as a unit versus rolling the short put toward current price and the short call away from current price an equal number of strikes, and I'm opting for the latter, rolling the 169 short put up 3 strikes to 172 while simultaneously rolling the long call up 3 from 218 to 221. This will result in a .86 credit should I get a fill, and the resulting iron condor will be a 163/172/212/221 ... .
Comment: No fill in light, half-day trading session volume.
Comment: I'm going to try to be a little more patient here with the setup. It's starting to skew a bit to the call side delta-wise, but I'm focusing on the value of the short put in particular as a kind of indicator of when I should roll that side up. Currently, it's valued at .625 (62.50) so it's still got some value in it. I'll watch for a bit for that option to decrease a little bit more in value before considering a roll of the entire put side toward current price.
Comment: So much for patience ... . Rolling up the short put/long call as a unit by 5 strikes for a .98 credit in this 2 point up move.
Comment: Filled for .97.
Comment: Covering the entire short call wing for a 1.03 debit on this down move. This leaves me with the 163/174 short put credit spread. I'll watch for an opportunity to leg back into the short call side if a bounce occurs; otherwise, I'm just going to wait and watch the short put side, rolling it up for a credit when that becomes possible.
Comment: Resurrected the short call side via a 214/217 short call spread that I put on for a measly .11 credit. In 20/20 hindsight, I should have just left the short call spread I had in place and rolled options accordingly with this down move. On the put side, I'm basically waiting for the short put to approach near worthless before rolling ... .
Comment: Rolled down the 214/217 call spread to the 205/208 for a .26 credit.
Comment: Looking at delta balancing this setup (along with other SPY IC's) by rolling up the short put side to the 1 SD for the expiration early next week.
Comment: Rolled up the "goofy" 163/174 short put side to the 169/179 (same expiry) for a .30 credit.
Comment: This setup eventually got absorbed into my layered on March setups ... .
Filled for a .76 credit, so I've received .71 for the original setup plus the .76 additional credit for a total of 1.47.
Ideas Scripts Chart
United States
United Kingdom
Home Stock Screener Forex Signal Finder Economic Calendar How It Works Chart Features House Rules Moderators For the WEB Widgets Stock Charting Library Priority Support Feature Request Blog & News FAQ Help & Wiki Twitter
Private Messages Chat Ideas Published Followers Following Priority Support Public Profile Profile Settings Account and Billing Sign Out