NaughtyPines

SPY FEB 26TH IRON CONDOR

FX:SPX500   S&P 500 Index
Layering on a bit more Feb SPY             action on before this volatility bleeds out of the market (it inevitably does). As usual, it is skewed to the put side due to vol skew on the call side with the short call strike at the edge of the expected move for the expiration (about 75% probability OTM) and the the short put at about the 84% probability OTM strike (the 1 standard deviation line).

SPY             Feb 26th 171/175/196/200 iron condor
Probability of Profit %: 66%
Max Profit: $114/contract
Buying Power Effect: $286/contract
Break Evens: 173.86/197.14

Notes: Look to take off the entire setup for 50% max profit or one side at a time if that side approaches worthless (<.05. or $5.00). If a side is tested, roll that side out for duration and sell an oppositional side against it for a credit that exceeds the cost of the roll of the tested side by some reasonable measure (I usually shoot for a .50 credit in excess of the debit it cost to roll the tested side).
Comment: Filled for 1.18.
Comment: Looking to delta balance this setup a bit early next week by rolling up the short put wing to the 1 SD for the expiration ... .
Comment: Rolled the 171/175 up to the 179.5/183.5 within the same expiry for a .31 credit. Still looking to take the whole setup off at 50% max.
Comment: Wanted to clean up what I have left in February, so closing this out in profit here for a .90 debit. I received a 1.18 credit for the initial setup, another .31 for the roll up for a total of 1.49 in credits. Closing here for .90 nets me .59/contract, which is 50% max of the original setup.
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