OPENING: SPY APRIL 21ST 211/214/234/237 IRON CONDOR

I tweaked the setup a bit from yesterday, and got filled for a 1.01/contract credit.

Metrics (Currently):

Max Profit: $106/contract
Max Loss/Buying Power Effect: $194/contract
Break Evens: 212.94/235.06
Delta: -5.65/contract
Theta: .71/contract

Notes: I probably could have been a touch more patient and gone with a fill slightly above the mid. In any event, shooting for 50% max profit .... .

Basically, what I do with these is watch the position's net delta throughout its "life time" and make adjustments if necessary to delta balance (usually, rolling the "untested" side toward the "tested" side). Otherwise, I leave it alone.

Comment:

1/30: No adjustments this week. Price is basically back to where I started, as is the position's net delta. Even assuming I wanted, for example, to roll the short put side up to offset that negative delta, I wouldn't get enough to do that to make it worthwhile.

Comment:

2/6: No adjustments this week. The position's net delta started out at -5.65/contract; it's now at -7.24. An alternative way to look at it: the short put leg of the setup is 16.87 delta, so it's still got a fairly good bit of protection left in it.

Comment:

2/14: No adjustments today. Although the setup's skewed out to -11 delta or so and price is knocking at the short call side, the short put isn't quite there yet, with a delta of 10.5 or so and .80 of value left in it. Today's slight weakness also helped a little bit ... .

Comment:

Post-Yellen comments: Making a small adjustment here, rolling to the 20 delta 220/223 (same expiry) for a .19 credit.

Comment:

2/21: Rolling the 220/223 to the 226/229 for a .22 credit, which gets the net delta of the position back to -6/contract with a scratch point at 1.42.

Comment:

Although I've got assignment risk here (ex-divvy is 3/17), I'm letting this ride as is at least through the Trump address. I don't want to do an adjustment to get the 234 clear of current price, only to have the address turn around and monkey with that one way or the other (i.e., he sinks the market, the adjustment was unnecessary; he pops the market, the adjustment would be for naught).

Comment:

Oy. What an upmove. Rolling the 226/229 to the 231/234 short put vert for a .23 credit, resulting in a 231/234/234/237 iron fly. Scratch point is at 1.65.

Comment:

Now that I've brought the short put side as far in as I can or would like to, I'm selling an April 7th 229.5/232.5 short put vert here for a .35 ($35)/contract credit to add some long delta to the position. This isn't ideal, since the implied volatility is pretty low here. I'm selling it in the April 7th expiry so that I don't step on spreads I have setup in the April monthly ... . If price rips back south, I'll leg into a short call vert in that expiry to both delta balance and complete an April 7th iron condor. Ugh. So much work ... .

Comment:

Completing an April 7th iron condor here by selling the April 7th 241.5/244.5 short call vert for a .40 credit, which returns the whole SPY position to net negative delta. There's no buying power effect to this trade (selling oppositional credit spread of same width against existing credit spread).

Comment:

Rolling the April 21st 231/234/234/237 to the June 17th 231/234/238/242 iron condor for a net .29 credit, resulting in a 1.94 scratch point for this little fella. Ex-divvy is next week, and I'd prefer not being short shares at 234 here, so I'm basically just kicking the can down the road; I hope 238 is enough room to "get me over the hump." The April 7th 229.52/232.5/241.5/244.5 that I legged into to delta hedge, I'll manage as a standalone trade, but will look to keep the entire SPY position slightly short to delta neutral.

Trade closed manually:

Covering the April 7th 229.5/232.5/241.5/244.5 for a .43 ($43)/contract debit here. I legged into the put side for .35, the long call side for .40, for a total of .75 in credits/contract. Getting out here for .43 results in a gross profit of .32 ($32). Just doing a little cleanup on my core SPY position, taking off a little bit of risk, and freeing up a little bit of buying power.

Comment:

No adjustments this week -- net delta on the whole SPY position is basically dead neutral. One thing I may consider is narrowing the call side spread of the June setup, which I widened from 3 to 4 wide to be "net credit" on the roll from April to June, rolling it down a few strikes and narrowing it to a three-wide. It has a long time to go and doing this would free up a touch of buying power, as well as reduce call side risk, but I'll leave that for another day ... .

Comment:

No adjustments. Core position is slightly short delta.

Comment:

With the June expiry a "mere" 66 DTE, I'm going to work on the broken June setup directly here with a June 16th 222/226/240/241 iron condor for a 1.00 credit. The setup adds a little positive delta to the June position, has zero upside risk (the max loss of the call side is less than or equal to the credit received), and increases the scratch point of the broken setup to 2.94 if I treat both the broken setup and this adjustment trade as a single "unit."

Comment:

No adjustments; hanging in there with slightly negative delta on the whole she-bang.

Comment:

With the June 16th 225/228 short put vert I layered on today for a .52 credit to give me a little more long delta (probably didn't need it, with the way the market eventually went), my scratch point for the whole June SPY position is now 3.46.

Comment:

Continuing this in a separate, updated post where I collate all my current June 16th expiry SPY positions.