NaughtyPines

TRADE IDEA: AUG 19TH 188/191/217/220 IRON CONDOR

AMEX:SPY   SPDR S&P 500 ETF
7 months ago
As previously discussed in my post below, there are several things you can do in a "locally" low volatility environment, one of which is to sell premium farther out in time. If you look at SPY's implied volatility in the June, July, and August monthlies, you'll see that there is a natural gravity toward normalization or reversion of implied volatility to a background level of around 20%, with June having an implied volatility of 16.4%; July, 17.6%; and August, 18.6%. It gets more toward 20% in September (19%) and December (21%), but I don't want to go farther out than two cycles (a lot can happen in two options cycles, and I naturally want to keep buying power free in closer-in-time expirations to take advantage).

Here are the metrics for this setup:

Probability of Profit: 51%
P50: 68%
Max Profit: $109/contract
Max Loss/Buying Power Effect: $191/contract
Theta: .64/contract
Delta: -3.32/contract

Notes: Additionally, I foresee pulling off several SPY             setups in profit in the next few days, as we are less than two weeks away from May opex where I've got a variety of setups on, and I don't want to get behind the curve with keeping a certain measure of positive theta on here. It ain't sexy, but bread and butter ain't sexy ... .
7 months ago
Comment: Didn't get filled. Will reattempt a slightly adjusted setup in the same expiry tomorrow -- a 187/190/217/220 for a $104 credit. The spreads are a little wider farther out in time due to less volume, but I don't feel the need to chase price. If it fills, it fills; otherwise, I'll reattempt if <45 DTE volatility remains low.
6 months ago
Comment: Filled for a $103 credit.
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