NaughtyPines

APRIL SPY DYNAMIC IRON CONDOR

AMEX:SPY   SPDR S&P 500 ETF
a year ago
I previously described long-term iron condors in SPY             in the post below and a way of "dynamically" managing them intratrade to take advantage of price movement during the life of the setup by either (a) rolling the wings as a unit toward current price when delta balancing or (b) rolling oppositional pairs of options (i.e., the short put and the long call/the short call and the long put) as a unit; and (c) rolling to take advantage of intratrade pops in volatility, which may result in the premium becoming suddenly (but usually temporarily) richer in value for your setup.

In this setup, I've taken a slightly different approach as far as where the wings are placed at the outset than in the previous one (where I set up the short call wing at the edge of the "expected move" for the expiration).

Here, I've started out placing my short call wing with its short call at the 1 standard deviation line for the expiration and then proceeded to match it up with a short put wing with the short put option of the spread at about the same value as the short call option. The result is a 133/136/226/229 iron condor, which is, for all practical purposes, delta neutral (its total delta is -1.81).

From a pure dollar and cents standpoint, it isn't much to look at, since you'll only get a .15 credit to put it on, which will probably barely cover fees and commissions. That being said, the idea is that you don't just leave it alone; rather, you watch the setup's overall delta and then roll intratrade to balance, picking up additional credit during the life of the setup, while keeping your short option strikes clear of statistically likely movement. Obviously, because of the way the setup is skewed, you have a good deal more room to work with on the put side than on the call ... .
a year ago
Comment: I got his filled for a whopping .11 credit. I'll proceed to manage as I did the one set up in March ... .
11 months ago
Comment: On Monday, I need to look at rolling the call side down within the same expiry. The long 229 call's value has decreased to about .06, which is near worthless ... .
11 months ago
Comment: Rolled the call wing down to the 218/221 for a .26 credit.
10 months ago
Comment: Rolled the 218/221 call side down to 208/211 for a .26 credit, as the short call was nearing worthless. As luck would have it, we almost immediately experienced an up move thereafter.
10 months ago
Comment: I haven't been able to do much rolling here with price chopping around where it's at now, but keeping an eye on it.
10 months ago
Comment: Price on the call side has decreased somewhat, I'm still waiting for the short call to get down to <.10 before piddling with it. I'd like to roll up that ridiculous short put side (I mean, really, 133/136?), but rather amazingly, it still has some extrinsic value in it.
9 months ago
Comment: Looking to close this out at 50% (which isn't much) to clean up my setups and to concentrate on greater volatility setups closer in time. After all, this was intended to ride out a low volatility environment, so I guess it's done it's job.
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