VNQ - Iron Condor

This is a study I wanted to do on strikes with abnormally high open interest and if it affects underlying price movement.

VNQ has pulled back from its ATH to inside the ATB neutral zone.
It also closed with a bearish engulfing candle signaling high probability of sideways to downward trend in next 30-45 days.

Testing a horizontal Iron Condor strategy based on strikes with Highest Open Interest on Monthly Expirations of Dec and Jan 2020.
Option Profit Calculator:

buy 20th Dec $86.00 Put $0.43 $-43.00 (99% of Total OI)
sell 20th Dec $90.00 Put $1.53 $153.00 (99% of Total OI)
sell 17th Jan $90.00 Call $2.08 $208.00 (99% of Total OI)
buy 17th Jan $95.00 Call $0.22 $-22.00 (95% of Total OI)

Credit: $296.00
Collateral: $500.00

Maximum risk: $204 at a price of $101.67 on 20th Dec 2019
Maximum return: $187 at a price of $90 at expiry
Break-evens at expiry: $92.97, $87.27

VNQ needs to stay inside the red bars for profit.
Green line indicates max profit line on a daily basis until expiration.


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