SPX 31 AUG Iron Condor (586)

IncomeLab Forum Forums Income Lab SPX 31 AUG Iron Condor (586)

This topic contains 4 replies, has 1 voice, and was last updated by  Igor 1 year, 11 months ago.

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  • #8214

    Igor
    Keymaster

    SPX at 2430
    VIX at 11.50

    We’re going to put on an Iron Condor in 31 AUG WEEKLY expiration cycle with 57 days until expiration. We’re selling:

    SPX 2300/2290 Bull Put spread
    SPX 2520/2530 Bear Call spread

    Short strike on the put side has a delta around 15 and the short call delta around 10.
    These are 10 point wide credit spreads.

    Risk Profile:

    Our Max Allowable Loss (MAL) is around 1.5 times total credit. If total credit is $1.70 then MAL is $2.55
    Our first profit target is 50% of credit in 25 days or less.
    We’re going to manage this position when short put delta reaches 25 or short call delta reaches 20

    IncomeLab Order Ticket
    Type Asset Duration Strike C/P
    BTO SPX 31 AUG 17 2530 Call
    STO SPX 31 AUG 17 2520 Call
    STO SPX 31 AUG 17 2300 Put
    BTO SPX 31 AUG 17 2290 Put
    Total Credit: $1.70

    #8218

    Igor
    Keymaster

    We’re going to change strikes to:

    2290/2280 Bull Put spread
    2510/2520 Bear Call spread

    IncomeLab Order Ticket
    Type Asset Duration Strike C/P
    BTO SPX 31 AUG 17 2520 Call
    STO SPX 31 AUG 17 2510 Call
    STO SPX 31 AUG 17 2290 Put
    BTO SPX 31 AUG 17 2280 Put
    Total Credit: $1.70

    #8245

    Igor
    Keymaster

    We’re going to roll up our put spread from 2290 to 2350 in 2 steps:

    1. BUY TO CLOSE 2290/2280 BULL PUT SPREAD

    IncomeLab Order Ticket
    Type Asset Duration Strike C/P
    BTC SPX 31 AUG 17 2290 Put
    STC SPX 31 AUG 17 2280 Put
    Total Debit: $0.40

    2. SELL TO OPEN 2350/2340 BULL PUT SPREAD

    IncomeLab Order Ticket
    Type Asset Duration Strike C/P
    STO SPX 31 AUG 17 2350 Put
    BTO SPX 31 AUG 17 2340 Put
    Total Credit: $0.80

    Note: This adjustment does NOT fix the upside, but it brings in an additional credit that can be used to hedge the upside IF SPX breaks out above previous all time highs. Our plan is to use OTM options to hedge on the upside when short strike’s delta goes above 20 (currently about 16 or so).

    #8256

    Igor
    Keymaster

    We’re going to roll up 2290/2280 to 2370/2360.

    1. BUY TO CLOSE 2290/2280 for .40c or less

    IncomeLab Order Ticket
    Type Asset Duration Strike C/P
    BTC SPX 31 AUG 17 2290 Put
    STC SPX 31 AUG 17 2280 Put
    Total Debit: $0.40

    2. SELL TO OPEN 2370/2360 Bull Put spread

    IncomeLab Order Ticket
    Type Asset Duration Strike C/P
    STO SPX 31 AUG 17 2370 Put
    BTO SPX 31 AUG 17 2360 Put
    Total Credit: $0.90

    #8260

    Igor
    Keymaster

    We’re going to make an adjustment on the upside. 2510 call delta reached 20. Our goal is to remove 2/3 of our NET delta of this position. This is what it looks like currently:

    Our NET delta is around -60. We need to cut it down to -20. We’re going to add 40 delta by buying OTM calls in 8SEP cycle with 51 days to expiration. We’re picking up (4) 10 delta calls. This is what this position looks like after this adjustment:

    IncomeLab Order Ticket
    Type Asset Duration Strike C/P
    BTO SPX 8 SEP 17 2540 Call
    Total Debit: $2.60

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