Track That Trade. CTM Iron Condor

TTT 111115

Let’s look at a CTM (closer to the money) iron condor.

SPXPM Feb 1100/1125P;1350/1375C iron condor
Credit ~ $11.80

Full Screen Video Recommended. The font size may be too small in the video below.

Update 11/11/16

One date later, SPX is 21 points lower

Market Close, Nov 16, 2011

Midpoint for iron condor is now $12.25.
Short option deltas:

  • 1125 put: 27
  • 1350 call: 24

All is well

Nov 17 Update

1142 am CT
SPX is down another 23 points. Here is the live data at that time.

Nov 17. 11:42 am CT. SPX = 1213

The yellow arrows point to the current SPX price and the bid/ask market for our iron condor trade

The white arrows point to the implied volatility and delta for our most at risk option – the Nov 1125 put. The 30 delta may appear to be worrisome, but let’s remember that we made the trade with 25 detla options and it is far too soon to consider making any adjustments to this position.

Nov 17 11:42 am

Note that we are nearer to delta neutral than when we began, so the decline has been good, and not worrisome. So far.

Update Nov 20

Well, it’s 9:20 am and SPX is down another 25 points to 1190.
VIX is currently 34.29

This should be a situation that worries us – fast falling markets, IV moving higher (not by much) and the delta of our short option is 30. Yet, we can exit this trade at roughly $10.70 or perhaps 10.80.

If anyone owns this trade and if this makes you nervous, it’s an easy decision to exit – especially with a profit. For now, I’m holding this trade, with no adjustments.

Nov 20. 9:20 am

Nov 20 Risk

Update Nov 23

SPX down 22 points today to 1166.
With VIX holding (33.52), the iron condor is not increasing in value. The midpoint is $20.80, and we can exit at a profit. If you own this position and the delta of the 1125 put (34) makes you nervous, this is an opportune time to get out, eliminate risk, and make a bit of cash for your effort.

Market for our iron condor

I am holding this position.

Update Nov 30

SPX was up 41, now higher by 38 points, and was upon ‘only’ 33 when the image was taken.

Nov 30 morning quote

Midpoint is $9.25 and we have an ongoing profit.

With the deltas at reasonable levels (18 and 26), there is no reason to make any adjustments. For traders who prefer to lock in profits, go for it. For me, it is too soon. If I exit here, I would sell another Feb iron condor. If you find something that you prefer to own, then it may be appropriate to exit and open the preferred iron condor. Just remember that when we trade we always give up some edge by selling below the quote midpoint and paying above Thus, make this ‘position switch’ only when you have a good reason to do so.

Update Dec 8, 2011

Markets moving, but it’s all good for our position.

Time passes. Looks Good on Dec 8

Update Dec 15, 2011

Nothing to do. This is working as well as as IC can work. Time passes and IV declines.

Current midpoint to exit: $6.70

Dec 15 market quote

Update Dec 20

Today’s rally is good for our position.

If satisfied with the profits, feel free to exit a trade in this situation. However, there is no reason for us to do so.

Decision: Continue to hold.

Dec 20. Making money!

Update Jan 6, 2012

Fini. The end.

There is no point in following this trade any further. I’d be bidding to exit so I can rebalance.

On the other hand this trade has been a big winner, and there is no urgency to get out. The deltas are decent at 14 and 8. It’s a comfort zone decision. But I believe this is a good spot to rebalance the portfolio. If holding, I’d look at this position every day – looking for an exit point.

10 Responses to “Track That Trade. CTM Iron Condor”

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