StockFetcher Forums · Stock Picks and Trading · TRADING IRON CONDORS - FUN WITH OPTIONS<< 1 2 3 4 5 ... 7 >>Post Follow-up
Kevin_in_GA
4,553 posts
msg #120786
Ignore Kevin_in_GA
6/18/2014 12:26:55 PM

Pangolin IC trades for this week - ICs on options expiring 27 June.

BTO 20 IWM1427R110 IWM Jun27'14 110 put Filled: 0.12 at 6/18/14 12:06 ET
STO 20 IWM1427R112 IWM Jun27'14 112 put Filled: 0.23 at 6/18/14 12:06 ET

This put spread generates a net profit of $220 upon expiration as long as the closing price of IWM on 27 June is above 112. Max risk is $4000 - 20 contracts (2000 shares) at $2 per share.

STO 20 IWM1427F121 IWM Jun27'14 121 call Filled: 0.08 at 6/18/14 11:25 ET
BTO 20 IWM1427F123 IWM Jun27'14 123 call Filled: 0.03 at 6/18/14 11:23 ET

This call spread generates a net profit of $100 upon expiration as long as the closing price of IWM on 27 June is below 121. Max risk is $4000 - 20 contracts (2000 shares) at $2 per share.

BTO 20 SPY1427R186 SPY Jun27'14 186 put Filled: 0.17 at 6/18/14 11:11 ET
STO 20 SPY1427R188 SPY Jun27'14 188 put Filled: 0.25 at 6/18/14 11:11 ET

This put spread generates a net profit of $160 upon expiration as long as the closing price of SPY on 27 June is above 188. Max risk is $4000 - 20 contracts (2000 shares) at $2 per share.

BTO 20 SPY1427F197 SPY Jun27'14 197 call Filled: 0.15 at 6/18/14 11:12 ET
BTO 20 SPY1427F199 SPY Jun27'14 199 call Filled: 0.04 at 6/18/14 11:12 ET

This call spread generates a net profit of $180 upon expiration as long as the closing price of SPY on 27 June is below 197. Max risk is $4000 - 20 contracts (2000 shares) at $2 per share.

No GLD Iron condors for next week - the low implied volatility of GLD options right now makes any profit really hard to get for this type of trade (high implied volatility generates better premiums, and GLD IV is just too low at 12.96%).

Kevin_in_GA
4,553 posts
msg #120789
Ignore Kevin_in_GA
6/18/2014 9:34:27 PM

Update on deltas and probabilities:

BTO 20 IWM1427R110 IWM Jun27'14 110 put Filled: 0.12 at 6/18/14 12:06 ET
STO 20 IWM1427R112 IWM Jun27'14 112 put Filled: 0.23 at 6/18/14 12:06 ET

Current put delta = -0.06 (excellent)
The probability of max profit is now 98.57%.

STO 20 IWM1427F121 IWM Jun27'14 121 call Filled: 0.08 at 6/18/14 11:25 ET
BTO 20 IWM1427F123 IWM Jun27'14 123 call Filled: 0.03 at 6/18/14 11:23 ET

Current call delta = 0.12 (good)
The probability of max profit is 86.76%. Only an 11% chance of taking any loss, and a 3.46% chance of taking a max loss.

BTO 20 SPY1427R186 SPY Jun27'14 186 put Filled: 0.17 at 6/18/14 11:11 ET
STO 20 SPY1427R188 SPY Jun27'14 188 put Filled: 0.25 at 6/18/14 11:11 ET

Current put delta = -0.05 (excellent)
The probability of max profit is now 99.80%.

BTO 20 SPY1427F197 SPY Jun27'14 197 call Filled: 0.15 at 6/18/14 11:12 ET
BTO 20 SPY1427F199 SPY Jun27'14 199 call Filled: 0.04 at 6/18/14 11:12 ET

Current call delta = 0.25 (high risk)
The probability of max profit is now 56.55%. The probability of taking any loss on this right now is 40%, and a 20.54% chance of a max loss.


Kevin_in_GA
4,553 posts
msg #120805
Ignore Kevin_in_GA
6/19/2014 10:19:32 PM

6/19: Update on deltas and probabilities:

BTO 20 IWM1427R110 IWM Jun27'14 110 put Filled: 0.12 at 6/18/14 12:06 ET
STO 20 IWM1427R112 IWM Jun27'14 112 put Filled: 0.23 at 6/18/14 12:06 ET

Current put delta = -0.05 (excellent)
The probability of max profit is now 99.41%.

STO 20 IWM1427F121 IWM Jun27'14 121 call Filled: 0.08 at 6/18/14 11:25 ET
BTO 20 IWM1427F123 IWM Jun27'14 123 call Filled: 0.03 at 6/18/14 11:23 ET

Current call delta = 0.09 (good)
The probability of max profit is now up slightly to 88.95%. Only an 10% chance of taking any loss, and a 0.8% chance of taking a max loss.

BTO 20 SPY1427R186 SPY Jun27'14 186 put Filled: 0.17 at 6/18/14 11:11 ET
STO 20 SPY1427R188 SPY Jun27'14 188 put Filled: 0.25 at 6/18/14 11:11 ET

Current put delta = -0.04 (excellent)
The probability of max profit is now 99.98%.

BTO 20 SPY1427F197 SPY Jun27'14 197 call Filled: 0.15 at 6/18/14 11:12 ET
BTO 20 SPY1427F199 SPY Jun27'14 199 call Filled: 0.04 at 6/18/14 11:12 ET

Current call delta = 0.23 (high risk)
The probability of max profit is now down slightly to 54.49%. The probability of taking any loss on this right now is 42%, but the chance of taking the max loss is down from 20.54% yesterday to 18.49% today.

NOTE: Deltas are for the sold option in each spread. Probabilities are calculated using TradeMonster.

Kevin_in_GA
4,553 posts
msg #120836
Ignore Kevin_in_GA
6/20/2014 9:53:13 PM

6/20: Update on deltas and probabilities:

BTO 20 IWM1427R110 IWM Jun27'14 110 put Filled: 0.12 at 6/18/14 12:06 ET
STO 20 IWM1427R112 IWM Jun27'14 112 put Filled: 0.23 at 6/18/14 12:06 ET

Current put delta = -0.03 (excellent)
The probability of max profit is now 99.36%.


STO 20 IWM1427F121 IWM Jun27'14 121 call Filled: 0.08 at 6/18/14 11:25 ET
BTO 20 IWM1427F123 IWM Jun27'14 123 call Filled: 0.03 at 6/18/14 11:23 ET

Current call delta = 0.08 (good)
The probability of max profit is now down slightly to 84.09%. Only an 15% chance of taking any loss, and a 1.4% chance of taking a max loss.


BTO 20 SPY1427R186 SPY Jun27'14 186 put Filled: 0.17 at 6/18/14 11:11 ET
STO 20 SPY1427R188 SPY Jun27'14 188 put Filled: 0.25 at 6/18/14 11:11 ET

Current put delta = -0.04 (excellent)
The probability of max profit is now 99.96%.


BTO 20 SPY1427F197 SPY Jun27'14 197 call Filled: 0.15 at 6/18/14 11:12 ET
BTO 20 SPY1427F199 SPY Jun27'14 199 call Filled: 0.04 at 6/18/14 11:12 ET

Current call delta = 0.26 (high risk)
Even though the stock price moved closer to the edge of the call spread, the probability of max profit is up from 54.49% yesterday to 63.53% today. The probability of taking any loss on this right now down to 36%, and the chance of taking the max loss is down from 18.49% yesterday to 12.64% today.




guspenskiy13
976 posts
msg #120842
Ignore guspenskiy13
6/23/2014 3:04:45 AM

Thanks for the updates Kevin.

"Certainly more attractive than being glued to a terminal trying to time the market using indicators on 2 minute bars."

how true...saw myself here...

Kevin_in_GA
4,553 posts
msg #120849
Ignore Kevin_in_GA
6/23/2014 1:45:27 PM

Well, I did add that part in specifically for you.

Kevin_in_GA
4,553 posts
msg #120854
Ignore Kevin_in_GA
modified
6/24/2014 12:33:23 AM

6/23: Update on deltas and probabilities:

BTO 20 IWM1427R110 IWM Jun27'14 110 put Filled: 0.12 at 6/18/14 12:06 ET
STO 20 IWM1427R112 IWM Jun27'14 112 put Filled: 0.23 at 6/18/14 12:06 ET

Current put delta = -0.03 (excellent)
The probability of max profit is now 99.69%.

STO 20 IWM1427F121 IWM Jun27'14 121 call Filled: 0.08 at 6/18/14 11:25 ET
BTO 20 IWM1427F123 IWM Jun27'14 123 call Filled: 0.03 at 6/18/14 11:23 ET

Current call delta = 0.04 (excellent)
The probability of max profit is now up to 88.69%. Only a 10.23% chance of taking any loss, and a 0.57% chance of taking a max loss.

BTO 20 SPY1427R186 SPY Jun27'14 186 put Filled: 0.17 at 6/18/14 11:11 ET
STO 20 SPY1427R188 SPY Jun27'14 188 put Filled: 0.25 at 6/18/14 11:11 ET

Current put delta = -0.03 (excellent)
The probability of max profit is now 100.00%.

STO 20 SPY1427F197 SPY Jun27'14 197 call Filled: 0.15 at 6/18/14 11:12 ET
BTO 20 SPY1427F199 SPY Jun27'14 199 call Filled: 0.04 at 6/18/14 11:12 ET

Current call delta = 0.22 (lower but still elevated risk)
Even though the stock price did not move today, time decay helped improve the probability of max profit from 63.53% yesterday to 68.55% today. The probability of taking any loss on this right now down to 28.92%, and the chance of taking the max loss is down to only 7.42% today.


jimmyjazz
99 posts
msg #120856
Ignore jimmyjazz
6/24/2014 9:26:19 AM

I think 2 of your "current put delta = " should read "current call delta = ".

Kevin_in_GA
4,553 posts
msg #120860
Ignore Kevin_in_GA
6/24/2014 1:36:53 PM

Good catch. That's what I get for being lazy and copying/pasting. Now corrected.

leaddog
38 posts
msg #120862
Ignore leaddog
6/24/2014 6:58:36 PM

Not tying to be picky but for clarity sake, I believe that the 197 call wing of the SPY trade should be STO instead of BTO.

I recently started trading a similar strategy on the SPX and am interested in your take on it.

StockFetcher Forums · Stock Picks and Trading · TRADING IRON CONDORS - FUN WITH OPTIONS<< 1 2 3 4 5 ... 7 >>Post Follow-up

*** Disclaimer *** StockFetcher.com does not endorse or suggest any of the securities which are returned in any of the searches or filters. They are provided purely for informational and research purposes. StockFetcher.com does not recommend particular securities. StockFetcher.com, Vestyl Software, L.L.C. and involved content providers shall not be liable for any errors or delays in the content, or for any actions taken based on the content.


Copyright 2016 - Vestyl Software L.L.C.Terms of Service | License | Questions or comments? Contact Us
EOD Data sources: DDFPlus & CSI Data Quotes delayed during active market hours. Delay times are at least 15 mins for NASDAQ, 20 mins for NYSE and Amex. Delayed intraday data provided by DDFPlus