StockFetcher Forums · Stock Picks and Trading · TRADING IRON CONDORS - FUN WITH OPTIONS<< 1 ... 3 4 5 6 7 >>Post Follow-up
michlerio
4 posts
msg #121485
Ignore michlerio
9/11/2014 11:40:42 AM

thanks for the response. congrats on the +6% in august. I couldn't profit because I'm only papertrading your iron condor at the moment , as I have to learn and gain confidence what I'm doing with the iron condor.
greetings

Kevin_in_GA
4,536 posts
msg #121486
Ignore Kevin_in_GA
9/11/2014 1:02:44 PM

Glad someone is at least looking at it. Not a lot of subscribers at C2 - I was ready to let it lapse until one week before expiration someone finally did the free trial!

As it stands C2 is not a great platform for trading options since you can't put spreads in as limit orders. Nonetheless the system has done quite well over the last six months or so.

Kevin_in_GA
4,536 posts
msg #121487
Ignore Kevin_in_GA
9/11/2014 1:23:55 PM

To make it easier to follow how this works. There was one losing trade, but not because it closed outside of the short strike, but because I got a really bad fill on the spread which was not enough to cover the commissions. Totally my fault rather than any fault of the strategy.

Open Time ET Action Num Opened Symbol Descrip Open Price Num Closed Closed Time ET Trade P/L

8/25/2014 13:40 BUY 20 SPY1405U192 SPY Sep5'14 192 put 0.12 20 9/6/2014 9:01 -259
8/25/2014 14:28 SELL 20 SPY1405U194 SPY Sep5'14 194 put 0.17 20 9/6/2014 9:01 321
Net Gain: $321-$259 = $62 After commissions

8/25/2014 13:43 SELL 20 IWM1405U111 IWM Sep5'14 111 put 0.16 20 9/6/2014 9:01 301
8/25/2014 13:42 BUY 20 IWM1405U109 IWM Sep5'14 109 put 0.09 20 9/6/2014 9:01 -199
Net Gain: $301-$199 = $102 After commissions

8/25/2014 13:44 BUY 20 IWM1405I121 IWM Sep5'14 121 call 0.03 20 9/6/2014 9:01 -79
8/25/2014 13:44 SELL 20 IWM1405I119 IWM Sep5'14 119 call 0.1 20 9/6/2014 9:01 181
Net Gain: $181-$79 = $102 After commissions

8/26/2014 13:54 BUY 20 GLD1405I129 GLD Sep5'14 129 call 0.06 20 9/6/2014 9:01 -139
8/26/2014 13:59 SELL 20 GLD1405I127 GLD Sep5'14 127 call 0.11 20 9/6/2014 9:01 201
Net Gain: $201-$139 = $62 After commissions

8/19/2014 9:30 SELL 20 SPY1429T190 SPY Aug29'14 190 put 0.17 20 8/30/2014 9:16 321
8/18/2014 15:52 BUY 20 SPY1429T188 SPY Aug29'14 188 put 0.16 20 8/30/2014 9:16 -339
Net Gain: $321-$339 = -$18 After commissions (bad fill at only 0.01 for the spread).

8/18/2014 15:58 SELL 20 IWM1429H118 IWM Aug29'14 118 call 0.11 20 8/30/2014 9:00 201
8/18/2014 15:58 BUY 20 IWM1429H120 IWM Aug29'14 120 call 0.02 20 8/30/2014 9:00 -59
Net Gain: $201-$59 = $142 After commissions

8/18/2014 15:54 SELL 20 IWM1429T109 IWM Aug29'14 109 put 0.15 20 8/30/2014 9:00 281
8/18/2014 15:53 BUY 20 IWM1429T107 IWM Aug29'14 107 put 0.09 20 8/30/2014 9:00 -199
Net Gain: $281-$199 = $82 After commissions

8/11/2014 15:04 BUY 20 GLD1422T119 GLD Aug22'14 119 put 0.06 20 8/23/2014 9:02 -139
8/11/2014 15:04 SELL 20 GLD1422T121 GLD Aug22'14 121 put 0.1 20 8/23/2014 9:02 181
Net Gain: $181-$139 = $42 After commissions

8/11/2014 15:08 BUY 20 SPY1422T184 SPY Aug22'14 184 put 0.19 20 8/23/2014 9:02 -399
8/11/2014 15:08 SELL 20 SPY1422T186 SPY Aug22'14 186 put 0.27 20 8/23/2014 9:02 521
Net Gain: $521-$399 = $122 After commissions

8/11/2014 15:12 SELL 20 IWM1422H118 IWM Aug22'14 118 call 0.08 20 8/23/2014 9:02 141
8/11/2014 15:11 BUY 20 IWM1422H120 IWM Aug22'14 120 call 0.03 20 8/23/2014 9:02 -79
Net Gain: $141-$79 = $62 After commissions

8/11/2014 15:37 BUY 20 IWM1422T105 IWM Aug22'14 105 put 0.11 20 8/23/2014 9:02 -239
8/11/2014 15:37 SELL 20 IWM1422T107 IWM Aug22'14 107 put 0.18 20 8/23/2014 9:02 341
Net Gain: $341-$239 = $102 After commissions

8/4/2014 15:42 SELL 20 GLD1416H128 GLD Aug16'14 128 call 0.13 20 8/17/2014 9:01 241
8/4/2014 15:41 BUY 20 GLD1416H130 GLD Aug16'14 130 call 0.07 20 8/17/2014 9:01 -159
Net Gain: $241-$159 = $82 After commissions

8/4/2014 15:40 SELL 20 GLD1416T120 GLD Aug16'14 120 put 0.16 20 8/17/2014 9:00 301
8/4/2014 15:39 BUY 20 GLD1416T118 GLD Aug16'14 118 put 0.08 20 8/17/2014 9:00 -179
Net Gain: $301-$179 = $122 After commissions

8/4/2014 15:33 SELL 20 SPY1416T185 SPY Aug16'14 185 put 0.22 20 8/17/2014 9:00 421
8/4/2014 15:32 BUY 20 SPY1416T183 SPY Aug16'14 183 put 0.16 20 8/17/2014 9:00 -339
Net Gain: $421-$339 = $102 After commissions

8/4/2014 15:36 SELL 20 IWM1416T105 IWM Aug16'14 105 put 0.17 20 8/17/2014 9:00 321
8/4/2014 15:36 BUY 20 IWM1416T103 IWM Aug16'14 103 put 0.11 20 8/17/2014 9:00 -239
Net Gain: $321-$239 = $82 After commissions

8/4/2014 15:34 BUY 20 SPY1416H200 SPY Aug16'14 200 call 0.05 20 8/17/2014 9:00 -119
8/4/2014 15:35 SELL 20 SPY1416H198 SPY Aug16'14 198 call 0.18 20 8/17/2014 9:00 341
Net Gain: $341-$119 = $122 After commissions

8/4/2014 15:37 SELL 20 IWM1416H116 IWM Aug16'14 116 call 0.09 20 8/17/2014 9:00 161
8/4/2014 15:37 BUY 20 IWM1416H118 IWM Aug16'14 118 call 0.03 20 8/17/2014 9:00 -79
Net Gain: $161-$79 = $82 After commissions

Kevin_in_GA
4,536 posts
msg #121649
Ignore Kevin_in_GA
10/4/2014 3:04:51 PM

Just a follow up on recent performance from Pangolin IC. This is every vertical spread taken since 7/15 of this year and how it played out.

Open Time ET Action Num Opened Symbol Descrip Open Price Num Closed Closed Time ET Close Price Trade P/L
9/22/2014 14:40 SELL 20 IWM1403J116 IWM Oct3'14 116 call 0.11 20 10/4/2014 9:02 0 201
9/22/2014 14:40 BUY 20 IWM1403J118 IWM Oct3'14 118 call 0.03 20 10/4/2014 9:01 0 -79
NET GAIN OF $122 AFTER COMMISSIONS

9/22/2014 14:39 SELL 20 IWM1403V107 IWM Oct3'14 107 put 0.3 20 10/4/2014 9:01 0 581
9/22/2014 14:38 BUY 20 IWM1403V105 IWM Oct3'14 105 put 0.17 20 10/4/2014 9:01 0 -359
NET GAIN OF $222 AFTER COMMISSIONS

9/22/2014 14:35 SELL 20 SPY1403J203 SPY Oct3'14 203 call 0.11 20 10/4/2014 9:01 0 201
9/22/2014 14:34 BUY 20 SPY1403J205 SPY Oct3'14 205 call 0.03 20 10/4/2014 9:01 0 -79
NET GAIN OF $122 AFTER COMMISSIONS

9/22/2014 14:33 SELL 20 SPY1403V192 SPY Oct3'14 192 put 0.35 20 10/4/2014 9:01 0 681
9/22/2014 14:33 BUY 20 SPY1403V190 SPY Oct3'14 190 put 0.26 20 10/4/2014 9:01 0 -539
NET GAIN OF $142 AFTER COMMISSIONS

9/22/2014 14:54 BUY 20 GLD1403J125 GLD Oct3'14 125 call 0.04 20 10/4/2014 9:01 0 -99
9/22/2014 15:02 SELL 20 GLD1403J121 GLD Oct3'14 121 call 0.14 20 10/4/2014 9:01 0 261
NET GAIN OF $162 AFTER COMMISSIONS

9/15/2014 15:12 BUY 20 SPY1426U190 SPY Sep26'14 190 put 0.36 20 9/27/2014 9:34 0 -739
9/15/2014 15:13 SELL 20 SPY1426U192 SPY Sep26'14 192 put 0.49 20 9/27/2014 9:34 0 961
NET GAIN OF $222 AFTER COMMISSIONS

9/15/2014 15:15 SELL 20 SPY1426I202 SPY Sep26'14 202 call 0.16 20 9/27/2014 9:34 0 301
9/15/2014 15:14 BUY 20 SPY1426I204 SPY Sep26'14 204 call 0.03 20 9/27/2014 9:34 0 -79
NET GAIN OF $222 AFTER COMMISSIONS

9/15/2014 15:42 SELL 20 GLD1426U113 GLD Sep26'14 113 put 0.2 20 9/27/2014 9:02 0 381
9/15/2014 15:42 BUY 20 GLD1426U111 GLD Sep26'14 111 put 0.14 20 9/27/2014 9:02 0 -299
NET GAIN OF $82 AFTER COMMISSIONS

9/15/2014 15:21 BUY 20 IWM1426U106 IWM Sep26'14 106 put 0.14 20 9/27/2014 9:02 0 -299
9/15/2014 15:22 SELL 20 IWM1426U108 IWM Sep26'14 108 put 0.23 20 9/27/2014 9:02 0 441
NET GAIN OF $142 AFTER COMMISSIONS

9/15/2014 15:23 BUY 20 IWM1426I120 IWM Sep26'14 120 call 0.02 20 9/27/2014 9:02 0 -59
9/15/2014 15:23 SELL 20 IWM1426I118 IWM Sep26'14 118 call 0.11 20 9/27/2014 9:02 0 201
NET GAIN OF $142 AFTER COMMISSIONS

9/15/2014 15:46 BUY 20 GLD1426I124 GLD Sep26'14 124 call 0.08 20 9/27/2014 9:02 0 -179
9/15/2014 15:47 SELL 20 GLD1426I122 GLD Sep26'14 122 call 0.23 20 9/27/2014 9:02 0 441
NET GAIN OF $262 AFTER COMMISSIONS

9/9/2014 13:46 SELL 20 IWM1420I119 IWM Sep20'14 119 call 0.12 20 9/21/2014 9:08 0 221
9/9/2014 13:45 BUY 20 IWM1420I121 IWM Sep20'14 121 call 0.03 20 9/21/2014 9:06 0 -79
NET GAIN OF $142 AFTER COMMISSIONS

9/9/2014 13:44 BUY 20 GLD1420I127 GLD Sep20'14 127 call 0.06 20 9/21/2014 9:06 0 -139
9/9/2014 13:44 SELL 20 GLD1420I125 GLD Sep20'14 125 call 0.12 20 9/21/2014 9:06 0 221
NET GAIN OF $82 AFTER COMMISSIONS

9/8/2014 15:28 SELL 20 SPY1420U193 SPY Sep20'14 193 put 0.25 20 9/21/2014 9:05 0 481
9/8/2014 15:27 BUY 20 SPY1420U191 SPY Sep20'14 191 put 0.19 20 9/21/2014 9:05 0 -399
NET GAIN OF $82 AFTER COMMISSIONS

9/8/2014 15:30 BUY 20 IWM1420U109 IWM Sep20'14 109 put 0.1 20 9/21/2014 9:05 0 -219
9/8/2014 15:32 SELL 20 IWM1420U111 IWM Sep20'14 111 put 0.16 20 9/21/2014 9:05 0 301
NET GAIN OF $82 AFTER COMMISSIONS

9/8/2014 15:22 SELL 20 GLD1420U117 GLD Sep20'14 117 put 0.23 20 9/21/2014 9:04 0 441
9/8/2014 15:22 BUY 20 GLD1420U115 GLD Sep20'14 115 put 0.11 20 9/21/2014 9:04 0 -239
NET GAIN OF $202 AFTER COMMISSIONS

9/2/2014 13:44 SELL 20 GLD1412I125.5 GLD Sep12'14 125.5 call 0.13 20 9/13/2014 9:01 0 241
9/2/2014 13:44 BUY 20 GLD1412I128 GLD Sep12'14 128 call 0.06 20 9/13/2014 9:01 0 -139
NET GAIN OF $102 AFTER COMMISSIONS

9/2/2014 13:42 SELL 20 GLD1412U117.5 GLD Sep12'14 117.5 put 0.13 20 9/13/2014 9:01 0 241
9/2/2014 13:41 BUY 20 GLD1412U115 GLD Sep12'14 115 put 0.06 20 9/13/2014 9:01 0 -139
NET GAIN OF $102 AFTER COMMISSIONS

9/2/2014 13:45 BUY 20 IWM1412U110 IWM Sep12'14 110 put 0.09 20 9/13/2014 9:01 0 -199
9/2/2014 13:46 SELL 20 IWM1412U112 IWM Sep12'14 112 put 0.16 20 9/13/2014 9:01 0 301
NET GAIN OF $102 AFTER COMMISSIONS

9/2/2014 13:47 BUY 20 IWM1412I122 IWM Sep12'14 122 call 0.03 20 9/13/2014 9:00 0 -79
9/2/2014 13:58 SELL 20 IWM1412I120 IWM Sep12'14 120 call 0.1 20 9/13/2014 9:00 0 181
NET GAIN OF $102 AFTER COMMISSIONS

9/2/2014 13:48 BUY 20 SPY1412U192 SPY Sep12'14 192 put 0.13 20 9/13/2014 9:00 0 -279
9/2/2014 13:49 SELL 20 SPY1412U194 SPY Sep12'14 194 put 0.19 20 9/13/2014 9:00 0 361
NET GAIN OF $82 AFTER COMMISSIONS

8/25/2014 13:43 SELL 20 IWM1405U111 IWM Sep5'14 111 put 0.16 20 9/6/2014 9:01 0 301
8/25/2014 13:42 BUY 20 IWM1405U109 IWM Sep5'14 109 put 0.09 20 9/6/2014 9:01 0 -199
NET GAIN OF $102 AFTER COMMISSIONS

8/25/2014 13:44 BUY 20 IWM1405I121 IWM Sep5'14 121 call 0.03 20 9/6/2014 9:01 0 -79
8/25/2014 13:44 SELL 20 IWM1405I119 IWM Sep5'14 119 call 0.1 20 9/6/2014 9:01 0 181
NET GAIN OF $102 AFTER COMMISSIONS

8/25/2014 13:40 BUY 20 SPY1405U192 SPY Sep5'14 192 put 0.12 20 9/6/2014 9:01 0 -259
8/25/2014 14:28 SELL 20 SPY1405U194 SPY Sep5'14 194 put 0.17 20 9/6/2014 9:01 0 321
NET GAIN OF $62 AFTER COMMISSIONS

8/26/2014 13:54 BUY 20 GLD1405I129 GLD Sep5'14 129 call 0.06 20 9/6/2014 9:01 0 -139
8/26/2014 13:59 SELL 20 GLD1405I127 GLD Sep5'14 127 call 0.11 20 9/6/2014 9:01 0 201
NET GAIN OF $62 AFTER COMMISSIONS

8/19/2014 9:30 SELL 20 SPY1429T190 SPY Aug29'14 190 put 0.17 20 8/30/2014 9:16 0 321
8/18/2014 15:52 BUY 20 SPY1429T188 SPY Aug29'14 188 put 0.16 20 8/30/2014 9:16 0 -339
NET LOSS OF $18 AFTER COMMISSIONS

8/18/2014 15:58 SELL 20 IWM1429H118 IWM Aug29'14 118 call 0.11 20 8/30/2014 9:00 0 201
8/18/2014 15:58 BUY 20 IWM1429H120 IWM Aug29'14 120 call 0.02 20 8/30/2014 9:00 0 -59
NET GAIN OF $142 AFTER COMMISSIONS

8/18/2014 15:54 SELL 20 IWM1429T109 IWM Aug29'14 109 put 0.15 20 8/30/2014 9:00 0 281
8/18/2014 15:53 BUY 20 IWM1429T107 IWM Aug29'14 107 put 0.09 20 8/30/2014 9:00 0 -199
NET GAIN OF $102 AFTER COMMISSIONS

8/11/2014 15:04 BUY 20 GLD1422T119 GLD Aug22'14 119 put 0.06 20 8/23/2014 9:02 0 -139
8/11/2014 15:04 SELL 20 GLD1422T121 GLD Aug22'14 121 put 0.1 20 8/23/2014 9:02 0 181
NET GAIN OF $42 AFTER COMMISSIONS

8/11/2014 15:08 BUY 20 SPY1422T184 SPY Aug22'14 184 put 0.19 20 8/23/2014 9:02 0 -399
8/11/2014 15:08 SELL 20 SPY1422T186 SPY Aug22'14 186 put 0.27 20 8/23/2014 9:02 0 521
NET GAIN OF $122 AFTER COMMISSIONS

8/11/2014 15:12 SELL 20 IWM1422H118 IWM Aug22'14 118 call 0.08 20 8/23/2014 9:02 0 141
8/11/2014 15:11 BUY 20 IWM1422H120 IWM Aug22'14 120 call 0.03 20 8/23/2014 9:02 0 -79
NET GAIN OF $62 AFTER COMMISSIONS

8/11/2014 15:37 BUY 20 IWM1422T105 IWM Aug22'14 105 put 0.11 20 8/23/2014 9:02 0 -239
8/11/2014 15:37 SELL 20 IWM1422T107 IWM Aug22'14 107 put 0.18 20 8/23/2014 9:02 0 341
NET GAIN OF $102 AFTER COMMISSIONS

8/4/2014 15:42 SELL 20 GLD1416H128 GLD Aug16'14 128 call 0.13 20 8/17/2014 9:01 0 241
8/4/2014 15:41 BUY 20 GLD1416H130 GLD Aug16'14 130 call 0.07 20 8/17/2014 9:01 0 -159
NET GAIN OF $82 AFTER COMMISSIONS

8/4/2014 15:40 SELL 20 GLD1416T120 GLD Aug16'14 120 put 0.16 20 8/17/2014 9:00 0 301
8/4/2014 15:39 BUY 20 GLD1416T118 GLD Aug16'14 118 put 0.08 20 8/17/2014 9:00 0 -179
NET GAIN OF $122 AFTER COMMISSIONS

8/4/2014 15:33 SELL 20 SPY1416T185 SPY Aug16'14 185 put 0.22 20 8/17/2014 9:00 0 421
8/4/2014 15:32 BUY 20 SPY1416T183 SPY Aug16'14 183 put 0.16 20 8/17/2014 9:00 0 -339
NET GAIN OF $82 AFTER COMMISSIONS

8/4/2014 15:36 SELL 20 IWM1416T105 IWM Aug16'14 105 put 0.17 20 8/17/2014 9:00 0 321
8/4/2014 15:36 BUY 20 IWM1416T103 IWM Aug16'14 103 put 0.11 20 8/17/2014 9:00 0 -239
NET GAIN OF $82 AFTER COMMISSIONS

8/4/2014 15:34 BUY 20 SPY1416H200 SPY Aug16'14 200 call 0.05 20 8/17/2014 9:00 0 -119
8/4/2014 15:35 SELL 20 SPY1416H198 SPY Aug16'14 198 call 0.18 20 8/17/2014 9:00 0 341
NET GAIN OF $222 AFTER COMMISSIONS

8/4/2014 15:37 SELL 20 IWM1416H116 IWM Aug16'14 116 call 0.09 20 8/17/2014 9:00 0 161
8/4/2014 15:37 BUY 20 IWM1416H118 IWM Aug16'14 118 call 0.03 20 8/17/2014 9:00 0 -79
NET GAIN OF $82 AFTER COMMISSIONS

7/28/2014 10:00 SELL 20 SPY1408T190 SPY Aug8'14 190 put 0.3 20 8/9/2014 9:02 0 581
7/28/2014 10:00 BUY 20 SPY1408T188 SPY Aug8'14 188 put 0.22 20 8/9/2014 9:02 0 -459
NET GAIN OF $122 AFTER COMMISSIONS

7/28/2014 10:02 SELL 20 IWM1408T107 IWM Aug8'14 107 put 0.21 20 8/9/2014 9:02 0 401
7/28/2014 10:02 BUY 20 IWM1408T105 IWM Aug8'14 105 put 0.13 20 8/9/2014 9:02 0 -279
NET GAIN OF $122 AFTER COMMISSIONS

7/28/2014 9:49 SELL 20 GLD1408T121 GLD Aug8'14 121 put 0.16 20 8/9/2014 9:02 0 301
7/28/2014 9:49 BUY 20 GLD1408T119 GLD Aug8'14 119 put 0.08 20 8/9/2014 9:02 0 -179
NET GAIN OF $122 AFTER COMMISSIONS

7/15/2014 12:05 SELL 20 IWM1425G118 IWM Jul25'14 118 call 0.11 20 7/26/2014 9:06 0 201
7/15/2014 12:05 BUY 20 IWM1425G120 IWM Jul25'14 120 call 0.03 20 7/26/2014 9:06 0 -79
NET GAIN OF $122 AFTER COMMISSIONS

7/15/2014 12:07 BUY 20 IWM1425S107 IWM Jul25'14 107 put 0.13 20 7/26/2014 9:06 0 -279
7/15/2014 12:07 SELL 20 IWM1425S109 IWM Jul25'14 109 put 0.24 20 7/26/2014 9:03 0 461
NET GAIN OF $182 AFTER COMMISSIONS

7/15/2014 12:08 BUY 20 SPY1425S189 SPY Jul25'14 189 put 0.18 20 7/26/2014 9:03 0 -379
7/15/2014 12:08 SELL 20 SPY1425S191 SPY Jul25'14 191 put 0.25 20 7/26/2014 9:03 0 481
NET GAIN OF $102 AFTER COMMISSIONS

7/15/2014 12:12 BUY 20 GLD1425G131 GLD Jul25'14 131 call 0.04 20 7/26/2014 9:03 0 -99
7/15/2014 12:12 SELL 20 GLD1425G129 GLD Jul25'14 129 call 0.09 20 7/26/2014 9:03 0 161
NET GAIN OF $62 AFTER COMMISSIONS

7/15/2014 12:10 BUY 20 GLD1425S119 GLD Jul25'14 119 put 0.08 20 7/26/2014 9:03 0 -179
7/15/2014 12:11 SELL 20 GLD1425S121 GLD Jul25'14 121 put 0.2 20 7/26/2014 9:03 0 381
NET GAIN OF $202 AFTER COMMISSIONS

The single losing spread was actually my fault for taking too low a premium to cover the commissions, not through any fault of the strategy. The net gain from 7/15 until today (10/4) is $5348 or 21.4% return on an initial investment of $25,000 (the amount used in Pangolin IC). This is compared to a net loss of -0.3% for the S&P 500. The system win percentage during this time was 46 for 46 (100%). My personal win percentage was 45/46 or 97.8%

Now, truth is that one totally blown spread would wipe out most of these gains, but through proper analysis of the statistics and probabilities of any sold put or call ending ITM, you can adjust your risk such that this is almost never going to happen.

The reason I am posting this is NOT to advertise the system, but rather to demonstrate that traditional stock analysis may not actually be the best approach - in fact I am coming to the conclusion that traditional indicators, regardless of how they might be combined or backtested, cannot maintain the statistical edge that one can always achieve using vertical spreads.

Kevin_in_GA
4,536 posts
msg #121663
Ignore Kevin_in_GA
10/6/2014 6:43:32 PM

OK - a small amount of shameless self-promotion for Pangolin IC. If I have done the code right it should update automatically.




The first month or so I was still working out some of the kinks - it ended up fine in the end but was fairly tense at times. Now I focus on taking a little less risk and less return but still focused on 1-2% per week.


mahkoh
888 posts
msg #121870
Ignore mahkoh
modified
10/31/2014 5:48:14 PM

Kevin, I noticed that when buying condors where the sold legs are around 10 % delta the possible profit is usually about $125 for every $ 1000 at risk. It doesn't really make a difference whether you place the trade 4,5 or 10 days before expiration.

The thing that changes is that the size of the body (the difference between the sold strikes) diminishes the closer you get to the expiration date. This of course makes sense as the underlying has less time to make a move outside the sold strikes.

You choose to make the trade 9 days before expiration, is that arbitrary or did you quantify that as optimal?

There is one other thing that I find a bit unsettling: On the Friday before expiration the 10 % delta strikes are roughly 2.5 % away from the underlying. Looking at the last 250 weeks however it turns out that SPX actually made 50 weekly moves that were larger than 2.5%. So the market assumes 10 % chance for a move that historically happened 20 % of the time?
- Just realized that the 10 % chance only represents one leg. Add the other leg and you get 20 %, so it is actually pretty accurate.-

Kevin_in_GA
4,536 posts
msg #121876
Ignore Kevin_in_GA
11/1/2014 11:08:38 PM

Kevin, I noticed that when buying condors where the sold legs are around 10 % delta the possible profit is usually about $125 for every $ 1000 at risk. It doesn't really make a difference whether you place the trade 4,5 or 10 days before expiration.

The thing that changes is that the size of the body (the difference between the sold strikes) diminishes the closer you get to the expiration date. This of course makes sense as the underlying has less time to make a move outside the sold strikes.


I'm seeing that for the weekly options I use in Pangolin IC, the typical delta 0.1 short strike is priced at between 0.12 and 0.15, and the further OTM strike is usually 0.07 to 0.10

You choose to make the trade 9 days before expiration, is that arbitrary or did you quantify that as optimal?

A little of both - you can often get a premium of 0.10-0.12 that many days out with not a lot more risk than if you are 4-5 days out (this week being a hard learned exception to that rule - all three ICs were busted, with both the SPY and GLD condors taking the maximum loss of $4000 each). This week wiped out essentially all of the profit since mid-April.

There is one other thing that I find a bit unsettling: On the Friday before expiration the 10 % delta strikes are roughly 2.5 % away from the underlying. Looking at the last 250 weeks however it turns out that SPX actually made 50 weekly moves that were larger than 2.5%. So the market assumes 10 % chance for a move that historically happened 20 % of the time?
- Just realized that the 10 % chance only represents one leg. Add the other leg and you get 20 %, so it is actually pretty accurate.-


I would put this filter forth as a counter-argument: in the last 100 weeks there have been 10 weeks where the absolute movement of SPY was greater than 2.5%, which jibes exactly with the delta estimate of this occurring.

Fetcher[
symlist(SPY)
set{bustedup, count(weekly close more than 2.5% above weekly close 1 week ago,100)}
set{busteddown, count(weekly close more than 2.5% below weekly close 1 week ago,100)}
set{busted, bustedup + busteddown}
add column bustedup
add column busteddown
add column busted
]




mahkoh
888 posts
msg #121877
Ignore mahkoh
modified
11/2/2014 3:42:48 AM

I rechecked my data and it appears we are both right. During the last 250 weeks ^SPX made 45 weekly moves beyond 2.5 % (18%) , but in the last 100 weeks it occurred only 9 times (9 %).

Note that I used SPX data; as Edellner mentioned earlier it saves a bunch on commissions.

Kevin_in_GA
4,536 posts
msg #121879
Ignore Kevin_in_GA
11/2/2014 9:48:57 AM

Agreed, but during that longer period which included big drops and gains, you do not know how far the 0.1 delta strikes were at that time. All we do know is that recently they are positioned 2.5% away and that is consistent with the current risk.

mahkoh
888 posts
msg #121881
Ignore mahkoh
11/2/2014 4:06:57 PM

It would probably be a combination of the strikes being a bit further away and some more premium received to take the risk.

One thing you may want to think about is selling contracts with a longer time till expiration. Instead of considering the statistics of the underlying to be within a certain range at a fixed point in time now you're OK if it is there at SOME point in time..

If you do get busted there is time for the trade to move back in your favor. If it doesn't.. well you will only really lose the money you already lost.

Close the position once you've made 40 - 50 % and sell new options further out; it is my experience that earning the first half of the premium takes considerably less sweat than the second half.

Obviously this would mean round trips in commissions. All the more case for SPX vs SPY, at least for my price plan at IB. Buying ten SPY condors costs me $28, the equivalent is 1 SPX contract for $6.

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