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Stock Picks and Trading · TRADING IRON CONDORS - FUN WITH OPTIONS
Kevin_in_GA
msg #120849
6/23/2014 1:45:27 PM

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

Stock Picks and Trading · TRADING IRON CONDORS - FUN WITH OPTIONS
Kevin_in_GA
msg #120836
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.




Stock Picks and Trading · TRADING IRON CONDORS - FUN WITH OPTIONS
Kevin_in_GA
msg #120805
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.

Stock Picks and Trading · TRADING IRON CONDORS - FUN WITH OPTIONS
Kevin_in_GA
msg #120789
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.


Stock Picks and Trading · TRADING IRON CONDORS - FUN WITH OPTIONS
Kevin_in_GA
msg #120786
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%).

Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
Kevin_in_GA
msg #120769
6/16/2014 3:16:44 PM

Jimmyjazz is right. The "purist" filter uses the close value on 2/28 and compares it with the close on 5/30. SPY was the top performer while EFA was a close second. I personally use a smoothed version (taking the ma(3) looking back 63 days) and with that smoothing EFA was on top.

Since then both have done modestly well, each up about 0.7% since the start of this month. I personally stayed in EFA since it was last month's selection as well - I'm lazy I guess.

Stock Picks and Trading · TRADING IRON CONDORS - FUN WITH OPTIONS
Kevin_in_GA
msg #120750
6/14/2014 6:13:50 PM

This is what I look at - the delta is a great approximation of probability of success, but TradeMonster does it as well:

 photo probability_zps4d1f027d.gif

There really isn't a stock trading equivalent to this, and having to make only 2-3 trades per week for what amounts to a 1% gain on total equity seems pretty attractive. Certainly more attractive than being glued to a terminal trying to time the market using indicators on 2 minute bars.

Stock Picks and Trading · TRADING IRON CONDORS - FUN WITH OPTIONS
Kevin_in_GA
msg #120742
6/13/2014 4:25:30 PM

Pretty much. Not surprisingly, all Iron Condors placed last week closed profitably, in line with the statistical probabilities. It got ugly for a bit and many options traders would have closed the IWM trade at a loss once the delta went above 0.3. I prefer to ride things out and rely on (hope for) a return to normal statistical behaviors. It worked this week, but it doesn't work every week.

I was in meetings or traveling most of this week, so I was not able to put any trades into Pangolin IC for next week. I'll update this with the iron condor positions I had planned as of last night to show another weeks worth of trades. I'll probably do this until I get bored or have a set of paying subscribers over on Collective2.

Stock Picks and Trading · TRADING IRON CONDORS - FUN WITH OPTIONS
Kevin_in_GA
msg #120728
6/13/2014 12:10:27 AM

Today we saw a reversion back to within the IC "wings" for IWM. The call spread delta is now at 0.30 with only one day remaining before expiration. That means there is a 70% chance of this closing profitably where a few days ago it was only 38%. The ICs for both SPY and GLD are all at 0.01 or 0.00 guaranteeing a profit upon option expiration.

I will try to post another set of actual trades tomorrow, as I have been traveling for work and not been looking at the market so much. The new ICs might be worth a little less because there are fewer days until expiration, but that helps to reduce risk.




Stock Picks and Trading · TRADING IRON CONDORS - FUN WITH OPTIONS
Kevin_in_GA
msg #120696
6/11/2014 7:11:28 PM

Of course. Lots of traders do this to limit risk.

Based on today's action, the deltas on everything except the IWM call spread are less than 0.1, and several are flat at 0.00. At the present price for IWM, the option would actually expire for a small profit because of the compensating profit from the put spread. At the moment it is down about $775 but time decay of the option will really accelerate into Friday at the close.

The IWM call spread is at a delta of 0.52, so it is a 50/50 chance of staying aligned with the original stats. Let's see how it plays out ...

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