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Stock Picks and Trading · TRADING IRON CONDORS - FUN WITH OPTIONS
Kevin_in_GA
msg #120933
7/1/2014 10:02:32 PM

7/1: Update on Pangolin IC trades for options expiring on 3 July:

BTO 20 GLD1403S122 GLD Jul3'14 122 put Filled: 0.04 at 6/25/14 12:36 ET
STO 20 GLD1403S124 GLD Jul3'14 124 put Filled: 0.11 at 6/25/14 12:36 ET

Current put delta = -0.02 (EXCELLENT)

BTO 20 SPY1403S189 SPY Jul3'14 189 put Filled: 0.17 at 6/25/14 12:39 ET
STO 20 SPY1403S191 SPY Jul3'14 191 put Filled: 0.26 at 6/25/14 12:39 ET

Current put delta = -0.02 (EXCELLENT)

BTO 20 IWM1403S111 IWM Jul3'14 111 put Filled: 0.15 at 6/25/14 12:28 ET
STO 20 IWM1403S113 IWM Jul3'14 113 put Filled: 0.30 at 6/25/14 12:28 ET

Current put delta = -0.01 (EXCELLENT)

The probability of max profit on all of the above trades is 100%. Together they will generate $504 in profit after commissions.

STO 20 IWM1403G120 IWM Jul3'14 120 call Filled: 0.08 at 6/25/14 12:30 ET
BTO 20 IWM1403G122 IWM Jul3'14 122 call Filled: 0.02 at 6/25/14 12:29 ET

Current call delta = 0.36 (HIGH RISK)

The probability of max profit for this wing is now at only 48.66% since IWM closed today at 120.02. The probability of taking a max loss is 12.94%. No adjustments are planned at this stage - it is as likely to close profitably as not, and I have faith that statistics will keep any loss manageably small. Fingers crossed for a small loss over the next few days.

.

Stock Picks and Trading · TRADING IRON CONDORS - FUN WITH OPTIONS
Kevin_in_GA
msg #120924
6/30/2014 10:06:36 PM

6/30: Update on Pangolin IC trades for options expiring on 3 July:

BTO 20 GLD1403S122 GLD Jul3'14 122 put Filled: 0.04 at 6/25/14 12:36 ET
STO 20 GLD1403S124 GLD Jul3'14 124 put Filled: 0.11 at 6/25/14 12:36 ET

Current put delta = -0.03 (EXCELLENT)

The probability of max profit is now 99.09%.

BTO 20 IWM1403S111 IWM Jul3'14 111 put Filled: 0.15 at 6/25/14 12:28 ET
STO 20 IWM1403S113 IWM Jul3'14 113 put Filled: 0.30 at 6/25/14 12:28 ET

Current put delta = -0.03 (EXCELLENT)

The probability of max profit is now 99.99%.

STO 20 IWM1403G120 IWM Jul3'14 120 call Filled: 0.08 at 6/25/14 12:30 ET
BTO 20 IWM1403G122 IWM Jul3'14 122 call Filled: 0.02 at 6/25/14 12:29 ET

Current call delta = 0.11 (INCREASED RISK)

The probability of max profit for this wing is only at 74.71%.

BTO 20 SPY1403S189 SPY Jul3'14 189 put Filled: 0.17 at 6/25/14 12:39 ET
STO 20 SPY1403S191 SPY Jul3'14 191 put Filled: 0.26 at 6/25/14 12:39 ET

Current put delta = -0.06 (VERY GOOD)

The probability of max profit is currently 99.54%.

Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
Kevin_in_GA
msg #120918
6/30/2014 4:07:30 PM

Fetcher[
symlist(spy,iwm,efa,agg)

sort on column 5 descending

offset 3/31/2014
]



SPY it is.

Stock Picks and Trading · TRADING IRON CONDORS - FUN WITH OPTIONS
Kevin_in_GA
msg #120905
6/27/2014 10:02:46 PM

6/26: Update on Pangolin IC trades for options expiring on 3 July::

BTO 20 GLD1403S122 GLD Jul3'14 122 put Filled: 0.04 at 6/25/14 12:36 ET
STO 20 GLD1403S124 GLD Jul3'14 124 put Filled: 0.11 at 6/25/14 12:36 ET

Current put delta = -0.09 (good)

The probability of max profit is now 91.77%.

BTO 20 IWM1403S111 IWM Jul3'14 111 put Filled: 0.15 at 6/25/14 12:28 ET
STO 20 IWM1403S113 IWM Jul3'14 113 put Filled: 0.30 at 6/25/14 12:28 ET

Current put delta = -0.06 (excellent)

The probability of max profit is now 99.40%.

STO 20 IWM1403G120 IWM Jul3'14 120 call Filled: 0.08 at 6/25/14 12:30 ET
BTO 20 IWM1403G122 IWM Jul3'14 122 call Filled: 0.02 at 6/25/14 12:29 ET

Current call delta = 0.12 (increased risk)

The probability of max profit for this wing is only at 75.28%.

BTO 20 SPY1403S189 SPY Jul3'14 189 put Filled: 0.17 at 6/25/14 12:39 ET
STO 20 SPY1403S191 SPY Jul3'14 191 put Filled: 0.26 at 6/25/14 12:39 ET

Current put delta = -0.08 (good)

The probability of max profit is currently 97.97%.


Both June 27 Iron Condors closed profitably, generating $508 in profit after commissions and a total of $1238 so far. Assuming a $25,000 initial equity this approach has generated a 4.9% return in the last three weeks.

Stock Picks and Trading · TRADING IRON CONDORS - FUN WITH OPTIONS
Kevin_in_GA
msg #120888
6/26/2014 9:23:44 PM

6/26: Update on Pangolin IC trades for options expiring on 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

Current put delta = -0.00 (excellent)

The probability of max profit is now 99.99%.


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 = 0.00 (excellent)

The probability of max profit is now 99.98%.


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 = -0.00 (excellent)

The probability of max profit is now 99.99%.


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 = 0.06 (excellent)

The probability of max profit is Now at 86.02%. The probability of taking the max loss is now 0.62%.



6/26: Update on Pangolin IC trades for options expiring on 3 July:

BTO 20 GLD1403S122 GLD Jul3'14 122 put Filled: 0.04 at 6/25/14 12:36 ET
STO 20 GLD1403S124 GLD Jul3'14 124 put Filled: 0.11 at 6/25/14 12:36 ET

Current put delta = -0.12 (good)

The probability of max profit is now 95.39%.

BTO 20 IWM1403S111 IWM Jul3'14 111 put Filled: 0.15 at 6/25/14 12:28 ET
STO 20 IWM1403S113 IWM Jul3'14 113 put Filled: 0.30 at 6/25/14 12:28 ET

Current put delta = -0.09 (good)

The probability of max profit is now 94.99%.

STO 20 IWM1403G120 IWM Jul3'14 120 call Filled: 0.08 at 6/25/14 12:30 ET
BTO 20 IWM1403G122 IWM Jul3'14 122 call Filled: 0.02 at 6/25/14 12:29 ET

Current call delta = 0.10 (good)

For some reason the probability of max profit for this wing is only at 79.08%. The probability of taking the max loss is 6.89%. Not sure why this is so much lower with essentially the same delta value. I'll keep tabs on this.

BTO 20 SPY1403S189 SPY Jul3'14 189 put Filled: 0.17 at 6/25/14 12:39 ET
STO 20 SPY1403S191 SPY Jul3'14 191 put Filled: 0.26 at 6/25/14 12:39 ET

Current put delta = -0.11 (good)

The probability of max profit is currently 95.39%.


Stock Picks and Trading · TRADING IRON CONDORS - FUN WITH OPTIONS
Kevin_in_GA
msg #120877
6/25/2014 10:32:25 PM

6/25: Update on deltas and probabilities (2 days until expiration):


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 = -0.01 (excellent)

The probability of max profit is now 99.99%.


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 = 0.01 (excellent)

The probability of max profit is now 97.30%. Still only a 0.01% 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 = -0.00 (excellent)

The probability of max profit is now 99.99%.


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 = 0.11 (good)

The probability of max profit moved down to 79.78% today. The probability of taking any loss on this right now is at 19.53%, and the chance of taking the max loss is now 1.96%.


Stock Picks and Trading · TRADING IRON CONDORS - FUN WITH OPTIONS
Kevin_in_GA
msg #120874
6/25/2014 1:41:02 PM

New Pangolin IC trades for options expiring on 3 July:

BTO 20 GLD1403S122 GLD Jul3'14 122 put Filled: 0.04 at 6/25/14 12:36 ET
STO 20 GLD1403S124 GLD Jul3'14 124 put Filled: 0.11 at 6/25/14 12:36 ET

This put spread will generate $140 before commissions ($102 after commissions) as long as the GLD price remains above 124 at the close of trading on 3 July. I was unable to get enough premium selling the call spread, so this will be a simple vertical put spread - no reason to add downside risk if the premium isn't enough.

BTO 20 IWM1403S111 IWM Jul3'14 111 put Filled: 0.15 at 6/25/14 12:28 ET
STO 20 IWM1403S113 IWM Jul3'14 113 put Filled: 0.30 at 6/25/14 12:28 ET
STO 20 IWM1403G120 IWM Jul3'14 120 call Filled: 0.08 at 6/25/14 12:30 ET
BTO 20 IWM1403G122 IWM Jul3'14 122 call Filled: 0.02 at 6/25/14 12:29 ET

Here I was able to get decent pricing for both wings of the Iron Condor - the put spread will generate $300 before commissions ($262 after) and the call spread will generate $120 ($82 after). IWM price needs to stay between 113 and 120 for this to expire profitably.

BTO 20 SPY1403S189 SPY Jul3'14 189 put Filled: 0.17 at 6/25/14 12:39 ET
STO 20 SPY1403S191 SPY Jul3'14 191 put Filled: 0.26 at 6/25/14 12:39 ET

This put spread will generate $180 before commissions ($142 after commissions) as long as the SPY price remains above 191 at the close of trading on 3 July. Just like in the case of GLD I was unable to get enough premium selling the call spread, so this will also be a single vertical put spread.

Assuming all trades go as planned this will net $588 after commissions.

So far we have had the first week's trades closed profitably for $730 after commissions, took a week out because of work conflicts (note - the planned ICs all expired profitably so I'm kicking myself), and this week is looking like it will go as planned and generate another $508 after commissions in profit. Even with the week off, in the last three weeks this strategy has returned $1238 in profit on an initial equity of $25,000 (with only about half of that equity ever at risk).

Stock Picks and Trading · TRADING IRON CONDORS - FUN WITH OPTIONS
Kevin_in_GA
msg #120864
6/24/2014 7:23:21 PM

6/24: Update on deltas and probabilities (3 days until expiration):

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 = -0.04 (excellent)

The probability of max profit is now 99.58%.

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 = 0.01 (excellent)

The probability of max profit is now up to 98.65%. Only a 1.33% chance of taking any loss, and a 0.01% 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 99.98%.

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 = 0.10 (good)

The probability of max profit moved from 68.55% yesterday to 87.06% today. The probability of taking any loss on this right now down to 12.41%, and the chance of taking the max loss is down to only 1.60% today.


Stock Picks and Trading · TRADING IRON CONDORS - FUN WITH OPTIONS
Kevin_in_GA
msg #120863
6/24/2014 7:10:22 PM

Another typo - you are correct. Now corrected in the most recent post.

Stock Picks and Trading · TRADING IRON CONDORS - FUN WITH OPTIONS
Kevin_in_GA
msg #120860
6/24/2014 1:36:53 PM

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

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