| StockFetcher Forums · Stock Picks and Trading · TRADING IRON CONDORS - FUN WITH OPTIONS | << 1 2 >>Post Follow-up |
| Kevin_in_GA 4,599 posts msg #120696 - Remove message |
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 ... |
| Eman93 4,750 posts msg #120729 - Remove message |
6/13/2014 8:20:20 AM like this?  |
| guspenskiy13 976 posts msg #120743 - Remove message |
6/13/2014 5:15:46 PM Pretty impressive to say the least. I love the risk reward ratio in this system, a lot.... |
| Kevin_in_GA 4,599 posts msg #120789 - Remove message |
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 4,599 posts msg #120805 - Remove message |
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 4,599 posts msg #120888 - Remove message |
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%. |
| Kevin_in_GA 4,599 posts msg #120905 - Remove message |
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. |
| Kevin_in_GA 4,599 posts msg #120974 - Remove message |
7/7/2014 9:15:44 PM 7/7: Update on Pangolin IC trades for options expiring on 11 July: BTO 20 GLD1411S122 GLD Jul11'14 122 put Filled: 0.05 at 7/3/14 10:44 ET STO 20 GLD1411S124 GLD Jul11'14 124 put Filled: 0.12 at 7/3/14 10:45 ET Current put spread delta = -0.06 (VERY GOOD) The probability of max profit is now 95.87%. STO 20 GLD1411G131 GLD Jul11'14 131 call Filled: 0.13 at 7/3/14 10:49 ET BTO 20 GLD1411G133 GLD Jul11'14 133 call Filled: 0.07 at 7/3/14 10:48 ET Current call spread delta = 0.06 (VERY GOOD) The probability of max profit for this wing is 98.35%%. BTO 20 SPY1411S191 SPY Jul11'14 191 put Filled: 0.10 at 7/2/14 15:46 ET STO 20 SPY1411S193 SPY Jul11'14 193 put Filled: 0.16 at 7/2/14 15:47 ET Current put spread delta = -0.06 (VERY GOOD) The probability of max profit is currently 99.13%. BTO 20 IWM1411S114 IWM Jul11'14 114 put Filled: 0.06 at 7/3/14 10:54 ET STO 20 IWM1411S116 IWM Jul11'14 116 put Filled: 0.14 at 7/3/14 10:56 ET Current put spread delta = -0.21 (ELEVATED RISK) The probability of max profit is currently 79.68%, and the probability of max loss is 3.98%. We are still OK for now. |
| frsrblch 35 posts msg #120975 - Remove message |
7/8/2014 12:14:07 AM Thanks for stimulating a discussion here, Kevin. It's always very interesting (and often profitable) to read about what you're working on. Are you building these iron condors based on the premium available for the different legs? I see that you have been forgoing the condor in favour of a bull put spreads when the bear call spread doesn't have enough premium to justify the full iron condor. How do you balance the premium against the probability that the options will move against you? |
| michlerio 4 posts msg #121477 - Remove message |
9/10/2014 12:27:02 PM Hello Kevin_in_GA, I'm a follower of you Pangolin IC on collective2 I do have a question about risk and money management about your iron condor. On your first page first post here you say the IWM weekly iron condor and the other iron condors the maximum loose is 2000$. Shouldn't it be 4000$ (20 x 100 x2) for one side of the iron condors? I took the date of July 25 2011 and watched how your system would have performed. Normaly you set up the iron condor on monday evening. S&P500 July 26 (tuesday) until July 29 (friday) -3% IWM July 26 (tuesday) until July 29 (friday) -3.3% GLD July 26 (tuesday) until July 29 (friday) +0.4 Following week S&P500 August 2 (tuesday) until August 5 (friday) -4,4% IWM August 2 (tuesday) until August 5 (friday) -7% GLD August 2 (tuesday) until August 5 (friday) +0,1 If for example I have a trading account for iron condor of 25'000 $ and trade with a maximum loose per iron condor of 4'000$ (-premium ~300$) then in this two weeks 4 of the 6 iron condors would have had a maximum lost (in case the iron condor setup would have been simular as you do now) and my account would go down to proximately 10200$ (25000$ - 4x3700$). If there will be a bigger crash (didn't check year 2008) maybe gold would go up or down more at the same time, that means maybe 90% of the trading account can be gone. Most of the time you are in at 6 iron condors that means maximum money risk = 6x4000 = 24'000 $ Trading account = 25'000$ Questions: Is my calculation right or wrong? Maybe too much risk if a sudden small crash is coming? What would be the solution? IWM and SPY are very correlatet maybe using something else? Thanks for an answer Michel |
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