| StockFetcher Forums · Stock Picks and Trading · TRADING IRON CONDORS - FUN WITH OPTIONS | << 1 ... 3 4 5 6 7 >>Post Follow-up |
| Kevin_in_GA 4,599 posts msg #120953 - Ignore Kevin_in_GA |
7/3/2014 10:35:22 PM 7/3: Update on Pangolin IC trades for options expiring on 3 July: All spreads closed profitably, netting $588 after commissions. In the last four weeks (one week with no trades) this approach has returned $1826 or 7.3% on the initial equity amount of $25,000. 7/3: Update on Pangolin IC trades for options expiring on 11 July: There was not enough profit to take on call spreads for IWM or SPY this week. GLD provided both spreads at a decent premium. Here are the trades put on for this coming week: 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 delta = -0.10 (GOOD) The probability of max profit is 91.97%%. 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 delta = 0.06 (VERY GOOD) The probability of max profit is 93.41%. 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 delta = -0.09 (GOOD) The probability of max profit is currently 93.35%. 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 delta = -0.06 (VERY GOOD) The probability of max profit is currently 98.69%. |
| Kevin_in_GA 4,599 posts msg #120974 - Ignore Kevin_in_GA |
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 - Ignore frsrblch |
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? |
| Kevin_in_GA 4,599 posts msg #120977 - Ignore Kevin_in_GA |
7/8/2014 9:34:19 AM How do you balance the premium against the probability that the options will move against you? Well, the probability is always 90+% for either leg when the trade is put on (if am doing it right) so that really doesn't change. The premium I look for needs to be at least 0.05 per contract or it simply isn't worth it to take on the added risk. I WANT to do iron condors but not if the commissions eat up all the profit on one of the wings. Better to just do the spread. |
| Kevin_in_GA 4,599 posts msg #120980 - Ignore Kevin_in_GA |
7/8/2014 9:07:56 PM 7/8: 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 = -0.05 (VERY GOOD) The probability of max profit is now 97.76%. 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 = 0.05 (VERY GOOD) The probability of max profit for this wing is 99.21%%. 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 = -0.08 (GOOD) The probability of max profit is currently 95.27%. 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 = -0.38 (HIGH RISK) The probability of max profit is currently only 57.39%, and the probability of max loss has gone from 3.98% to 12.24%. |
| Kevin_in_GA 4,599 posts msg #120986 - Ignore Kevin_in_GA |
7/9/2014 10:45:40 PM 7/9: 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 = -0.03 (EXCELLENT) The probability of max profit is now 99.80%. 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 = 0.05 (VERY GOOD) The probability of max profit for this wing is 98.78%. 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 = -0.04 (EXCELLENT) The probability of max profit is currently 99.58%. 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 = -0.35 (HIGH RISK) The probability of max profit is still only 61.86%, and the probability of max loss is at 7.15%. |
| Kevin_in_GA 4,599 posts msg #120991 - Ignore Kevin_in_GA |
7/10/2014 10:01:12 AM Ouch - so far today the big drop in the markets has totally blown the IWM put spread - now likely to take a big loss (remember, the max loss is $4000 on this one). This is of course the problem with statistics - they are always right. The chance of a max loss when the trade was put on was about 3-4%, not zero. Let's see how this plays out. |
| Kevin_in_GA 4,599 posts msg #121004 - Ignore Kevin_in_GA |
7/10/2014 11:35:56 PM Only one update needed ... BTO 20 IWM1411S114 IWM Jul11'14 114 put Filled: 0.06 at 7/3/14 10:54 ET STO 20 IWM1411S116 IWM Jul11'14 116 put Filled: 0.14 at 7/3/14 10:56 ET Current put spread delta = -0.74 (EXRTREME RISK) There is still a 49% chance this will close at breakeven or above. Fingers are crossed. |
| michlerio 4 posts msg #121477 - Ignore michlerio |
9/10/2014 12:27:02 PM Hello Kevin_in_GA, I'm a follower of you Pangolin IC on collective2 I do have a question about risk and money management about your iron condor. On your first page first post here you say the IWM weekly iron condor and the other iron condors the maximum loose is 2000$. 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 |
| Kevin_in_GA 4,599 posts msg #121479 - Ignore Kevin_in_GA |
9/10/2014 3:32:13 PM I set up the Iron Condor trades near the close on Monday, but these are for options that expire at the end of the following week, not the current week. If you are following IC, I think you can see the open and close dates on all closed trades and can put the flow together. Here is every opened and closed trade for Pangolin IC since 8/4/2014: 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 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 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 8/25/2014 14:28 SELL 20 SPY1405U194 SPY Sep5'14 194 put 0.17 20 9/6/2014 9:01 321 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 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 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 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 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 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 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 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 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 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 15:33 SELL 20 SPY1416T185 SPY Aug16'14 185 put 0.22 20 8/17/2014 9:00 421 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 8/4/2014 15:39 BUY 20 GLD1416T118 GLD Aug16'14 118 put 0.08 20 8/17/2014 9:00 -179 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 15:37 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 8/4/2014 15:32 BUY 20 SPY1416T183 SPY Aug16'14 183 put 0.16 20 8/17/2014 9:00 -339 8/4/2014 15:35 SELL 20 SPY1416H198 SPY Aug16'14 198 call 0.18 20 8/17/2014 9:00 341 Net gain of $1534. The initial equity of the system is $25,000 so this equates to a return of just over 6% in a month. This is in line with my stated system goal of 1% per week. Note also that every vertical spread since August closed profitably. That is because these are low risk positions - like any trade they can go against you, and in this case the max loss would be $4000 but that has not happened to the system. We have had a few instances where we needed to buy the underlying and sell it immediately to avoid a margin call, but in all cases the trade was profitable. |
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