Posted by: Tyson Heyn | August 26, 2009

New SPY Condor: November 2009 — 112/109 and 95/92 @ $1.39 Net Credit

November 2009 SPY Long Iron Condor

November 2009 SPY Long Iron Condor

For those of you waiting for trade ideas, here’s today move: a November 2009 $SPY Long Iron Condor.

Picked up 101 shares on the call side at 112/109 (SPYKH/SWGKE) for a net credit of $0.82.

Also added 80 shares on the put side at 95/92 (SWGWQ/SWGWN) for a net credit of $0.57.

Current probability puts a 19% chance of the upper-range sold call to be ITM and a 14% chance of the lower-range sold put to be ITM, for a total ITM probability of 33%. (Roughly, a 72% profitability probability, 67% fully profitable.)

YIELDS:

Maximum yield on September 17 is 9% at 99.5, with a 51% chance of being profitable.

Maximum yield on October 9 is 27% at 100, with a 68% chance of being profitable.

Maximum yield on October 30 is 50% at 101, with a 72% chance of being profitable.

Maximum yield on November 21 (expiry) is 72% at 95-109, with a 72 % chance of being profitable.

Long iron condor was established to be slightly delta negative with a 10% volatility upside to cover a potentially rough September/October.  I would love to hold through all of October, but I’ll start looking at bracketing this trade in late September in order to ensure gains are realized.

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Responses

  1. I arrived here through a post over at Shanky’s. I am glad I found you, as my first impression is very favorable. I will continue to visit and look for truth behind your words. Warmest regards from NYC, Joe

    • Thanks so much, Joe, for your kind words. Yes, I hold myself accountable to my scenario planning, so I definitely plan to follow up on what unfolds each week. Next week will be very interesting, and I look forward to sharing my thoughts about it over the weekend.


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