CLOSED OUT WEEK OF SEPTEMBER 21, 2009

Nov 2009 SPY Condor - Updated

**UPDATED SEPTEMBER 6, 2009 **

Quick look at net profitability: the calls established for a net credit of $0.82 while the puts were set up for a net credit of $0.57 for a total of $1.39. Today’s valuation is $1.30, resulting in a net profit of $0.09 or 6.4%.

**UPDATED AUGUST 28, 2009 **

Added 21 lots on the put side of condor (SWGWQ/SWGWN) for net credit of $0.57. ($2.36-$1.79)

**UPDATED YIELDS:**

Maximum yield on September 17 is 5% at 100, with a 37% chance of being profitable.

Maximum yield on October 9 is 27% at 101, with a 67% chance of being profitable.

Maximum yield on October 30 is 58% at 101.75, with a 72% chance of being profitable.

Maximum yield on November 21 (expiry) is 83% at 95-109, with a 72% chance of being profitable.

November 2009 SPY Long Iron Condor

**OPENED AUGUST 26, 2009 **

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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