November 2009 Long Iron Condor

CLOSED OUT WEEK OF SEPTEMBER 21, 2009
Please see http://spyoptions.com/2009/09/26/october-2009-long-iron-condor-update/ for details about closing this position and reinvesting the capital into the October 2009 Long Iron Condor.
Nov 2009 SPY Condor - Updated

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

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.

Advertisements

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s

%d bloggers like this: