SPY - May Iron Condor

Written on April 22, 2008 by OptionsRopeaDope

Update to this trade… On the run up last Friday, my put wing at 116/118 order was filled for .04. Not conviced that the market wasn’t haeding higher, I opened up a new put credit spread at 126/128 for a .12 credit. Total credit as of now on this trade is .31 . During the run up, the delta on my short call touched 10 briefly (triggering an adjustment) but I held off, and SPY backed down. As of this moment, the delta on my short put is 11.6, and the delta on my call is 10.3. That is pretty good. Great in fact. 

On the trade as a whole, I have a loss equal to about a .015 debit. Over the next week or two the value of the shorts should accelerate barring another significant move (say, 5% in either direction).

Here’s my Greeks -

SPY Iron Condor - 126/128 May Puts, 145/147 May Calls 

RRDelta -6.4%
RRGamma 6.2%
Theta 106
RRVega -11%

Delta/Theta = -1.51

Analysis - RRdelta fell (good), RRGamma and RRVega rose a bit, mainly because IV as a whole rose since I opened this trade. My Delta/Theta is also significantly lower after the adjustment, which is fantastic. It means a bigger move is needed before the delta effect nullifies the gain from theta.

I also decided to allow my percentages to have a pos/neg sign to give a little more info (namely, the impact of which direction the underlying moves, like the raw values.) It doesn’t have any impact on deciding if an adjustment is required, or if the risk is acceptable, but it does tell a bit more about the situation.

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    • Category Posted in Real Trades, Iron Condors, SPY

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