Open - IWM, SPX Iron Condors
Written on May 16, 2008 by OptionsRopeaDope
IWM Iron Condor - June 63/65 Puts, 79/81 Calls
| RRDelta | -13% |
| RRGamma | -9% |
| RRVega | -10% |
Delta/Theta = -4.36
1 Day 1 Std Dev Move (.81 points)
Looking a little sick already.. I wonder if this will go the way of my last two months of condors, and hit my upper limit fast? To be honest I think IV has dropped too much already (and I don’t want to have a condor when IV is rising) but I need some negative delta trades, just in case. My short call has a delta of 12 (opened with a 10), and the short put is at 7. Would like both of those to drop. Alot.
SPX Iron Condor - 1280/1290 Puts, 1500/1510 Calls
| RRDelta | -15% |
| RRGamma | -1% |
| RRVega | -19% |
Delta/Theta = -4.1
1 Day 1 Std Dev Move (11 points)
Again, the greeks are fine for the moment… although I’m getting little help from Theta. My short call has a delta of 9, and my short put at 7. Right where they should be. I got a credit of 10.5% on my margin. Time is on my side on this one.
Overall, still looking good, though I’m currently down about 1% on these.
If you don’t know what is up with these numbers, read this about how I look at greeks.
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Posted in Real Trades, Iron Condors, IWM, SPX
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