Position Updates - 3 Calendars, 2 Condors
Written on May 22, 2008 by OptionsRopeaDope
These are in additon to the CAT calendar in the last post. Overall, movement has hurt my calendars, but due to the warm and comfortable magic of diversification, gains in my condors have offset those losses, and I’m very much in position to have a great month, possibly in the double digits.
EEM Calendar - 150/160 Jun/Sep
| RRDelta | 14% |
| RRGamma | -2% |
| RRVega | 15% |
Delta/Theta = 5.72
1 Day 1 Std Dev Move (2.37 points)
Looking good - and back to break even, even though my delta risk is a little greater than before. And actually, the volatility skew between the Jun/Sep 150 calls has disappeared, so considering that hurts the position (there should be a negative skew) this is great. In fact, I’ll think about adding to that leg…
RTH Double Calendar - 95 June/July Puts, 100 June/July Calls
| RRDelta | 28% |
| RRGamma | -7% |
| RRVega | 20% |
Delta/Theta = 16.62
1 day 1 Std Dev Move = 1.15 points
RTH had a large drop the last few days as confidence in retailers took a few hits, and it is under my lower leg at 94.66. Yesterday I had to watch all my calendars closely, especially this one, and was prepared to pull the trigger and adjust, and I still may have to. Currently down about 3-4%, with a risk of losing more quickly on a downward move.
MSFT Calendar - 30 June/July Puts
| RRDelta | 42% |
| RRGamma | -21% |
| RRVega | 20% |
Delta/Theta = 5.06
1 Std Dev Move (.35 points)
I have nothing good to say about this trade - I was happy getting in for a few days, but when I got in the position of needing to adjust (which I should have done 50 cents ago) I was out of options. Literally - when I noticed the June options where at each whole number, I failed to notice July’s were not (June has options at 25, 26, 27, 28, 29, 30, 31, etc. July has them at 25, 26, 27.5, 29, 30…). Fortunately, this is a small trade, so the loss (15% right now) is not harmful to my overall returns, and now that MSFT seems to have found some support and is inching up, I’ll hang on. If this was a bigger trade, I’d be out immediately, and if I happen to need to free up some capital, this will be the first to go, profitable or not.
IWM Iron Condor - June 63/65 Puts, 79/81 Calls
| RRDelta | -3% |
| RRGamma | -6% |
| RRVega | 6% |
Delta/Theta = -1.09
1 Day 1 Std Dev Move (.80 points)
I’ve made over half my target profit already on this condor. Shorts are both at a 6 delta, and it looks like my gamble of putting the call wing a little closer worked like a charm. I almost closed my call my wing yesterday for a .04 debit (opened for a .14 credit) but didn’t get filled.
SPX Iron Condor - 1280/1290 Puts, 1500/1510 Calls
| RRDelta | 5% |
| RRGamma | -1% |
| RRVega | -11% |
Delta/Theta = 1.65
1 Day 1 Std Dev Move (12 points)
Still looking good. Up 1-3% at any point, and my short put has a delta of 10, short call is less than 3. Trying right now to close out the call side for a small debit (.15) and milk the puts, or roll down for more premium if it looks good.
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, Mistakes, Iron Condors, Calendars, IWM, SPX, EEM, RTH, MSFT
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