Adjust: SPX Iron Condor

Written on May 30, 2008 by OptionsRopeaDope

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On Wednesday my call wing on this Iron Condor had shrunk down to .1, so I put in an order and got filled shortly thereafter (my original credit was .5). I noticed there was enough time until expiration that I could open up another wing for another .5 credit at the 7 delta at 1460, and since my put wing had a delta of 10 and the market was faking moving down some more, I took it. As of today’s close, this short call now has a delta of 9, my short put has a delta of 6, with 21 days to expiration. Already slightly profitable after the adjustment. Here are my greeks, reflecting risk -

SPX Iron Condor - 1280/1290 Puts, 1460/1470 Calls

RRDelta -9%
RRGamma -1%
RRVega -9%

Delta/Theta = -2.9

1 Day 1 Std Dev Move (11 points)

The adjustment flattened my deltas (moreso at the time) plus bumped up my theta. My short call is less than a 5% move away so I’m watching that closely, but the premiums, and deltas, tell me that sentiment is leaning the other direction.

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