Ouch, That Hurt
Written on July 1, 2008 by OptionsRopeaDope
I mentioned yesterday that the last few minutes of the session dropped the IWM calendar below my adjustment point. Overnight, after briefly rising, futures dropped like a rock, and when the market opened, that calendar was at max loss. Something just didn’t seem right though and I waited for some sort of turnaround… it came toward the end of the day.
Both the IWM and EEM calendars were adjusted today by closing half the positions and opening new ones (at 68 and 130 respectively). Usually, calendars have a single day or two where a huge shot of profit all of a sudden shows up, and I’m looking for that day to come soon, just to get me back to breakeven on those trades. More details below.
IWM Double Calendar - 72 July/Aug Calls, 68 July/Aug Puts
| RRDelta | 42% |
| RRGamma | -22% |
| RRVega | 32% |
Delta/Theta = 3.62
1 Day 1 Std Dev Move (1.01 points)
I got very, very lucky during the day today. For the morning, the position was officially at max loss. Now, the double is off 15%, and not doing very well. I picked the 68 strike as it gave me a decent risk curve, as seen below. I also did some soul searching while watching the market today and will add in an adjustment to my rules. Being in this poition has not been fun, and even if this does turn profitable (which could happen in as little as a week) I don’t want to let these lessons get away.
The new risk graph -
For a look at the combined calendar and condor, scroll down.
EEM Double Calendar - 140 July/Aug Calls, 130 July/Aug Puts
| RRDelta | 25% |
| RRGamma | -9% |
| RRVega | 25% |
Delta/Theta = 3.67
1 Day 1 Std Dev Move (2.37 points)
Another adjustment here… down 11% on this trade. EEM has been pushing the lower adjustment point since I opened this trade and it finally busted through, giving me a max loss on this poisiton too, after being at breakeven yesterday, before moving back up with the market today.Aa 2 std deviation drop wil do that. Ugh. On the positive side, there’s a very wide profit zone now.
IWM Iron Condor - July 61/63 Puts
Just a put credit spread, short put has a delta of -10. Expecting a profit on that wing, but not quite yet. Here is the combined vertical and calendar, just because it makes an interesting pic.
QQQQ Iron Condor - July 41/42 Puts, 52 Calls
| RRDelta | 33% |
| RRGamma | -3% |
| RRVega | 0% |
Delta/Theta = 4.74
1 Day 1 Std Dev Move (.71 points)
I bought back my short calls today for .02, still hanging on to the 52 calls just in case there’s a rally and I can milk them. On the put side, the short has a delta of 11, very safe for the time being.
So overall, it could be worse - alot worse. I’m only down -3.86%, after all adjustments mostly because the condors are the bulk of my portfolio and are nicely profitable. With the max losses on the calendars it would have looked very, very ugly. So, an averagely profitable month is very much within reach, which is great considering how the market has moved and busted through all sorts of support. Especially considering June was the worst month since 2002. If I can weather that and still be in a position like this, I’ll take it.
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, Calendars, QQQQ, IWM, EEM
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