What I am holding on to into Expiration Week
Written on July 11, 2008 by OptionsRopeaDope
At least the indexes have taken a breather from falling. I still wouldn’t bet that this is a bottom, but thank goodness that at least the bulls have decided to slug it out with the bears right here, even if that means that every day is up and down unusually big. (both QQQQ and IWM had a range of 3%+ bewtween highs and lows today.) To give an idea of the move over the last 18 trading days (3 1/2 weeks), this is how far the underlyings I chose for this cycle fell:
IWM: -12.5%
EEM: -12%
QQQQ: -11%
How bout them apples? Astoundingly, with range bound option strategies I am STILL coming out ahead, compared to if I had bought shares in this market.
IV has spiked a bit, benefitting me in some ways (calendars) but hurting a little otherwise (close in condors). Overall, still crawling back, to about a 7% loss this month. According to my greeks, I should get a very nice shot of theta over the weekend but you never know.
IWM Calendar and Condor
First, I opened a call wing close in yesterday at 71-73 for .11 to collect some more premium and balance my deltas a little, and it immediately shrunk to .04 or so. The delta of my short 63 put flirted with 20 a few times this week, but has settled down to 11, with my short call at 9. Gamma is very high though, and I’m doing a balanacing act here, milking some profit in the hopes that a 5% move in either direction won’t come in the next week.
The IWM 68 calendar I still have is up nicely, close to 20%, and I will hold it over the weekend. Again, IWM has flirted with my lower break even (just under 66) but has spared me that pain so far. An up move on Monday would be huge, and given the resistance shown this week, just might happen. However, I already took alot of these spreads off the table for a loss, so overall, this trade still shows up that way. Combined, the condor and calendar are rope-a-doping this pause and tight range, and not expecting a huge move.
Here is how the combined positions look.
EEM Calendar
I closed the 140 spreads I still had open - it just looks impossible that EEM is going to rise enough to get in its range anytime before expiration, and was reducing my theta quite a bit. I’ve made some back on this trade, but still down around 10%. EEM is about right where it should be for max effect, and the weekend, again, will likely be kind to this position.
QQQQ Condor (Put Credit Spread)
This had been my safest position (41-42 puts) with some fat premium left to harvest, but the QQQQs have taken a hit the last few days, and my short put has a delta or 13, after reaching 18 in the last couple of days. I may let this wing expire completely depending on how the QQQQs hang in there next week.
So there you go. I’ll look to cash out next week, take a breather, and jump back in with with both feet shortly thereafter. With the IV rise, calendars will take a longer breather for the most part, with a few exceptions.
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Posted in Real Trades, Iron Condors, Calendars, QQQQ, IWM, EEM
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