Open - RTH Condor - 80-85, 95-100
Written on July 24, 2008 by OptionsRopeaDope
RTH has been good to me lately on the calendar side of the house, giving up a couple of 20%+ months in a row. However, RTH is one of the few symbols where IV is actually near the top end of the IV scale. Sticking to what should work theoretically, I chose to open a narrow condor here (at least, narrower than I normally would). See the risk graph below.
Also, to neutralie the deltas I purchased an additional lower put for every 5 that I sold of the next highest strike. For example:
6 - long 80 puts
5 - short 85 puts
skip 90
5 - short 95 puts
5 - long 95 puts
This gives me some nice protection to the downside that came i handy today. I chose to open this as a debit condor.
| Symbol | RTH |
| Current Price | 88.09 |
| Current IV | 29 |
| IV Percentile - last 12 months | 75 |
| IV Percentile - last 6 months | 75 |
| Technical Support/Resistance | 84.60, 94 |
| Opening Strikes | 80-85, 95-100 |
| Deltas of Shorts | 26, 20 (high!) |
| % distances from underlying | 5.5% each way |
| Opening Debits | 3.83 (includes 1/5 of an extra 80 put) |
| Initial Margin Req. | 0 |
| Break Evens | 83.80, 96.20 |
| Srikes w/current delta of 20/-20 | n/a (low prob condor) |
| Prob of expiring w/o adjustments | 60% |
| Profit Traget | 4.29 (12%) |
| Max Loss | 3.25 (15%) |
| Earnings/news catalyst before exp? | WMT earnings (14 aug) |
| Risk Graph |
I only plan to stay in this trade 2 weeks max, and shooting for a 12% gain.
Popularity: 11% [?]
If you enjoyed this post, make sure you subscribe to my RSS feed!
Other posts like this one:
Posted in Real Trades, Iron Condors, RTH
No comments yet.