Position Updates - 3 condors, 2 calendars
Written on July 29, 2008 by OptionsRopeaDope
First, plan on coming back here later this week - I plan to revamp my risk-greeks (specifically RRGamma, which doesn’t have a lot of value right now), plus write a little about some experiments I’ve done with Google Spreadsheets to analyze daily movements of the SPX and NDX based on thier IV each day, to see if the distribution of movesis accurately reflected in the IV (the VIX and VXN respectively.) There’s some head scratching results, such as twice as many 2 standard deviation moves this year than there should be. Later this week I’ll have all the numbers plus fancy graphs.
On to my positions… these numbers are from last night, and are better this morning. Overall, I’m down 1.6% (although I’m positive about that much this morning). I have 3 condors and 2 calendars on.
QQQQ Iron Condor - 40/41 puts, 49/50 Aug Calls
| RRDelta | 18% |
| RRGamma | -23% |
| RRVega | -10% |
Delta/Theta = 2.33
1 Day 1 Std Dev Move (.57 points)
Down 2% on tis position right now, but solely because of the move yesterday. Tons of support on the down side, and no one has the stomach to bid this up to its highs, so I consider this very safe.
NDX Iron Condor - 1650/1675 puts, 1975/2000 Aug Calls
| RRDelta | 11% |
| RRGamma | 0% |
| RRVega | -5% |
Delta/Theta = 2.55
1 Day 1 Std Dev Move (28 points)
I haven’t done an official “open” post on this yet, but I’ts open. Up around 2%.
RTH Debit Condor - 80/85, 95/100 Put Condor
| RRDelta | 58% |
| RRGamma | -15% |
| RRVega | -10% |
Delta/Theta = 10.19
1 Day 1 Std Dev Move (1.36 points)
Down a fat 6% last night. That is trimmed to around 3% today, but the position is giving me fits. It won’t cooperate! 
That’s ok though, this could turn profitable with either time or move very quickly. Lots of support to the downside, though still a good chance for a loss right now. I’m thinking of buying a few more 80 puts (right now, I have extra ones compared to the other strikes at a ratio of 6/5, and that has helped alot to trim this loss).
EEM Calendar - 130 (43.33) Aug/Sep calls
| RRDelta | -1% |
| RRGamma | -1% |
| RRVega | 11% |
Delta/Theta = -1
1 Day 1 Std Dev Move (.64 points)
I’m flying solely on instruments with this one(I can’t get a proper risk graph with that 130 stike since EEM split), but the instruments are working quite nicely. Up 10%+ right now, and I have a good chance of taking this off this week. Profit wise, it is carrying the load for my portfolio right now, but that is how a portfolio is supposed to work sometimes
IBM Double Calendar - 125 Aug/Sep Puts, 130 Aug/Sep calls
| RRDelta | 22% |
| RRGamma | -11% |
| RRVega | 21% |
Delta/Theta = 3.51
1 Day 1 Std Dev Move (2 points)
This one is also turning out nicely, and opening with the double was a smart move. Down 3% yesterday, but IV has bumped up to trim any losses, and I’m already profitable toady. No complaints.
Popularity: 24% [?]
If you enjoyed this post, make sure you subscribe to my RSS feed!
Other posts like this one:
Posted in Real Trades, Iron Condors, Calendars, QQQQ, EEM, RTH, IBM
No comments yet.