Position Updates - 3 Calendars, 2 Condors
Written on July 30, 2008 by OptionsRopeaDope
Things are perfect for these positions on many levels… the portfolio is up a combined 6% now, with 16 days to go (hopefully I’ll be out within 8 though). A stray thought… I have “max loss” levels for individual trades, including that if the trade is up say 10%, I won’t let it turn into a loser (my max loss is break even). Should I do the same with the portfolio? For example, now that it is up 5+%, should I close everything out if it goes back to breakeven? I’ll ave to think about that one.
All my positions are profitable right now.
QQQQ Iron Condor - 40/41 puts, 49/50 Aug Calls
| RRDelta | -2% |
| RRGamma | -20% |
| RRVega | -6% |
Delta/Theta = -.04
1 Day 1 Std Dev Move (.62 points)
Up 2%, but IV has increased a good clip over the past few days and that has hurt. At the perfect spot though, just about delta neutral with wide wings, and only a few days to get in trouble. My short deltas are 5 and 7. Gets safer by the minute.
NDX Iron Condor - 1650/1675 puts, 1975/2000 Aug Calls
| RRDelta | -10% |
| RRGamma | 0% |
| RRVega | -6% |
Delta/Theta = -2.25
1 Day 1 Std Dev Move (28 points)
Up 5%. Another 5% to go. Short deltas are 5 and 8. Like the QQQQs, this should blossom shortly. On a side note, I’m really happy about my super special greek formulas looking at this. My overall delta is only -2 on the entire NDX position, but that is meaningless without considering that the underlying is at 1852. My calcs give the real picture, that a normal, 1 standard deviation move will have a larger impact than expected (I’ll lose 10% of the apital between my current profit and my max loss. My actual QQQQ delta is -23, much higher, but a much lower impact. Who would guess?
RTH Debit Condor - 80/85, 95/100 Put Condor
| RRDelta | 17% |
| RRGamma | -8% |
| RRVega | -4% |
Delta/Theta = 8.58
1 Day 1 Std Dev Move (1.55 points)
Up 8.5% now. IV has actually increased also, so I could close this out if it drops (and it should, I think). f it falls alot, this could be a block buster 
RTH has moved quite a bit though, and my short deltas are very high (24, 20), so it could also lose money fast. I’m keeping an eye on it.
EEM Calendar - 130 (43.33) Aug/Sep calls
| RRDelta | -10% |
| RRGamma | -16% |
| RRVega | 11% |
Delta/Theta = -1.86
1 Day 1 Std Dev Move (.73 points)
Up 8%… and it flirts with 10-15% every day. This should be more I think, and I’m hoping for a big one day profit jump (as many calendar trades seem to want to do) soon if the price doesn’t move too badly. Up 5% yesterday though. That’s 3 standard devs!
IBM Double Calendar - 125 Aug/Sep Puts, 130 Aug/Sep calls
| RRDelta | -1% |
| RRGamma | -9% |
| RRVega | 18% |
Delta/Theta = -.1
1 Day 1 Std Dev Move (1.62 points)
Much like RTH, IV has moved the wrong way on this one, dropping when everything else is rising. Nonetheless, up 1% right now, and right in the middle (128.86) between the strikes.
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Posted in Real Trades, Iron Condors, Calendars, QQQQ, EEM, RTH, IBM, NDX
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