Position Updates - 3 Calendars, 2 Condors
Written on August 29, 2008 by OptionsRopeaDope
This should be a fun update I hope. Lots of analysis, and I hope the graphs go over well. All of my calendars are stalling right now, condors behaving as expected.
RUT Iron Condor - 650/660 puts, 780/790 Sep Calls
| RRDelta | -22% |
| RRGamma | -1% |
| RRVega | -10% |
Delta/Theta = -4.13
1 Day 1 Std Dev Move (9.62 points)
I already rolled the call side down (and regretted it yesterday.) Deltas are 5 for the short put, and 14 for the short call. Progress:
Hope this is coming up full size. If not, I’ll need to tinker with it.
SPY Iron Condor - 113/115 puts, 136/138 Sep Calls
| RRDelta | -11% |
| RRGamma | -6% |
| RRVega | -7% |
Delta/Theta = -3.43
1 Day 1 Std Dev Move (1.4 points)
Up a nice 5%. Short deltas are 3 and 7. I wish they could all be like this one is going. Progress:
IBM Double Calendar - 120/125 Sep/Oct Puts
| RRDelta | 16% |
| RRGamma | -14% |
| RRVega | 23% |
Delta/Theta = 5.69
1 Day 1 Std Dev Move (1.6 points)
Started as a single and was underwater from the start. Switched to a double a day later.
WMT Double Calendar - 57.5 Sep/Oct Puts, 60Sep/Oct calls
| RRDelta | 0% |
| RRGamma | -19% |
| RRVega | 19% |
Delta/Theta = .05
1 Day 1 Std Dev Move (.79 points)
WMT is ranging great. Now that I said that it’ll blow up just watch 
Still no profit for this one though. Also, very little room for error on pulling the trigger for an adjustment.
RTH Calendar - 95 Sep/Oct Puts
| RRDelta | -4% |
| RRGamma | -10% |
| RRVega | 12% |
Delta/Theta = -1.06
1 Day 1 Std Dev Move (1.42 points)
If I was smart, I’d do nothing but condors and anything I wanted with RTH. It’s good to me, and this month is no different. My only profitable calendar right now.
Kind of wish I had more profit in hand right now. I’m seriously questioning my calendar efforts. Looking at my performance since the beginning of the year, all my condors have been good and easy to manage, with mostly winners. Same this month. This calendar month I have my first drawdown of the year (around 2%) due largely to the fact that I lost a good bit of profit the week of expiration this month, after being up quite a bit in the weeks before that. Bummer.
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Posted in Real Trades, Iron Condors, Calendars, RUT, SPY, RTH, IBM, WMT
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