Sep Position Updates - 2 Calendars, 2 Condors
Written on September 4, 2008 by OptionsRopeaDope
After flirting with adjustments (and losses) the last couple of days, today’s downward move yielded some great returns for my positions.
A note on the graphs - I’ve decided to ampilfy the price movement, as on the scale price movement is hard to spot. I’m going to try amplifying it by a factor of 4.
Also, I opened up an OCT RUT Iron Condor today and will scale into it further, but it won’t get mentioned yet. This update is focused on September expiration trades.
RUT Iron Condor - 650/660 puts, 780/790 Sep Calls
| RRDelta | 3% |
| RRGamma | -2% |
| RRVega | -5% |
Delta/Theta = .59
1 Day 1 Std Dev Move (11.6 points)
My short call hit a delta of 25 for about 5 minutes. After today, it is at 5, and the short put is at 8. Progress:
With a fuller chart, the interaction with IV, price movement, etc, is pretty clear.
SPY Iron Condor - 113/115 puts, 136/138 Sep Calls
| RRDelta | 12% |
| RRGamma | -3% |
| RRVega | -4% |
Delta/Theta = -3.26
1 Day 1 Std Dev Move (1.6 points)
The RRDelta is a little higher than normal because I don’t have calls any longer on the trade. Closed them out today for .03. My short put is at 10 with two weeks to go.
WMT Double Calendar - 57.5 Sep/Oct Puts, 60Sep/Oct calls
| RRDelta | -14% |
| RRGamma | -13% |
| RRVega | 13% |
Delta/Theta = -2.74
1 Day 1 Std Dev Move (.86 points)
WMT flirted with going up too far with WMTs earnings, but got dragged down with everything else, thank goodness. Check out the profit line… moving up nicely along with the IV.
RTH Calendar - 95 Sep/Oct Puts
| RRDelta | -14% |
| RRGamma | -10% |
| RRVega | 13% |
Delta/Theta = -2.64
1 Day 1 Std Dev Move (1.54 points)
RTH’s up move touched my adjustment point (around 99) but has come back down. Theta especially should start to accelerate. A further down move will yield great results for both WMT and RTH.
Overall, I am sitting on around an 8% profit on the overall portfolio. All the odds are on my side for now.
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Posted in Real Trades, Iron Condors, Calendars, RUT, SPY, RTH, WMT
Sorry, what software do you use to plot Profit and Price,IV,Delta,Theta. Nice site! TY.
I use Google Spreadsheets. Had to mess with it and customize the sheets, add graphs, etc, but it is very flexible.