Position Updates - 3 Condors, 2 Calendars

Written on August 4, 2008 by OptionsRopeaDope

Not much movement since the last post until today, and it was still a small movement overall. For my first adjustment of this cycle, I closed half of my EEM contracts as the position lost all its profit and seung to a loss. I had the thought of opening another calendar but didn’t at the end of the day because I thought it best to get out of the position altogether, given the odd strike price I was using (130, pre EEM split). The remainder returned to breakeven Also, My RTH Condor shot way up, giving me a flat day, and an overall portfolio gain of 4% with around 5 days left of trading. 

QQQQ Iron Condor - 40/41 puts, 49/50 Aug Calls  

Delta/Theta = 2.13

1 Day 1 Std Dev Move (.62 points)

The position is slow to let the premium go, but it is leaking out slowly. Up 2% with more to come this week. Very safe.

NDX Iron Condor - 1650/1675 puts, 1975/2000 Aug Calls  

Delta/Theta = 1.4

1 Day 1 Std Dev Move (28 points)

Up 5%. Another 5% to go. Short deltas are 3 and 7. I wish they could all be like this one has turned out.

RTH Debit Condor - 80/85, 95/100 Put Condor  

Delta/Theta = 2.21

1 Day 1 Std Dev Move (1.53 points)

Up 11%on my account screen, but looking closer I think it isn’t accurate, as the bid-ask spread on the 95 and 100 puts are very wide. Looking at the open intrest in the 100 puts, I have alot more than I’d wish… and even though I think the chances of RTH reaching 95 are nil, it’s something else I need to look at on my trade-open templates.

EEM Calendar - 130 (43.33) Aug/Sep calls  

Delta/Theta = -1.86

1 Day 1 Std Dev Move (.73 points)

In my ast post I said “I’m hoping for a big one day profit jump”… instead I got the one day profit loss  Down 1 1/2% overall, and I may close this out tommorrow on any downward move.

IBM Double Calendar - 125 Aug/Sep Puts, 130 Aug/Sep calls  

Delta/Theta = 1.46

1 Day 1 Std Dev Move (1.62 points)

IBM behaves range wise, but only at break even on this. This has plenty of juice to squeeze, and I’ll probably be out by Friday no mattwe what.

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Posted in Real Trades, Iron Condors, Calendars, QQQQ, EEM, RTH, IBM, NDX No Comments »

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  

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  

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  

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  

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  

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 No Comments »

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  

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  

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  

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  

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  

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.

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Posted in Real Trades, Iron Condors, Calendars, QQQQ, EEM, RTH, IBM No Comments »

Open - QQQQ Iron Condor

Written on July 25, 2008 by OptionsRopeaDope

Things shook out with a little bump in IV over the last couple of days to give me a bread-and-butter condor that makes me comfortable. Small credit, but a 10%+ drop will need to happen to kill this one. I know there have been a few 10% mves in the last 2 months, just banking on the liklihood of it happening again being very small.

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Open - IBM Double Calendar

Written on July 25, 2008 by OptionsRopeaDope

Only 21 days ntil expiration but there are still a couple of seemingly good deals out there. Spotted this one at the Insane Money Forums. IBM is in a fairly defined range lately, with little scheduled in the next few weeks news-wise that could shake it at first glance. The analysis holds up also:

Normally, I want to open calendars as a single, then adjust to a double when necessary. I’m a little more risk averse right now though (and expect a downward move sometime over the next couple of weeks) so I’m opening this as a double. Also, this is a new underlying for me, and I usually pay a tax in the for of a loss on my first trades such as tis

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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.

I only plan to stay in this trade 2 weeks max, and shooting for a 12% gain.

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Open - EEM Calendar - 130 calls

Written on July 24, 2008 by OptionsRopeaDope

This was opened Tuesday, and already needs a little recalculation, given that EEM split 3 for 1 this morning. So technically, the call is for a strike price of 43.33, and all of the breakevens listed below use the new numbers. As for the trade itself, IV is still low for EEM, the skew was very close to 0, and the breakevens are very wide. Ill take it.

Even with the substantial, 2.5 Standard deviation move today (-1.62), the position is down just 1.74%. I’ll take it, and adjust with a further down move.

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Posted in Real Trades, Calendars, EEM No Comments »