guspenskiy13
976 posts
msg #120842
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6/23/2014 3:04:45 AM
Thanks for the updates Kevin.
"Certainly more attractive than being glued to a terminal trying to time the market using indicators on 2 minute bars."
how true...saw myself here...
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Kevin_in_GA
4,599 posts
msg #120849
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6/23/2014 1:45:27 PM
Well, I did add that part in specifically for you.
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Kevin_in_GA
4,599 posts
msg #120854
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modified |
6/24/2014 12:33:23 AM
6/23: Update on deltas and probabilities:
BTO 20 IWM1427R110 IWM Jun27'14 110 put Filled: 0.12 at 6/18/14 12:06 ET
STO 20 IWM1427R112 IWM Jun27'14 112 put Filled: 0.23 at 6/18/14 12:06 ET
Current put delta = -0.03 (excellent)
The probability of max profit is now 99.69%.
STO 20 IWM1427F121 IWM Jun27'14 121 call Filled: 0.08 at 6/18/14 11:25 ET
BTO 20 IWM1427F123 IWM Jun27'14 123 call Filled: 0.03 at 6/18/14 11:23 ET
Current call delta = 0.04 (excellent)
The probability of max profit is now up to 88.69%. Only a 10.23% chance of taking any loss, and a 0.57% chance of taking a max loss.
BTO 20 SPY1427R186 SPY Jun27'14 186 put Filled: 0.17 at 6/18/14 11:11 ET
STO 20 SPY1427R188 SPY Jun27'14 188 put Filled: 0.25 at 6/18/14 11:11 ET
Current put delta = -0.03 (excellent)
The probability of max profit is now 100.00%.
STO 20 SPY1427F197 SPY Jun27'14 197 call Filled: 0.15 at 6/18/14 11:12 ET
BTO 20 SPY1427F199 SPY Jun27'14 199 call Filled: 0.04 at 6/18/14 11:12 ET
Current call delta = 0.22 (lower but still elevated risk)
Even though the stock price did not move today, time decay helped improve the probability of max profit from 63.53% yesterday to 68.55% today. The probability of taking any loss on this right now down to 28.92%, and the chance of taking the max loss is down to only 7.42% today.
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jimmyjazz
102 posts
msg #120856
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6/24/2014 9:26:19 AM
I think 2 of your "current put delta = " should read "current call delta = ".
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Kevin_in_GA
4,599 posts
msg #120860
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6/24/2014 1:36:53 PM
Good catch. That's what I get for being lazy and copying/pasting. Now corrected.
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leaddog
38 posts
msg #120862
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6/24/2014 6:58:36 PM
Not tying to be picky but for clarity sake, I believe that the 197 call wing of the SPY trade should be STO instead of BTO.
I recently started trading a similar strategy on the SPX and am interested in your take on it.
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Kevin_in_GA
4,599 posts
msg #120863
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6/24/2014 7:10:22 PM
Another typo - you are correct. Now corrected in the most recent post.
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Kevin_in_GA
4,599 posts
msg #120864
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6/24/2014 7:23:21 PM
6/24: Update on deltas and probabilities (3 days until expiration):
BTO 20 IWM1427R110 IWM Jun27'14 110 put Filled: 0.12 at 6/18/14 12:06 ET
STO 20 IWM1427R112 IWM Jun27'14 112 put Filled: 0.23 at 6/18/14 12:06 ET
Current put delta = -0.04 (excellent)
The probability of max profit is now 99.58%.
STO 20 IWM1427F121 IWM Jun27'14 121 call Filled: 0.08 at 6/18/14 11:25 ET
BTO 20 IWM1427F123 IWM Jun27'14 123 call Filled: 0.03 at 6/18/14 11:23 ET
Current call delta = 0.01 (excellent)
The probability of max profit is now up to 98.65%. Only a 1.33% chance of taking any loss, and a 0.01% chance of taking a max loss.
BTO 20 SPY1427R186 SPY Jun27'14 186 put Filled: 0.17 at 6/18/14 11:11 ET
STO 20 SPY1427R188 SPY Jun27'14 188 put Filled: 0.25 at 6/18/14 11:11 ET
Current put delta = -0.03 (excellent)
The probability of max profit is now 99.98%.
STO 20 SPY1427F197 SPY Jun27'14 197 call Filled: 0.15 at 6/18/14 11:12 ET
BTO 20 SPY1427F199 SPY Jun27'14 199 call Filled: 0.04 at 6/18/14 11:12 ET
Current call delta = 0.10 (good)
The probability of max profit moved from 68.55% yesterday to 87.06% today. The probability of taking any loss on this right now down to 12.41%, and the chance of taking the max loss is down to only 1.60% today.
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Kevin_in_GA
4,599 posts
msg #120874
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6/25/2014 1:41:02 PM
New Pangolin IC trades for options expiring on 3 July:
BTO 20 GLD1403S122 GLD Jul3'14 122 put Filled: 0.04 at 6/25/14 12:36 ET
STO 20 GLD1403S124 GLD Jul3'14 124 put Filled: 0.11 at 6/25/14 12:36 ET
This put spread will generate $140 before commissions ($102 after commissions) as long as the GLD price remains above 124 at the close of trading on 3 July. I was unable to get enough premium selling the call spread, so this will be a simple vertical put spread - no reason to add downside risk if the premium isn't enough.
BTO 20 IWM1403S111 IWM Jul3'14 111 put Filled: 0.15 at 6/25/14 12:28 ET
STO 20 IWM1403S113 IWM Jul3'14 113 put Filled: 0.30 at 6/25/14 12:28 ET
STO 20 IWM1403G120 IWM Jul3'14 120 call Filled: 0.08 at 6/25/14 12:30 ET
BTO 20 IWM1403G122 IWM Jul3'14 122 call Filled: 0.02 at 6/25/14 12:29 ET
Here I was able to get decent pricing for both wings of the Iron Condor - the put spread will generate $300 before commissions ($262 after) and the call spread will generate $120 ($82 after). IWM price needs to stay between 113 and 120 for this to expire profitably.
BTO 20 SPY1403S189 SPY Jul3'14 189 put Filled: 0.17 at 6/25/14 12:39 ET
STO 20 SPY1403S191 SPY Jul3'14 191 put Filled: 0.26 at 6/25/14 12:39 ET
This put spread will generate $180 before commissions ($142 after commissions) as long as the SPY price remains above 191 at the close of trading on 3 July. Just like in the case of GLD I was unable to get enough premium selling the call spread, so this will also be a single vertical put spread.
Assuming all trades go as planned this will net $588 after commissions.
So far we have had the first week's trades closed profitably for $730 after commissions, took a week out because of work conflicts (note - the planned ICs all expired profitably so I'm kicking myself), and this week is looking like it will go as planned and generate another $508 after commissions in profit. Even with the week off, in the last three weeks this strategy has returned $1238 in profit on an initial equity of $25,000 (with only about half of that equity ever at risk).
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ericeira
23 posts
msg #120876
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6/25/2014 8:22:27 PM
Thank you Kevin i do like your iron condors trades i also placed a similar trade on IWM for 35 contracts each leg for a commission of $33.5 plus a regulatory fee of $5.19 for a total of $38.69 .
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