Condor Options

Even though there’s little delta/gamma risk in holding this trade into next week, there isn’t much additional profit either—and we do have volatility risk. We’re closing our position for a 15.2% profit, with the following order:

Day limit order
Sell to close 2 SPY Mar 97 calls
Sell to close 2 SPY Mar 71 puts
Buy to close 2 SPY Feb 91 calls
Buy to close 2 SPY Feb 77 puts
for a net credit of $0.66 or better.

Note that 2 contracts represents our entire position. We’ll include an analysis in our February monthly review.

Bonus Trade: An alternative to closing this position would be to turn it into a March iron condor, by rolling the short calls/puts up/down and out. For example, buying back the Feb 77/91 strangle and selling the March 73/95 strangle would bring in about $0.39 in additional premium. (Note that this is just a bonus trade—it will not be autotraded, and we won’t be following it up.)