As discussed in this afternoon’s trade notice, we’re rolling out the short legs of this position by selling a double-diagonal, as follows: Day limit order Buy to close 2 SPY Dec 128 calls Sell to open 2 SPY Jan 127 calls Buy to close 2 SPY Dec 113 puts Sell to open 2 SPY Jan 114 puts for a net credit of $2.45 or better. Note that 2 contracts represent our entire short positions at…
Thursday, December 1, 2011
In the embedded video, I look at some interesting volatility phenomena in USO options, SPY volatility skew, and VIX and VSTOXX futures. Here are the trade ideas mentioned: Short USO implied volatility / long USO realized vol: on the view that USO options are richly priced relative to likely future USO realized vol, you can sell straddles, strangles, or iron condors here and delta hedge with the underlying shares to capture the difference between current IV…
Thursday, November 3, 2011
As planned, we’re rolling a portion of our current November butterfly hedge into a delta-neutral iron condor, as follows: Day limit order Buy to close 1 SPY Nov 119 put Sell to close 1 SPY Nov 125 put Sell to open 1 SPY Nov 132 call Buy to open 1 SPY Nov 138 call for a net credit of $1.84 or better. Note that 1 contract per leg represents the number of contracts we’re long…
Thursday, November 3, 2011
The roller-coaster ride continues today, with the S&P 500 index currently up 1½ percent and market sentiment running solidly bullish. If SPY is still above $125.60 around 2:30pm Eastern, we’ll adjust at least some of our November butterfly hedge position. Note that we’re planning to roll up by selling an iron condor, which will require about $425 in margin per contract rolled.
Monday, October 10, 2011
We’re adjusting the SPY October 93/103/113 put butterfly hedge to create a theta-positive position with delta closer to neutral. We’re accomplishing this with the following iron-condor trade: Day limit order Buy to close 1 SPY Oct 103 put Sell to open 1 SPY Oct 113 put Buy to open 1 SPY Oct 127 call Sell to open 1 SPY Oct 125 call for a net credit of $0.97 or better. Note that the 1 contract…
Tuesday, September 13, 2011
With just three trading days left until September expiration, and our portfolio showing about a 12% return on total capital at risk, we’re going to avoid the risks of late-expiration-week trading by closing our keystone position for the month, as follows: Day limit order Buy to close 2 SPY Sep 122 calls Sell to close 2 SPY Oct 128 calls Buy to close 2 SPY Sep 111 puts Sell to close 2 SPY Oct 105 puts
Friday, September 9, 2011
We’re reducing the delta of this position and taking in a credit exceeding the butterfly’s current value with the following iron-condor trade: Day limit order Buy to close 1 SPY Sep 128 call Sell to close 1 SPY Sep 121 call Sell to open 1 SPY Sep 108 put Buy to open 1 SPY Sep 101 put for a net credit of $1.02 or better. Note that 1 contract represents all of our long call…
Thursday, June 30, 2011
We’re opening the following position for July expiration: Day limit order Buy to open 4 SPY Aug 133 puts Sell to open 4 SPY Jul 133 puts for a net debit of $1.35† or better. Note that 4 contracts is our base position for single-calendars. Trading whole-number multiples of the base-position size ensures that adjustments will not result in unbalanced positions. In addition, in order to come as close as possible to matching our Model Portfolio risk profile,…
Wednesday, June 29, 2011
Since the early-afternoon pullback in SPY, it hasn’t been clear whether this morning’s signal to enter another calendar position will hold up at the end of the day. One thing is certain, though—we no longer need the negative-delta July butterfly hedge. Our strategy to recover some of the unrealized loss we’re showing on the butterfly is to adjust it into an iron condor, with the following (iron condor) order: Day limit order Buy to open 1 SPY Jul 141…
Tuesday, June 21, 2011
The Condor Options newsletter portfolio returned nearly 16% in the second quarter of this year, compared with -0.60% for the S&P 500. The newsletter is also more than six percentage points ahead of the index year to date. Finally, the newsletter portfolio reached a new all-time high in June, something that few indexes or assets can claim. I noted in my last quarterly update that I expected more periods of sideways price action in the rest of 2011, and so…
Jared Woodard is a registered commodity trading advisor who specializes in trading volatility as an asset class. With over a decade of experience trading options, futures ... Read More
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Thursday, December 15, 2011
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