13 Responses to “RUT Iron Condor (Feb’07 Update)”

1. TraderR
   January 9th, 2007 at 4:19 pm

   

   Dear Option Pundit
   Rally nice blog…
   Can you share your thoughts on money management? I see from your other blog that you are tracking % returns on a $10K account.
   Realistically one cant trade RUT IC on a $10K account without risking a substantial % of trading capital.

2. optionpundit
   January 11th, 2007 at 6:22 am

   

   TraderR,

   Thanks for the compliments. The portfolio tracking is a simplified size of actual portfolio.

   One can very well trade an IC on RUT on a 10K account..a 10point leg will give you roughly $2 credit and you will have to keep $8 for margins(per my way). That yields 25% if all options expires worthless. If you have a $10K account, and you use only 50% of capital, you can have $5000/$800= 6 contracts (rounding-off).

3. optionpundit
   January 17th, 2007 at 2:55 am

   

   As of Jan 16th 1:53 US EST, the IC was selling for about $1.70.

   With this I have collected ($4.95-$1.70=$3.25) about 80% of overall premium. I shall look for opportunity for rolling or closing the trade.

4. RUT Iron Condor (Feb’07, Closed for 88%, 23.38% Profit) at OptionPundit
   January 26th, 2007 at 11:48 am

   

   [...] I decided to buy back my bear call credit spread of $830/840 for $0.25 and release the margins. This bring my obverall profit from this trade which I originally initiated from past sevral months (find this link for 1st trade) are 88% and for the new feb trade (click here to follow discussion on 2nd trade) are 23.38%. [...]

5. Simon
   January 27th, 2007 at 2:52 am

   

   Hi Optionpundit.

   “I have rolled up both the legs.
   880/900 to 830/840 for $0.85 credit.”

   Does this mean you changed your call side from short 880 to short 830?

   Looks like a good return. You could have gone further OTM…is there any reason why you sety our shorts where they are…delta or standard dev?

   Cheers

   Simon

6. optionpundit
   January 27th, 2007 at 7:59 am

   

   Hi Simon,

   Yes, I changed the shorts as you have mentioned above. I shifted towards a reasonable probability, generally 1 std dev or greater.

7. 3heart
   January 30th, 2007 at 5:12 pm

   

   What’s you adjustment plan?

8. optionpundit
   January 30th, 2007 at 9:51 pm

   

   3heart,

   This trade is closed for 1)88% and 2)23.38% profits.

   Cheers,
   OptionPundit

9. 3heart
   January 31st, 2007 at 4:36 pm

   

   Mr. OP,

   My question is what your adjustment point is if the market hurts the IC and how you adjust it.

   Regards,

   3heart

10. optionpundit
    February 1st, 2007 at 4:49 am

    

    Hi 3heart,

    Actually the adjustment points depends on several factors. But, as a general guideline I start to worry when delta of the short leg comes closer to 0.25-0.30. As I continue to write about Iron condors and shorts, I will time to time mention about adjustments to my trade.

    Cheers,
    OptionPundit

11. 3heart
    February 1st, 2007 at 4:53 pm

    

    Thanks, OP. That’s what my adjustment point is too. I found rolling up( short call delta reaches 25) is a pain compared to rolling down because of the vertical IV skew. So how do you adjust in this case?

12. Simon
    February 2nd, 2007 at 5:14 am

    

    3Heart…maybe try a butterfly (1-3-2 or 1-2-1) instead of rolling up the bear csll spread.

13. AK
    February 3rd, 2007 at 4:30 am

    

    Simon

    Can you please give an example how to turn a bear call into butterfly. I have a 810/820 bear call spread on RUT for feb