I have rolled up both the legs.
880/900 to 830/840 for $0.85 credit. Also reduced the spread from $20 wide to $10. I also rolled up 700 put to 710 for $0.90 credit and the similar to BCS also reduced it’s spread to $10.
With these adjustments, I have collected $3.20+$0.85+0.90= $4.95 (for my resulting 830/840/720/710 IC) and my current risk is only $5.05. If RUT remains between 720-830, my returns are going to be almost 98%.
I closed my 840/850 BCS by buying for $0.15. Now I am open on the bull put side (750/740) which is currently selling for $0.70 and there are 2 more week for the expiration. It is still above my threshold so I don’t want to buy this back yet.
With this purchase of BCS now I have already collected $2400 out of $3100 possible credit. That makes my profit to 34% already.
As I had mentioned earlier in one of the post that December is tough month for market neutral traders. I played a double diagonal IWM on December quarterly. It paid-off very nicely giving me 21.2% in about 5wks holding period. The original trade was opened for $0.20 credit/dd. Margin required/dd was $180 ($200-$20).
Both short options 81 call and 76 put expired worthless yielding addition $0.225/dd premium. Overall returns are $42.5/DD i.e. 21.25%.
I still have both long options i.e. 83 call and 74 puts which I shall sell asap.
Even though this month mostly was a travel month, the returns are beautiful. December, my portfolio grew by 5.37%, bringing overall return in the past 4months, since I started tracking, to >13%. The winners for this month were my double diagonal on IWM and calendar spread on XOM. I shall be posting details of IWM diagonal separately.
I have collected $2177 out of possible $3100 from the RUT Jan Iron condor. That’s about 70% of total premium that I can generate by selling IC. This is app 31% profit for the Iron condor and just 3 weeks to go for the Jan expiration cycle.
Some of you might be surprised how could I receive such high premium. I am using 2 months rolling strategy and this premium was achieved by opening this highly probable trade 2 months ago and with theta gains. Currently RUT is at $788 and my short strikes are 840 and 750 (97% and 87% chance of expiring worthless). If it expires worthless, my total return on this trade are expected to be 44.9%.
It’s difficult to post the actual trades pictures as that involve quite a few adjustments. If you have any questions/comments, we can discuss it here at: Rut IC Jan 07
Profitable trading,
OptionPundit
Pictured below is my Feb’07 RUT condor. It was a 20point wide condor and total credit received was $3.20 (i.e. $3.20 reward for $16.80 risk i.e 19% returns expectancy). My short strikes were 880 and 720. Currently RUT is trading at 788 and with the theta gains I have already collected $1.60 out of total $3.20 credit.
I am looking for rolling it to generate more credits as we get into the next month. The concept is simple but the art will be in getting the right credit and good fill. Stay tuned.
Discuss it here : Rut IC Feb’07
Profitable Trading,
OptionPundit