Opening: SPY June 18th 665/675/745/755 Iron Condor

... for a 3.49 credit.

Comments: While I work my tested SPX iron condors, going smaller in SPY. Collecting one-third the width of the wings here in credit ... .

Metrics:

Max Profit: 3.49 ($349)
Buying Power Effect: 6.51 ($651)
ROC at Max: 53.61%
50% Max Profit: 1.75 ($175)
ROC at 50% Max: 26.80%

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Squeezing in a delta neutral 680/689/751/760 for a 3.02 credit. Will look to layer in and then mix and match profitable side with profitable side to reduce units over time.

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Closed the 665/675/751/760 for a 2.60 debit; .57 profit, leaving me with the 680/689/745/755, 3.91 credit.

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Squeezing in a 674/684/742/751 for a 3.77 credit.

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Closed the 674/684/742/715 for a 3.57 debit; .50 profit. This leaves me with the 680/689/742/751, 4.11 credit.

Both of the short legs are the 26 delta, so will leave it alone for a bit ... .

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Delta hedge: Opened the 684P/-704P for a 1.46 credit. Position net delta -1.08 at end of day. Will add in a short call vertical against if the setup begins to skew long.

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Going ahead and selling the -17 delta short-legged 770/780 short call vertical against for a 1.34 credit, which I get "BP free." Total credits received for the position: 6.91.

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Adding long delta on the dip, but in the June 18th expiry. Sold the June 26th 695P/-705P for a 1.55 credit. Total credits collected: 7.96.

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(Late Post): Rolled the June 18th 680/689 at 50% max out to the June 30th 708/718 for a 1.06 credit. Mmm. There's an addition error in here somewhere ... . Recalculating. Net credits collected: 9.52.

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Rolled the June 18th 742/751 to the June 30th 744/754 for a .25 credit. Total credits collected: 9.77.

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Delta balancing: Rolled the June 18th 694/704 up to the 709/719 for a .49 credit and the June 26th 695/705 up to the 713/723 for a .69 credit. 10.95 total credits collected. Net position still leans slightly short delta ... .

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Late Post: Friday: Opened the June 26th 2 x -783C/788C for a 1.06 credit and the July 2nd 711P/-721P for a 1.48 credit. Today: Rolled the June 30th 708/718 up to the 727/737 for a .97 credit. 14.46 credits collected.

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Late Post: A bunch of delta adjustments on Friday. Rolled up: the June 18th 709/719 short put vertical to the 729/739 for a .92 credit, the June 26th 713/723 up to the 726/736 for a .63 credit; and the July 2nd 711/721 up to the 723/733 for a .52 credit.

Rolled out the ITM June 30th 744/754 out to the July 17th 755/765 for a 1.35 debit, "financed" with a July 17th 720/730 short put vertical for a 1.49 credit.

Lastly, sold a July 2nd 2 x 792/797 for a 1.02 credit.

17.69 collected to date with a position that is -2.05 delta, 25.67 theta.

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Delta Balancing: Selling the July 10th 726/736 short put vertical for a 1.51 credit. Now +2 units long with delta/theta at -4.72/33.56.

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19.20 total credits collected.

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Delta Balancing: Selling the June 30th 2 x -778C/783C for a 1.14 credit; 20.34 credits collected. Delta/theta 9.97/34.86 and now +1 unit long.

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Delta Balancing: Sold the July 10th 2 x 784/789 short call vertical for a 1.14 credit and the July 24th 2 x 790/795 for a 1.20 credit. Total credits: 22.68 with delta/theta at 7.71/38.86. Now +1 unit short.

Now primarily looking to strip off units as setups run into expiries.

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Adding more short delta: Sold the July 31st 2 x 792/797 for a 1.30 credit. 23.98 total credits collected. + 2 units short. Delta/theta 12.65/34.68

This is about as far out in duration that I want to go, so any further adjustments will be intra-expiry (i.e., rolling in towards current price).

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Probably should've rolled call side down first, checked net delta, and seen whether I needed to add units or not ... .

In any event:

Rolled down the June 26th 2 x 783/788 short call vertical down to the 2 x 770/775 for a .90 credit, the June 30th 2 x 778/783 down to the 2 x 772/777 for a .50 credit; and the July 2nd 2 x 792/797 to the 2 x 773/778 for a 1.10 credit for a total of 2.50 in credits. 26.48 credits collected; delta/theta 3.53/37.44.

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Late Post: Rolled the June 13th 770/780 down to the 752/762 short call vertical for a 1.83 credit. Total credits received: 28.31.

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Today: Before this took off like a rocket, rolled the June 18th 729P/-739P to the June 24th 721/731 short put vertical for a 1.93 debit and opened a June 24th 2 x 762/767 short call vert for 2.00 to finance.

Additionally, closed out the June 24th 790/795 short call vert (which was a delta hedge) for a .42 debit.

Total credits received: 27.96. Delta/theta: 3.03/54.77.

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Rolled the June 26th 726/736 short put vertical down and out to the July 31st 715/725 for a .95 debit, and sold the 2 x 771/776 against for a 2.12 credit.

Delta/theta: -8.29/56.32. Total credits collected: 29.13.

The whippiness of this market almost militates in favor of not adjusting intraexpiry via roll in except on side touch.

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BP (Buying Power) Free Delta Hedge: Sold the July 31st 701P/-711P for a 1.57 credit. Total credits collected: 30.70.

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Today: With 3 days to go, rolled the June 18th 752/762 short call vertical to the August 21st 770/780 for a .06 credit and sold a 709/719 short put vertical against for 1.50. Total credits collected: 32.26 on BP of 90.00.

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Closed the June 26th 2 x 770/775 for a .98 debit (50% max). Delta/Theta: -16.93/48.64. Total credits of 31.28 on a BP of 80.00.

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Additive Delta Hedge: Sold the July 31st 2 x -783C/788C for a 1.28 credit. Total credits received of 32.56 on BP of 90.00 and -1 units short. Delta/theta: 2.72/44.82.

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Today:

Closed the June 30th 727/737/2x 736/784 for a 1.50 credit (1.50/$150) profit.
Closed the July 2nd 723/733/2x 773/778 for a 1.34 credit (1.34/$134) profit.

Delta Adjustment: Sold the July 31st 708P/-718P for a 1.43 credit, which I got BP free due to being -1 unit short.

31.15 credits on BP of 70.00. Delta/theta: -2.89/33.12.

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Today:

Closed the July 10th 2 x -784C/789C for a .08 debit. 1.06 ($106) profit.
Opened the July 31st 2 x -775C/780C for a 1.38 credit.

32.46 credits collected. Delta/Theta: 14.86/28.47 and 1 unit short.

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Today:

Closed the July 17th 720/730/755/765 for a 5.10 debit; 1.95 ($195) profit.
Closed the July 24th 721/731/2 x 762/767 for a 5.06 debit; .68 ($68) profit.

Total credits now 22.30 on a cap req of 60.00; delta/theta 11.32/19.29; 775.53 profit YTD (ex. fees/comms).

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Closed the July 31st 2 x -792C/797C for a .20 debit; 1.10 ($110) profit.

Rolled the July 10th ITM 726P/-736P to the August 7th 716P/-726P for a .99 debit and sold the 2 x -773C/778C against for a 1.40 credit to finance the roll.

Sold the August 7th 2 x -775C/780C for a 1.24 credit to delta balance.

Credits to Date: 22.30 - .20 - .99 + 1.40 + 1.24 = 23.75 on a capital requirement of 60.00; -1 units short; delta/theta 3.25/22.43; realized gains to date 682.53 (I go backwards on the realized gains due to the roll of the ITM short put vertical, since that resulted in a realized loss).

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Today:

Sold the August 7th 715P/-725P for a 1.43 credit to delta balance. I get this BP free since I was -1 units short in that expiry.

BTC July 31st 701/711/2 x 783/788 for a 1.48 credit. I have been getting most of these filled for around 2.80-ish, assuming the short put leg is at around the 25 delta strike and the 2 x short call leg around the -13, so this is just about at 50% max.

Total Credits: 23.70 on a cap requirement of 50.00. Delta/Theta: -13.23/28.80.

I'll look to continue this in a separate post ... .

NaughtyPines

Penafian

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NaughtyPines