2014/05/15 SPX Calendar - Double Calendar adjustment

Adjustment to SPX Income Calendar, Thursday May 15, 2014: 

Convert SPX Calendar into a Double Calendar

As already indicated in the original post of May 13, an extension of the SPX Calendar into a Double Calendar would be used adjust the trade, should the market move outside of the 2/3-adjustment points under the tent. This happened in a strong sell off on Thursday, May 15, so that an additional SPX JUL/JUN14 1850 Calendar Spread was added, with  35/63 days to go until expiration:

BOT +1 CALENDAR SPX 100 JUL 14/JUN 14 1850 CALL @10.05 CBOE

Volatility was up at 13.64% at the time of the purchase and the IV percentile was at 23% (compare with 10% for the initial tent). Consequently, the cost per contract had increased to $1005 for the second tent, as compared to $955 for the initial tent. As shown in the P/L chart below, the Double Calendar spread is now nicely centered and Theta has doubled, so that time decay can do its work. The SPX Chart below shows horizontal red lines to indicate the new break-even zone of the Double Calendar from 1830 to 1915. Fibonacci clusters are also shown with support levels at 1860/1845/1825 and a target cluster at 1920. 

Profit target / stop loss: generally my stop loss matches the minimum profit target, which is 1/3 of the Calendar max profit value. In this case the tent initially had a height of $1420, so my stop was set around $400-$500 and my profit target in the same range. Note that these values stay the same after adding the second tent to the trade, i.e. after converting the Calender into a Double Calendar. Because you add more risk with the second Calender, your risk/reward value will worsen. However, at the same time you have bought (through the added risk) a higher probability trade, because now you have a wider range to be profitable. A higher probability trade does not mean that you will earn more, but that there is a higher chance you will meet your profit target. Good so !

Updates for this and other trades can be found at the InOutOptions page 

2014/05/12 SPX Calendar - new monthly income trade

New income trade Wednesday May 12, 2014 (opened two hours before the close): 

Bought a SPX JUL/JUN14 1900 monthly Calendar Spread with 38/66 days to go until expiration 

BOT +1 CALENDAR SPX 100 JUL 14/JUN 14 1900 CALL @9.55 CBOE

The trade idea:
The decison for the SPX at 1900 is either UP or DOWN. Volatility is extremely low at the moment at about 12% and SPX IV-percentile is in the lowest 10%. For me a good opportunity to open the first "tent" of a double Calendar, at a value that might see some back and forth trading (up to 1920, down to 1850, see chart)

However, should Ms. Market decide to make a stronger move - either up- or downwards - then a second Calendar tent will be placed according to market action either above or below, receptively. The current trade therefore carries only 1/2 of the total capital I am willing to risk in this trade. Lets Ms. Market play her game, we are prepared with a plan for all three directions. 

Updates for this and other trades can be found at http://inoutsignal.blogspot.de/p/inoutoptions2.html

2014/04/16 RUT May monthly Iron Condor - closed

Update on the monthly RUT Iron Condor of 11Apr14 -  29 days left - closed 16Apr14

BOT +2 IRON CONDOR RUT 100 MAY 14 1210/1230/1040/1020 CALL/PUT @2.60 CBOE

On Thursday the RUT monthly IC was closed after only 7 days. This was a typical Benklifa type trade, as the RUT moved first down to 1100 fib-cluster (see chart), then reversed up to the entry point after 7 days. Time decay worked fine during this period, together with the decreasing vol during the up-move. On Thursday the max profit point of the blue P/L curve was reached, a good moment to take profits and to reduce exposure to risk. We don't know where the market might be going, but looking at the chart, there is good chance that it will not revisit the 1130 point (center of the IC) for some time. That's why taking profits and then waiting for a better new entry appeared to be the preferred exit strategy. After commissions, the trade made $126 in 7 days, which is a 3.8% return-on-capital (risk was $3330). 

2014/04/11 new RUT Iron Condor - monthly income trade

New income trade Wednesday Apr 11, 2014: 


Sold 2cts monthly May14 RUT Iron Condor mIC - 34 days left.

Monthly IC: 20 points wide wings , 170 points wide, Call delta 8, Put delta 16, vol=0.2311
Credit $670, Risk $3330, R/R Potential = 20%

SOLD -2 IRON CONDOR RUT 100 MAY 14 1210/1230/1040/1020 CALL/PUT @3.35 CBOE

Markets are down today, vol is (still) up nicely, ticks are moving up and I am expecting some short covering. We are still in the range 1080 - 1210 for the RUT, so I expect some sideways ups-n-downs in this range before the markets might take a more decisive move up or down. One more swing within this range and this RUT mIC might move in a profitable range ... let's see ;)  

For updates on this trade follow:  http://inoutsignal.blogspot.de/p/inoutoptions2.html

2014/04/10 new SPX Iron Condor - monthly Benklifa type income trade

Dear InOutSignal Blog Reader, 

Please note that I have added a new tab about Income-Option-Trades to the InOutSignal Blog. You will find information there about Iron Condor and Calendar Spread trades, together with a performance chart. I will also post more details on some of these trades here in the blog. Here's the first one: 

New income trade Wednesday Apr 9, 2014: 
Sold new Benklifa type monthly May14 SPX Iron Condor with 36 days left.

Benklifa type IC: 25 points wide wings (need to be at 0-25-50-100 strikes), 200 points wide, Call delta 15, Put delta 12

SOLD -2 IRON CONDOR SPX 100 MAY 14 1925/1950/1750/1725 CALL/PUT @4.30 CBOE

Although markets are up yesterday and vol down, I got filled for 4.30 selling the above mIC, which is a better fill than some ICs that I had sold earlier (at higher vol). Best thing that can happen to this type of IC is that the price moves away for a few days and then returns to the middle of the Condor. That's the point to take partial profits .... even if it is only a small portion of the total credit received. The idea is to be in the market as short as possible and to take advantage of the theta decay during this round-trip move. The SPX is just in the middle of 1900 - 1840 range, so chanced are good for such a round-trip move, we will see. More soon  in the updates or at http://inoutsignal.blogspot.de/p/inoutoptions2.html