Filled IWM May 2010 Iron Condor

by Ryan Barr on April 1, 2010

in Papermoney

As expected my SPY(241.76 +1.15) order didn’t fill today and the IWM(137.58 +0.09) did.  I’ve placed an order for an additional 25 contracts of the IWM condor at $0.55 credit; if these fill I will be quite happy with that price.  Here is the trade:

SOLD -50 IRON CONDOR IWM 100 MAY 10 73/75/63/61 CALL/PUT @.50

Here is a bit of analysis on the trade.  The strikes are based primarily on the standard deviation of the IWM.  I’ve highlighted the trade range on the image to the right and you can see in the profit graph below that my break even points (including commissions) are slightly outside of 1 σ move down, and just inside a 1 σ move up. For those of you that are now slightly confused, the lower case Sigma, or σ, is a symbol that represents the standard deviation.

These probabilities are based upon the price at May expiration of the IWM.

The probable range of prices IWM will touch between now and then is quite a bit higher; between about 60 to roughly 77.  This is a risk that will have to be managed as we move along and the IWM moves up and down.  My intent is to adjust as little as possible and just let the greeks do their work.  However, should adjustment become necessary, I am not adverse to getting my hands dirty!

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