Monday, June 14, 2010

Will the SPY trade in a range?

Today I initiated a small Iron condor position in SPY for the expiration month of July. I sold 2 114/116/100/98 Iron Condors for $0.76 each. As you will notice by the short put spread side of the Iron Condor I am going further out of the money as risk still feels heavier on the downside.

Below is a daily chart of the SPY and the grey highlighted box indicates my range of profitability between now and expiration. At the moment I am taking full risk on the trade of about $1.14 per Iron Condor.







Above is the risk profile from TOS and I through in the break even lines which are at 99.26 and 114.77 between now and expiration.

As the SPY moves around I may sell some more at different strikes spreading the risk around a bit.
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2 comments:

  1. Jason HaasJune 14, 2010 at 9:40 AM

    Regardless of how the trade ends up for you, I like the set up. I think repeatedly making trades of this caliber makes sense. The only thing I don't like is the 5-week time frame, but you can always close out early.

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  2. UnknownJune 14, 2010 at 1:46 PM

    I almost bought the 110/105 Jul '10 put spread which was trading for about a $1.40, but didn't feel ready to pull the trigger. I kind of wanted to see how the market closed today after trading up to resistence. Looks like the SPY failed again at the 111 area and closed near the lows today. I will look at this spread again tomorrow.

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