Iron Condor for August

Filed under: iron condor — optionwinner at 1:43 pm on Wednesday, July 9, 2008

On Monday, we established the put side of the iron condor for August by selling Bull Put Spread at 1100/1075 (sold SPX August 1100 Put ($7.20) / bought SPX August 1075 Put ($5.20)). This was done for a net credit of $2.00. Recall that our Bear Call

Spread was opened for a credit of $1.70. This makes this months total credit $3.70 per iron condor. If the spreads were to expire worthless in 36 days time, returns will be 17% ($370/$2130).

While the call side was slightly more than 1 standard deviation away at the point it was executed, the put side was placed further from harm’s way - at more than 1.5 standard deviations away from 1262. This was done considering the current market. At the time of this post, the short call has a delta of 3 and the short put a delta of 6. Front month ATM IV is at 21.42. August iron condor has started out well.