September Iron Condor

Filed under: iron condor — optionwinner at 4:13 pm on Friday, August 15, 2008

We are a little late this month and it has resulted in lower credits.

On Wednesday (13 August 2008), we opened a Bull Put Spread at 1150/1125 for a credit of 1.50. Specifically, we sold the SPX September 1150 Put and bought the SPX September 1125 Put for a net credit of $1.50 per spread. Margin requirement was $2,350.

Today, we took the plunge and opened the call side. While I expect the SPX to reach the upper trendline at about 1320, when we get there is another question. And if I wait till Monday next week, we would only be about 30 days away from expiry. Furthermore, failure to reach the upper trend-line would lead to a breakdown and an accelerated descent. We opened the Bear Call Spread at 1385/1410 or slightly more than one standard deviation away. Specifically, we sold the SPX September 1385 Call and bought the SPX September 1410 Call for a net credit of 1.65. Delta was at about 9 when we put in the trade. Margin requirement is $2,335 but since we have the Bull Put Spread opened already, the margin of the entire iron condor remains at $2,350.

If both spreads expire worthless come 18th September, maximum return of 13.40% would be achieved.

Attached below is the risk profile of the September Iron Condor.

September Iron Condor Risk Profile