Stock / Symbol: SPDR S&P 500 ETF / SPY
Option Strategy: [private_monthly] iron condor[/private_monthly]
Price at trade post: $144.90
Reasoning: With 31 days left till January expiration, we're putting on an[private_monthly] Iron Condor on SPY to fit between the current standard deviation calculation of +/- 7 from its current price, with a slight downside bias. Also, given the uncertaintly surrounding the fiscal cliff, we're adding some protective calls / puts. Our[private_monthly] Iron Condor[/private_monthly] currently has a delta of -36, a positive theta of 3.4 and a negative vega of -28.[private_monthly] This trade has a 85% probability of success. If SPY hits either our upside stop at 148 or downside stop at 138, we'll adjust the trade or exit it. [/private_monthly]
Trade Details:
[private_monthly]
STO -10 SPY Jan13 150 calls
BTO 10 SPY Jan13 152 calls
STO -10 SPY Jan13 136 puts
BTO 10 SPY Jan13 134 puts
for a min net credit of $0.34 per contract. The mid is currently at $0.36 (day order, limit order). If not filled today, ok to try again tomorrow.
then, add the protective calls / puts:
BTO 2 SPY Jan13 152 calls
BTO 2 SPY Jan13 134 puts
at the market
Requirements:
Cost/Proceeds ($226)
Option Requirement $2,224
Total Requirements $1,800
Estimated Commission $66
[/private_monthly]
Max Risk: $1,800
Max Reward: $226 or 12% by Jan 18[private_monthly] between 136 - 150
Suggested Upside Stop @ $148
Suggested Downside Stop @ $138
[/private_monthly]
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