Monday, October 22, 2012

Paper traded double calendar to complete High Probability Portfolio

In the last week, I had paper traded one iron condor for SPX and RUT each, after initiating the SPX iron condor. Today, I completed this test portfolio with a double calendar on RUT with 59 days to expiration. The 2-month out calendar cost about twice as a one month out calendar of similar probability. Also the D.C. got wider ($40) call/put strikes. Note there was not Jan option available for RUT calendar. So I had to choose a further out month. The 2M portfolio withstand the dramatic market moves in the last week pretty well. We'll see how it performs in the next 30 days.

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