Wednesday, November 7, 2012

Rolling down of Dec SPX Iron Condor

Market sold off hard after the election day. In the paper-traded 2 month out portfolio, the SPX positions showed a need for adjustment. Specifically, market price has fallen into the left slope of an  iron condor curve. So I rolled the IC down about 20 points. I still got an extra credit of $0.65, due to the higher volatility and plenty of time to expiration. The new SPX P&L curve is shifted left side about 20 points now. Note the portfolio had a 10% profit of $600+ yesterday before the sell-off.

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