Monday, December 31, 2012

Completed Feb high probability option income portfolio

Today, I finally completed my February high probability option portfolio by selling the RUT iron condor as shown below. This month's portfolio is made of all iron condors, because I still consider the market is within an uptrend. The portfolio Vega is about -200. It will gain $200 if VIX drops 1 point or SPX rises slightly over 10 points according to my calculation before (just one way for estimation). To make the portfolio market neutral, I also built a negative delta. In case market drops, the negative delta should help to increase the portfolio value, while the negative Vega causes the portfolio to lose value.
Today's order which was $0.05 below mid-price roughly was filled within 20 minutes (the mid price fluctuated during this time with a bias to the up side). Last Friday, I tried to order a RUT iron condor with slightly different strikes (10 points lower on put spread side). But it was a bit strange that it could not get filled, even if sometimes the mid price was more than $0.20 over what my order asked for. I checked the open interests and volumes of the strikes and saw the OI were over 1000's and volumes were in the range to 100's. But the TOS option sizzle index was 0.65, suggesting a low volume day due to holiday season.

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