Thursday, January 10, 2013

Adjusted RUT Iron Condor for Feb Income Portfolio

Market did not make meaningful retracement in the last few days. The RUT 880/900C to 780/760P IC initiated on 12-26 has its price near the right drop-off point. It's apparent from the overall RUT position P&L chart as shown below.
So I rolled the IC up for $6.60 credit after closing the original IC for $9.60. Then I added another half sized IC for $3.40 to make up the deficit. It increased the margin by $1000. The new portfolio chart looks pretty good for this market I think, even though it has a delta of -31 vs Vega of -350.
In analyzing potential adjustments, I played with calendars of multiple strikes and found the calendar spread adjustments would offer more Delta, but less Theta at this time (35 days to expiration). So I did not use calendars even if I think the volatility VIX is relatively low at around 13 (not much down side potential for VIX).

On my IWM bull diagonal spread, the short strike Jan$86 has its Delta reaching to 0.75, so I rolled it up to Feb$89c of Delta 0.33.

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