Tuesday, May 28, 2013

Completed July Non-directional option income portfolio

In the last few trading days, I added a couple of July iron condors for SPX & RUT since the opening of the July portfolio as described 1 week ago. Market was falling in general until today on which it shot up in the morning with strong volume. So, I entered my last trades of the opening positions for this option cycle with two bull put spreads as shown below. The short puts had a delta around -23. With these two vertical credit spreads, my potential profit is similar to my regular portfolio made of all IC's, but the two vertical spreads required twice amount of margin as equivalent iron condors. They also provide a little less theta compared to the IC. However, they generate the positive Delta for the portfolio to remain close to neutral.
Although my adjustment rules seem to be clear to myself at the moment, I've been thinking about refining my exit rules as described in my recent trade review and should be able to describe the update in a new post soon.

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