RUT – Iron Condor

RUT Iron Condor
Short 10 Nov 750 calls
Long 10 Nov 760 calls
Short 10 Nov 550 puts
Long 10 Nov 540 puts
Long Nov 450 put for protection – smooths out the T+0 PL graph to the downside.
Click here for PL graph, greeks, price & IV chart.
Not a very high probability condor – =~ 67% @ expiration. Looking for short options @ around 15 ∆.
Max loss = $7,105
Max gain = $2,895
Looking for a 10%-15% yield =~ $710-$1,065
Current IV =~ 48.78%
20 day HV =~ 47.32%
30 day HV =~ 46.68%
90 day HV =~ 42.83%
180 day HV =~ 33.20%
Overall position would benefit from a drop in IV.
This entry was posted in Condor, Indices, Iron Condor, Options, RUT. Bookmark the permalink.

2 Responses to RUT – Iron Condor

  1. steveplace says:

    I like the idea– have you made any upside adjustments here or have you kept the short deltas?

  2. One618 says:

    No adjustments to cut the short deltas to start with. Although that’s just me – might be worth considering giving up a bit more of the credit to do so.

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