New 3.5 Day OEX Iron Condor

OEX IC

I opened a new 520/525/555/560 iron condor in the OEX weeklys yesterday  for 0.30 credit. It was down yesterday after the late afternoon selloff but it is still near the middle of the range. the jump in VIX allowed me to go farther out with the strikes.

The 3 PCCRCs were fairly flat yesterday with the delta losses cancelling out the Vega gains.

New PCCRC in Whirlpool, Tempur-Pedic, and Citrix

WHR showed up on my screener today and I opened a new PCCRC after it passed all of the tests. Here is the process I went through. First, I check the TOS screener I have set up called PCCRC. The settings in the screener are Last > 30, Volume > 1,000,000 , % Change > 10%, and IV between 25 and 50. I use 50 in the screener even though the highest IV I usually accept is 40% because sometimes a stock's IV will be greater than 40 but the long options IV for the trade I am looking at will be less than 40. Here is a screenshot of the TOS scan:

As you can see, WHR shows up with a 13.87% gain. The next step is to double-check that the options are liquid enough. The rule of thumb is that the 3 month average volume should be greater than 1 million shares. Since this TOS screener just shows today's volume, I use Yahoo Finance to check the 3 month average:

I also check the news articles verifying that the >10% jump is due to good earnings and increased guidance (and not because of a take-over or other reason). Then I look at a chart with IV and IV_SV plotted at the bottom of the chart. I want IV to be near 52 week lows so I use a 1 year daily chart. IV/SV needs to be under 1.

In this case 'IV is .34 and the 52 week low is 0.3. IV/SV is 0.94 so WHR still looks like a candidate. Lastly I open a potential PCCRC position in the Analyze tab. I use the next month options for the shorts (>14 days to expiration), and the first month with greater than 90 days to expiration for the longs. While I am adding the strikes I also look at the bid/ask of the options as a double-check on liquidity, generally not wanting a spread of more than 0.30. For the strike I usually use the first strike below the current price of the underlying, 115 here when WHR was around 115.90. I look at the risk graph to see if there is too much sag in the W shape. Ideally the upside will be entirely above the 0 line. Here is what WHR looks like:

The graph looked good so I created the order. The bid/ask on the order was something like 30.85/31.60. I ended up getting filled at 5 cents above the bid for each leg, or 31.05. At the close, WHR has dropped to 112.5 and the position is flat.

TPX PCCRC

I entered TPX as a high flier today. It posted results last Tuesday. I entered at the 35 strike today and the PCCRC was down 2 percent at the close.

CTXS PCCRC 

I also entered CTXS today. It reported last Friday and although it did not go up 10%, IV has fallen near 52 week lows. The position lost 1% today.

Update 4/20/10

I have a few days to catch up on. I will start with today and work backwards.

AAPL PCCRC

There was not much IV lift in AAPL before earnings, although IV was up some Monday. I closed the position this morning and it ended up with 13% loss. I attribute much of the loss for opening the position too early, i.e. after earnings but before the IPad announcement. I may open a new position tomorrow if it looks good. AAPL is one of the few I don't have to have a 10% jump after earnings to enter a PCCRC on.

RUT IC

The RUT IC profited from the down market on Friday. Today it was down 1% and overall it is now down 5%. RUT is at 721.55 and my shorts are at 680 and 780, so it is nearly centered right now, although overall this position has a -8 delta because of the 5/2 ratio of calls to puts.

OEX IC

The OEX IC took the big hit Friday with the GS indictment. When the short put strike was hit it looked like we would go a lot lower, so I only closed the shorts and left the longs open. This did not work however, and I ended up with a 43% loss on the position. Obviously this kind of trading cannot withstand those size losses, so I plan to always close both long and short in the future. I also had some trouble getting the orders through when I was getting out, which made matters worse. Had I successfully closed the entire put vertical, I could have escaped with a 35% loss or maybe a little less.

I will be looking for some PCCRCs over the next 2 weeks as there are many earnings reports coming out. I also plan to open a new OEX IC tomorrow.

Update 4/15/10

OEX 1.5 Day IC

I opened the 1 1/2 day versionof the OEX Iron Condor today for a 0.25 credit. OEX was near 553 at the time it was opened and closed at 553.87. The short strikes are at 560 and 545. Today the position was flat.

RUT IC

I was filled on the last part of the RUT iron condor adjustment today, a 740/760/780 unbalanced fly (2/5/3). This gives me 5 calls verticals and 2 put verticals in the position. The position is down 14% overall with RUT up 1.81 to 724.21.

AAPL PCCRC

The AAPL PCCRC finally showed some signs of life today and was up 3%. AAPL was 3.23 and IV in the longs was up 2.5 points in two of the long options and 1 point in the other. Hopefully this is a sign of things to come in the next few days. Overall the position is down 11%.

Update 4/14/10

RUT IC

The RUT IC moved to the first adjustment point in just one day, not a good sign. I tried to roll up the calls 2 strikes and increase from 4 to 5 contracts, as well as roll up the puts 3 strikes and decrease from 4 to 2 contracts. I ended up getting the puts filled and only partially filled the calls. I will try to get the other order through tomorrow. The position lost 11% today and is down 12% overall. The current risk graph is below. I also tried to fill a OEX 2.5 day IC today, but did not get filled. I may try that one again tomorrow.

AAPL PCCRC

The AAPL position was flat today. IV was flat, the underlying was up, but it is a negative theta position at this point. The puts should expire worthless Friday and earnings will come Tuesday.

Update 4/13/10

RUT IC

I opened a new RUT iron condor today with RUT 703. The strikes are 630/650/740/760 and the credit was 4.465. The position lost 0.5% with RUT closing up at 707. The goal is 10-12% profit in the next couple of weeks. I will look for an OEX weekly IC tomorrow.

AAPL PCCRC

AAPL IV continues to fall with the long calls losing nearly 2 points today. The position lost 1.7% and is down 15% overall with 7 days until earnings.

Update 4/12/10

WSM PCCRC

I closed the WSM PCCRC today as it has stayed near breakeven p/l since opening. Although the bid was near breakeven, the actual fill price was at 8.11 credit, giving the position a 2% overall loss. I will be looking for new PCCRC candidates in the next few weeks.

AAPL PCCRC

The AAPL PCCRC lost another 1.5% today and is down 13% overall. AAPL was up 50 cents but IV dropped  on 3 of the 4 long options which is driving the p/l at this point. There are 8 days until earnings when the position will be closed if not earlier. 

Update 4/9/10

OEX Vertical

The OEX put vertical expired worthless after OEX closed at 545.46. The position yielded a 5% profit.

WSM PCCRC

The WSM position gained 2% today for a total gain of 1%. I have an order to close the position at breakeven but it did not fill because of the bid/ask spread. 

AAPL PCCRC

AAPL was up 1.84 to 241.79 but IV on the longs went lower giving the position a 2% loss. It is down 12% overall now and I may close it out if IV keeps dropping. Some earnings announcements, IV rises a lot and others it stays flat, so it is hard to judge.

Update 4/8/10

OEX Vertical

OEX approached the short put strike of 535, but then bounced to close at 542, putting the short vertical in good shape for expiration. It did not bounce enough to sell a call vertical and create an Iron condor, so this one will remain a vertical. The position was up 7.4% and is up 3.2% total.

WSM PCCRC

The WSM position lost 2% and is down 2% overall. I am still looking to close the entire position near breakeven rather than rolling. Due to a quote error, the graph and p/l are incorrect, so I will not post the risk graph.

AAPL PCCRC

I made 2 adjustments to the AAPL position to get it delta neutral and prepare for an IV spike before earnings. I rolled the Apr 210 call to May for 1.80 credit and I rolled the Jul 210 call to 240 for a 19.50 credit. The risk graph shows a change in volatility rather than expiration graph. The position was flat yesterday and is down 9% overall. I plan on letting the short Apr 210 puts expire worthless, then close the entire position on Apr 20.

Update 4/7/10

OEX 2.5 Day IC

I was filled on the put side of the OEX IC today for 0.25 credit. I normally do the order as a full condor spread, but because of the prices I put in separate orders for the call and put side. The call side never filled, so right now I have the 535/530 Put vertical for 0.25 credit. The position lost 4% today. If OEX bounces back higher tomorrow, I may try to fill the call side, or I also may decide to just do the puts this week.

WSM PCCRC

The WSM PCCRC was up 2% today making it up 0.3% overall. Since the time value has eroded on the shorts, and the position is not really profitable, I put in an order to close the entire position, but it was not filled. I will likely try the same tomorrow.

AAPL PCCRC

The AAPL PCCRC was up 0.4% today and is still down 9% overall. The shorts time value is under 10 cents, but I do not think they will get exercised yet. 

I have looked at several options and have decided to roll the short calls to May, roll the long 210 call to the 240 strike, and let the short put expire worthless. I looked at closing both the short call and put (and not rolling to May), but the delta goes from 20 to 116 and the risk is greatly increased on the downside. 

If did not roll the long call, the delta is 38 but I still have some downside risk. 

Also with a 5% IV jump (yellow line below), some of the graph is still below 0.

Rolling the call up gets me delta neutral, locks in some delta gains and centers the position in anticipation if IV climbing into earnings.

I plan on making these adjustments tomorrow.

Update 4/6/10

CREE PCCRC Closed

I ended up closing the CREE PCCRC today for a 20% total profit. I initially was concerned about the shorts whose time value was less than 5 cents making the calls a candidate for exercise. But on the other hand, if CREE 's IV goes up 8-10 points over the next 11 days there could be a good bit more profit. I first decided I needed to close the short calls and puts. But if I did that the Delta went from 50 to 250, meaning a 1 point move down would cost $250 in profit, and a further move down could cost all of the profit. I wasn't willing to take the risk so I closed the entire position.

WSM PCCRC

The WSM position was completely flat today while the stock rose 0.13 to 28.07. The short calls are in danger of exercise and I may have to roll or close them soon.

AAPL PCCRC

The AAPL shorts are still holding some time value so I plan on keeping this trade going until the day before earnings. The last several earnings periods AAPL's IV has went up 8+ points which could turn this trade back to a profit. The position was down 1% today and is down 9% overall.

Update 4/5/10

RUT IC

The RUT IC hit my profit target this morning, so I put a limit order in if RUT went outside about a 10 point range. The order was hit and filled at 1.15 to buy back the IC giving the position a 13% overall profit.

WSM PCCRC

Early in the day the WSM position was showing a profit but at the close it was down 1% on the day with a loss of 2% overall. I will look to roll or close this position on Friday.

CREE PCCRC

CREE was upgraded today and the stock was up 10% to 77.63. This help the position giving it a 9% daily profit and bringing the overall profit back up to 22%. I plan on keeping a tight leash on this one and closing it if the profit drops below 20%.

AAPL PCCRC

The AAPL position was up 0.3% today and is down 8% overall. Still waiting on a IV rise as earnings approaches on 4/20.

Update 4/2/10

I was unable to give any updates this past week as I was on vacation. I did not make any adjustments or open new positions.

RUT IC

I had an order in to close the RUT IC at a 12% profit, but it did not fill. With the 3 day weekend theta decay this order will hopefully fill on Monday. Currently the profit stands at 11% with RUT at 684. Delta stands at -.26 and Theta is at 29.34, almost perfectly positioned.

WSM PCCRC

The WSM position has not done much and currently sits at a loss of 0.6%. WSM is at 27.04 with the short strike at 25. The IV of the long options is pretty much unchanged from when the position was opened.

CREE PCCRC

The CREE position endured a very bad week losing some profit every day.  Currently the position is up 13%, but that is from a high of near 30% profit. In future positions like this I need to put in a stop-loss so if a position reaches 30% profit I will close it if profit drops to 25%. Unless a stock continues going up after a PCCRC is opened, the max VEGA profit is usually around 30%. At this point I will continue holding this position and see if IV will rise as we near earnings 4/21. IV dropped to 45.35 and 46.55 on the original long calls and puts on Thursday after they were both over 47 on Wednesday. CREE has been trading sideways near 70 and closed the week at 70.60.

AAPL PCCRC

The AAPL position ended the week basically flat and has lost 8.5% overall. Same game plan here, we'll see if approaching earnings helps the position, although it looks like this one is going to be a loser.