| StockFetcher Forums · Stock Picks and Trading · TRADING IRON CONDORS - FUN WITH OPTIONS | << 1 ... 2 3 4 5 6 >>Post Follow-up |
| Kevin_in_GA 4,599 posts msg #120980 - Remove message |
7/8/2014 9:07:56 PM 7/8: Update on Pangolin IC trades for options expiring on 11 July: BTO 20 GLD1411S122 GLD Jul11'14 122 put Filled: 0.05 at 7/3/14 10:44 ET STO 20 GLD1411S124 GLD Jul11'14 124 put Filled: 0.12 at 7/3/14 10:45 ET Current put spread delta = -0.05 (VERY GOOD) The probability of max profit is now 97.76%. STO 20 GLD1411G131 GLD Jul11'14 131 call Filled: 0.13 at 7/3/14 10:49 ET BTO 20 GLD1411G133 GLD Jul11'14 133 call Filled: 0.07 at 7/3/14 10:48 ET Current call spread delta = 0.05 (VERY GOOD) The probability of max profit for this wing is 99.21%%. BTO 20 SPY1411S191 SPY Jul11'14 191 put Filled: 0.10 at 7/2/14 15:46 ET STO 20 SPY1411S193 SPY Jul11'14 193 put Filled: 0.16 at 7/2/14 15:47 ET Current put spread delta = -0.08 (GOOD) The probability of max profit is currently 95.27%. BTO 20 IWM1411S114 IWM Jul11'14 114 put Filled: 0.06 at 7/3/14 10:54 ET STO 20 IWM1411S116 IWM Jul11'14 116 put Filled: 0.14 at 7/3/14 10:56 ET Current put spread delta = -0.38 (HIGH RISK) The probability of max profit is currently only 57.39%, and the probability of max loss has gone from 3.98% to 12.24%. |
| Kevin_in_GA 4,599 posts msg #120986 - Remove message |
7/9/2014 10:45:40 PM 7/9: Update on Pangolin IC trades for options expiring on 11 July: BTO 20 GLD1411S122 GLD Jul11'14 122 put Filled: 0.05 at 7/3/14 10:44 ET STO 20 GLD1411S124 GLD Jul11'14 124 put Filled: 0.12 at 7/3/14 10:45 ET Current put spread delta = -0.03 (EXCELLENT) The probability of max profit is now 99.80%. STO 20 GLD1411G131 GLD Jul11'14 131 call Filled: 0.13 at 7/3/14 10:49 ET BTO 20 GLD1411G133 GLD Jul11'14 133 call Filled: 0.07 at 7/3/14 10:48 ET Current call spread delta = 0.05 (VERY GOOD) The probability of max profit for this wing is 98.78%. BTO 20 SPY1411S191 SPY Jul11'14 191 put Filled: 0.10 at 7/2/14 15:46 ET STO 20 SPY1411S193 SPY Jul11'14 193 put Filled: 0.16 at 7/2/14 15:47 ET Current put spread delta = -0.04 (EXCELLENT) The probability of max profit is currently 99.58%. BTO 20 IWM1411S114 IWM Jul11'14 114 put Filled: 0.06 at 7/3/14 10:54 ET STO 20 IWM1411S116 IWM Jul11'14 116 put Filled: 0.14 at 7/3/14 10:56 ET Current put spread delta = -0.35 (HIGH RISK) The probability of max profit is still only 61.86%, and the probability of max loss is at 7.15%. |
| Kevin_in_GA 4,599 posts msg #120991 - Remove message |
7/10/2014 10:01:12 AM Ouch - so far today the big drop in the markets has totally blown the IWM put spread - now likely to take a big loss (remember, the max loss is $4000 on this one). This is of course the problem with statistics - they are always right. The chance of a max loss when the trade was put on was about 3-4%, not zero. Let's see how this plays out. |
| Kevin_in_GA 4,599 posts msg #121004 - Remove message |
7/10/2014 11:35:56 PM Only one update needed ... BTO 20 IWM1411S114 IWM Jul11'14 114 put Filled: 0.06 at 7/3/14 10:54 ET STO 20 IWM1411S116 IWM Jul11'14 116 put Filled: 0.14 at 7/3/14 10:56 ET Current put spread delta = -0.74 (EXRTREME RISK) There is still a 49% chance this will close at breakeven or above. Fingers are crossed. |
| michlerio 4 posts msg #121477 - Remove message |
9/10/2014 12:27:02 PM Hello Kevin_in_GA, I'm a follower of you Pangolin IC on collective2 I do have a question about risk and money management about your iron condor. On your first page first post here you say the IWM weekly iron condor and the other iron condors the maximum loose is 2000$. Shouldn't it be 4000$ (20 x 100 x2) for one side of the iron condors? I took the date of July 25 2011 and watched how your system would have performed. Normaly you set up the iron condor on monday evening. S&P500 July 26 (tuesday) until July 29 (friday) -3% IWM July 26 (tuesday) until July 29 (friday) -3.3% GLD July 26 (tuesday) until July 29 (friday) +0.4 Following week S&P500 August 2 (tuesday) until August 5 (friday) -4,4% IWM August 2 (tuesday) until August 5 (friday) -7% GLD August 2 (tuesday) until August 5 (friday) +0,1 If for example I have a trading account for iron condor of 25'000 $ and trade with a maximum loose per iron condor of 4'000$ (-premium ~300$) then in this two weeks 4 of the 6 iron condors would have had a maximum lost (in case the iron condor setup would have been simular as you do now) and my account would go down to proximately 10200$ (25000$ - 4x3700$). If there will be a bigger crash (didn't check year 2008) maybe gold would go up or down more at the same time, that means maybe 90% of the trading account can be gone. Most of the time you are in at 6 iron condors that means maximum money risk = 6x4000 = 24'000 $ Trading account = 25'000$ Questions: Is my calculation right or wrong? Maybe too much risk if a sudden small crash is coming? What would be the solution? IWM and SPY are very correlatet maybe using something else? Thanks for an answer Michel |
| Kevin_in_GA 4,599 posts msg #121479 - Remove message |
9/10/2014 3:32:13 PM I set up the Iron Condor trades near the close on Monday, but these are for options that expire at the end of the following week, not the current week. If you are following IC, I think you can see the open and close dates on all closed trades and can put the flow together. Here is every opened and closed trade for Pangolin IC since 8/4/2014: Open Time ET Action Num Opened Symbol Descrip Open Price Num Closed Closed Time ET Trade P/L 8/25/2014 13:40 BUY 20 SPY1405U192 SPY Sep5'14 192 put 0.12 20 9/6/2014 9:01 -259 8/25/2014 13:43 SELL 20 IWM1405U111 IWM Sep5'14 111 put 0.16 20 9/6/2014 9:01 301 8/25/2014 13:42 BUY 20 IWM1405U109 IWM Sep5'14 109 put 0.09 20 9/6/2014 9:01 -199 8/25/2014 13:44 BUY 20 IWM1405I121 IWM Sep5'14 121 call 0.03 20 9/6/2014 9:01 -79 8/25/2014 13:44 SELL 20 IWM1405I119 IWM Sep5'14 119 call 0.1 20 9/6/2014 9:01 181 8/25/2014 14:28 SELL 20 SPY1405U194 SPY Sep5'14 194 put 0.17 20 9/6/2014 9:01 321 8/26/2014 13:54 BUY 20 GLD1405I129 GLD Sep5'14 129 call 0.06 20 9/6/2014 9:01 -139 8/26/2014 13:59 SELL 20 GLD1405I127 GLD Sep5'14 127 call 0.11 20 9/6/2014 9:01 201 8/19/2014 9:30 SELL 20 SPY1429T190 SPY Aug29'14 190 put 0.17 20 8/30/2014 9:16 321 8/18/2014 15:52 BUY 20 SPY1429T188 SPY Aug29'14 188 put 0.16 20 8/30/2014 9:16 -339 8/18/2014 15:58 SELL 20 IWM1429H118 IWM Aug29'14 118 call 0.11 20 8/30/2014 9:00 201 8/18/2014 15:58 BUY 20 IWM1429H120 IWM Aug29'14 120 call 0.02 20 8/30/2014 9:00 -59 8/18/2014 15:54 SELL 20 IWM1429T109 IWM Aug29'14 109 put 0.15 20 8/30/2014 9:00 281 8/18/2014 15:53 BUY 20 IWM1429T107 IWM Aug29'14 107 put 0.09 20 8/30/2014 9:00 -199 8/11/2014 15:04 BUY 20 GLD1422T119 GLD Aug22'14 119 put 0.06 20 8/23/2014 9:02 -139 8/11/2014 15:04 SELL 20 GLD1422T121 GLD Aug22'14 121 put 0.1 20 8/23/2014 9:02 181 8/11/2014 15:08 BUY 20 SPY1422T184 SPY Aug22'14 184 put 0.19 20 8/23/2014 9:02 -399 8/11/2014 15:08 SELL 20 SPY1422T186 SPY Aug22'14 186 put 0.27 20 8/23/2014 9:02 521 8/11/2014 15:12 SELL 20 IWM1422H118 IWM Aug22'14 118 call 0.08 20 8/23/2014 9:02 141 8/11/2014 15:11 BUY 20 IWM1422H120 IWM Aug22'14 120 call 0.03 20 8/23/2014 9:02 -79 8/11/2014 15:37 BUY 20 IWM1422T105 IWM Aug22'14 105 put 0.11 20 8/23/2014 9:02 -239 8/11/2014 15:37 SELL 20 IWM1422T107 IWM Aug22'14 107 put 0.18 20 8/23/2014 9:02 341 8/4/2014 15:42 SELL 20 GLD1416H128 GLD Aug16'14 128 call 0.13 20 8/17/2014 9:01 241 8/4/2014 15:41 BUY 20 GLD1416H130 GLD Aug16'14 130 call 0.07 20 8/17/2014 9:01 -159 8/4/2014 15:40 SELL 20 GLD1416T120 GLD Aug16'14 120 put 0.16 20 8/17/2014 9:00 301 8/4/2014 15:33 SELL 20 SPY1416T185 SPY Aug16'14 185 put 0.22 20 8/17/2014 9:00 421 8/4/2014 15:36 SELL 20 IWM1416T105 IWM Aug16'14 105 put 0.17 20 8/17/2014 9:00 321 8/4/2014 15:36 BUY 20 IWM1416T103 IWM Aug16'14 103 put 0.11 20 8/17/2014 9:00 -239 8/4/2014 15:39 BUY 20 GLD1416T118 GLD Aug16'14 118 put 0.08 20 8/17/2014 9:00 -179 8/4/2014 15:34 BUY 20 SPY1416H200 SPY Aug16'14 200 call 0.05 20 8/17/2014 9:00 -119 8/4/2014 15:37 SELL 20 IWM1416H116 IWM Aug16'14 116 call 0.09 20 8/17/2014 9:00 161 8/4/2014 15:37 BUY 20 IWM1416H118 IWM Aug16'14 118 call 0.03 20 8/17/2014 9:00 -79 8/4/2014 15:32 BUY 20 SPY1416T183 SPY Aug16'14 183 put 0.16 20 8/17/2014 9:00 -339 8/4/2014 15:35 SELL 20 SPY1416H198 SPY Aug16'14 198 call 0.18 20 8/17/2014 9:00 341 Net gain of $1534. The initial equity of the system is $25,000 so this equates to a return of just over 6% in a month. This is in line with my stated system goal of 1% per week. Note also that every vertical spread since August closed profitably. That is because these are low risk positions - like any trade they can go against you, and in this case the max loss would be $4000 but that has not happened to the system. We have had a few instances where we needed to buy the underlying and sell it immediately to avoid a margin call, but in all cases the trade was profitable. |
| michlerio 4 posts msg #121485 - Remove message |
9/11/2014 11:40:42 AM thanks for the response. congrats on the +6% in august. I couldn't profit because I'm only papertrading your iron condor at the moment , as I have to learn and gain confidence what I'm doing with the iron condor. greetings |
| Kevin_in_GA 4,599 posts msg #121486 - Remove message |
9/11/2014 1:02:44 PM Glad someone is at least looking at it. Not a lot of subscribers at C2 - I was ready to let it lapse until one week before expiration someone finally did the free trial! As it stands C2 is not a great platform for trading options since you can't put spreads in as limit orders. Nonetheless the system has done quite well over the last six months or so. |
| Kevin_in_GA 4,599 posts msg #121487 - Remove message |
9/11/2014 1:23:55 PM To make it easier to follow how this works. There was one losing trade, but not because it closed outside of the short strike, but because I got a really bad fill on the spread which was not enough to cover the commissions. Totally my fault rather than any fault of the strategy. Open Time ET Action Num Opened Symbol Descrip Open Price Num Closed Closed Time ET Trade P/L 8/25/2014 13:40 BUY 20 SPY1405U192 SPY Sep5'14 192 put 0.12 20 9/6/2014 9:01 -259 8/25/2014 14:28 SELL 20 SPY1405U194 SPY Sep5'14 194 put 0.17 20 9/6/2014 9:01 321 Net Gain: $321-$259 = $62 After commissions 8/25/2014 13:43 SELL 20 IWM1405U111 IWM Sep5'14 111 put 0.16 20 9/6/2014 9:01 301 8/25/2014 13:42 BUY 20 IWM1405U109 IWM Sep5'14 109 put 0.09 20 9/6/2014 9:01 -199 Net Gain: $301-$199 = $102 After commissions 8/25/2014 13:44 BUY 20 IWM1405I121 IWM Sep5'14 121 call 0.03 20 9/6/2014 9:01 -79 8/25/2014 13:44 SELL 20 IWM1405I119 IWM Sep5'14 119 call 0.1 20 9/6/2014 9:01 181 Net Gain: $181-$79 = $102 After commissions 8/26/2014 13:54 BUY 20 GLD1405I129 GLD Sep5'14 129 call 0.06 20 9/6/2014 9:01 -139 8/26/2014 13:59 SELL 20 GLD1405I127 GLD Sep5'14 127 call 0.11 20 9/6/2014 9:01 201 Net Gain: $201-$139 = $62 After commissions 8/19/2014 9:30 SELL 20 SPY1429T190 SPY Aug29'14 190 put 0.17 20 8/30/2014 9:16 321 8/18/2014 15:52 BUY 20 SPY1429T188 SPY Aug29'14 188 put 0.16 20 8/30/2014 9:16 -339 Net Gain: $321-$339 = -$18 After commissions (bad fill at only 0.01 for the spread). 8/18/2014 15:58 SELL 20 IWM1429H118 IWM Aug29'14 118 call 0.11 20 8/30/2014 9:00 201 8/18/2014 15:58 BUY 20 IWM1429H120 IWM Aug29'14 120 call 0.02 20 8/30/2014 9:00 -59 Net Gain: $201-$59 = $142 After commissions 8/18/2014 15:54 SELL 20 IWM1429T109 IWM Aug29'14 109 put 0.15 20 8/30/2014 9:00 281 8/18/2014 15:53 BUY 20 IWM1429T107 IWM Aug29'14 107 put 0.09 20 8/30/2014 9:00 -199 Net Gain: $281-$199 = $82 After commissions 8/11/2014 15:04 BUY 20 GLD1422T119 GLD Aug22'14 119 put 0.06 20 8/23/2014 9:02 -139 8/11/2014 15:04 SELL 20 GLD1422T121 GLD Aug22'14 121 put 0.1 20 8/23/2014 9:02 181 Net Gain: $181-$139 = $42 After commissions 8/11/2014 15:08 BUY 20 SPY1422T184 SPY Aug22'14 184 put 0.19 20 8/23/2014 9:02 -399 8/11/2014 15:08 SELL 20 SPY1422T186 SPY Aug22'14 186 put 0.27 20 8/23/2014 9:02 521 Net Gain: $521-$399 = $122 After commissions 8/11/2014 15:12 SELL 20 IWM1422H118 IWM Aug22'14 118 call 0.08 20 8/23/2014 9:02 141 8/11/2014 15:11 BUY 20 IWM1422H120 IWM Aug22'14 120 call 0.03 20 8/23/2014 9:02 -79 Net Gain: $141-$79 = $62 After commissions 8/11/2014 15:37 BUY 20 IWM1422T105 IWM Aug22'14 105 put 0.11 20 8/23/2014 9:02 -239 8/11/2014 15:37 SELL 20 IWM1422T107 IWM Aug22'14 107 put 0.18 20 8/23/2014 9:02 341 Net Gain: $341-$239 = $102 After commissions 8/4/2014 15:42 SELL 20 GLD1416H128 GLD Aug16'14 128 call 0.13 20 8/17/2014 9:01 241 8/4/2014 15:41 BUY 20 GLD1416H130 GLD Aug16'14 130 call 0.07 20 8/17/2014 9:01 -159 Net Gain: $241-$159 = $82 After commissions 8/4/2014 15:40 SELL 20 GLD1416T120 GLD Aug16'14 120 put 0.16 20 8/17/2014 9:00 301 8/4/2014 15:39 BUY 20 GLD1416T118 GLD Aug16'14 118 put 0.08 20 8/17/2014 9:00 -179 Net Gain: $301-$179 = $122 After commissions 8/4/2014 15:33 SELL 20 SPY1416T185 SPY Aug16'14 185 put 0.22 20 8/17/2014 9:00 421 8/4/2014 15:32 BUY 20 SPY1416T183 SPY Aug16'14 183 put 0.16 20 8/17/2014 9:00 -339 Net Gain: $421-$339 = $102 After commissions 8/4/2014 15:36 SELL 20 IWM1416T105 IWM Aug16'14 105 put 0.17 20 8/17/2014 9:00 321 8/4/2014 15:36 BUY 20 IWM1416T103 IWM Aug16'14 103 put 0.11 20 8/17/2014 9:00 -239 Net Gain: $321-$239 = $82 After commissions 8/4/2014 15:34 BUY 20 SPY1416H200 SPY Aug16'14 200 call 0.05 20 8/17/2014 9:00 -119 8/4/2014 15:35 SELL 20 SPY1416H198 SPY Aug16'14 198 call 0.18 20 8/17/2014 9:00 341 Net Gain: $341-$119 = $122 After commissions 8/4/2014 15:37 SELL 20 IWM1416H116 IWM Aug16'14 116 call 0.09 20 8/17/2014 9:00 161 8/4/2014 15:37 BUY 20 IWM1416H118 IWM Aug16'14 118 call 0.03 20 8/17/2014 9:00 -79 Net Gain: $161-$79 = $82 After commissions |
| Kevin_in_GA 4,599 posts msg #121649 - Remove message |
10/4/2014 3:04:51 PM Just a follow up on recent performance from Pangolin IC. This is every vertical spread taken since 7/15 of this year and how it played out. Open Time ET Action Num Opened Symbol Descrip Open Price Num Closed Closed Time ET Close Price Trade P/L 9/22/2014 14:40 SELL 20 IWM1403J116 IWM Oct3'14 116 call 0.11 20 10/4/2014 9:02 0 201 9/22/2014 14:40 BUY 20 IWM1403J118 IWM Oct3'14 118 call 0.03 20 10/4/2014 9:01 0 -79 NET GAIN OF $122 AFTER COMMISSIONS 9/22/2014 14:39 SELL 20 IWM1403V107 IWM Oct3'14 107 put 0.3 20 10/4/2014 9:01 0 581 9/22/2014 14:38 BUY 20 IWM1403V105 IWM Oct3'14 105 put 0.17 20 10/4/2014 9:01 0 -359 NET GAIN OF $222 AFTER COMMISSIONS 9/22/2014 14:35 SELL 20 SPY1403J203 SPY Oct3'14 203 call 0.11 20 10/4/2014 9:01 0 201 9/22/2014 14:34 BUY 20 SPY1403J205 SPY Oct3'14 205 call 0.03 20 10/4/2014 9:01 0 -79 NET GAIN OF $122 AFTER COMMISSIONS 9/22/2014 14:33 SELL 20 SPY1403V192 SPY Oct3'14 192 put 0.35 20 10/4/2014 9:01 0 681 9/22/2014 14:33 BUY 20 SPY1403V190 SPY Oct3'14 190 put 0.26 20 10/4/2014 9:01 0 -539 NET GAIN OF $142 AFTER COMMISSIONS 9/22/2014 14:54 BUY 20 GLD1403J125 GLD Oct3'14 125 call 0.04 20 10/4/2014 9:01 0 -99 9/22/2014 15:02 SELL 20 GLD1403J121 GLD Oct3'14 121 call 0.14 20 10/4/2014 9:01 0 261 NET GAIN OF $162 AFTER COMMISSIONS 9/15/2014 15:12 BUY 20 SPY1426U190 SPY Sep26'14 190 put 0.36 20 9/27/2014 9:34 0 -739 9/15/2014 15:13 SELL 20 SPY1426U192 SPY Sep26'14 192 put 0.49 20 9/27/2014 9:34 0 961 NET GAIN OF $222 AFTER COMMISSIONS 9/15/2014 15:15 SELL 20 SPY1426I202 SPY Sep26'14 202 call 0.16 20 9/27/2014 9:34 0 301 9/15/2014 15:14 BUY 20 SPY1426I204 SPY Sep26'14 204 call 0.03 20 9/27/2014 9:34 0 -79 NET GAIN OF $222 AFTER COMMISSIONS 9/15/2014 15:42 SELL 20 GLD1426U113 GLD Sep26'14 113 put 0.2 20 9/27/2014 9:02 0 381 9/15/2014 15:42 BUY 20 GLD1426U111 GLD Sep26'14 111 put 0.14 20 9/27/2014 9:02 0 -299 NET GAIN OF $82 AFTER COMMISSIONS 9/15/2014 15:21 BUY 20 IWM1426U106 IWM Sep26'14 106 put 0.14 20 9/27/2014 9:02 0 -299 9/15/2014 15:22 SELL 20 IWM1426U108 IWM Sep26'14 108 put 0.23 20 9/27/2014 9:02 0 441 NET GAIN OF $142 AFTER COMMISSIONS 9/15/2014 15:23 BUY 20 IWM1426I120 IWM Sep26'14 120 call 0.02 20 9/27/2014 9:02 0 -59 9/15/2014 15:23 SELL 20 IWM1426I118 IWM Sep26'14 118 call 0.11 20 9/27/2014 9:02 0 201 NET GAIN OF $142 AFTER COMMISSIONS 9/15/2014 15:46 BUY 20 GLD1426I124 GLD Sep26'14 124 call 0.08 20 9/27/2014 9:02 0 -179 9/15/2014 15:47 SELL 20 GLD1426I122 GLD Sep26'14 122 call 0.23 20 9/27/2014 9:02 0 441 NET GAIN OF $262 AFTER COMMISSIONS 9/9/2014 13:46 SELL 20 IWM1420I119 IWM Sep20'14 119 call 0.12 20 9/21/2014 9:08 0 221 9/9/2014 13:45 BUY 20 IWM1420I121 IWM Sep20'14 121 call 0.03 20 9/21/2014 9:06 0 -79 NET GAIN OF $142 AFTER COMMISSIONS 9/9/2014 13:44 BUY 20 GLD1420I127 GLD Sep20'14 127 call 0.06 20 9/21/2014 9:06 0 -139 9/9/2014 13:44 SELL 20 GLD1420I125 GLD Sep20'14 125 call 0.12 20 9/21/2014 9:06 0 221 NET GAIN OF $82 AFTER COMMISSIONS 9/8/2014 15:28 SELL 20 SPY1420U193 SPY Sep20'14 193 put 0.25 20 9/21/2014 9:05 0 481 9/8/2014 15:27 BUY 20 SPY1420U191 SPY Sep20'14 191 put 0.19 20 9/21/2014 9:05 0 -399 NET GAIN OF $82 AFTER COMMISSIONS 9/8/2014 15:30 BUY 20 IWM1420U109 IWM Sep20'14 109 put 0.1 20 9/21/2014 9:05 0 -219 9/8/2014 15:32 SELL 20 IWM1420U111 IWM Sep20'14 111 put 0.16 20 9/21/2014 9:05 0 301 NET GAIN OF $82 AFTER COMMISSIONS 9/8/2014 15:22 SELL 20 GLD1420U117 GLD Sep20'14 117 put 0.23 20 9/21/2014 9:04 0 441 9/8/2014 15:22 BUY 20 GLD1420U115 GLD Sep20'14 115 put 0.11 20 9/21/2014 9:04 0 -239 NET GAIN OF $202 AFTER COMMISSIONS 9/2/2014 13:44 SELL 20 GLD1412I125.5 GLD Sep12'14 125.5 call 0.13 20 9/13/2014 9:01 0 241 9/2/2014 13:44 BUY 20 GLD1412I128 GLD Sep12'14 128 call 0.06 20 9/13/2014 9:01 0 -139 NET GAIN OF $102 AFTER COMMISSIONS 9/2/2014 13:42 SELL 20 GLD1412U117.5 GLD Sep12'14 117.5 put 0.13 20 9/13/2014 9:01 0 241 9/2/2014 13:41 BUY 20 GLD1412U115 GLD Sep12'14 115 put 0.06 20 9/13/2014 9:01 0 -139 NET GAIN OF $102 AFTER COMMISSIONS 9/2/2014 13:45 BUY 20 IWM1412U110 IWM Sep12'14 110 put 0.09 20 9/13/2014 9:01 0 -199 9/2/2014 13:46 SELL 20 IWM1412U112 IWM Sep12'14 112 put 0.16 20 9/13/2014 9:01 0 301 NET GAIN OF $102 AFTER COMMISSIONS 9/2/2014 13:47 BUY 20 IWM1412I122 IWM Sep12'14 122 call 0.03 20 9/13/2014 9:00 0 -79 9/2/2014 13:58 SELL 20 IWM1412I120 IWM Sep12'14 120 call 0.1 20 9/13/2014 9:00 0 181 NET GAIN OF $102 AFTER COMMISSIONS 9/2/2014 13:48 BUY 20 SPY1412U192 SPY Sep12'14 192 put 0.13 20 9/13/2014 9:00 0 -279 9/2/2014 13:49 SELL 20 SPY1412U194 SPY Sep12'14 194 put 0.19 20 9/13/2014 9:00 0 361 NET GAIN OF $82 AFTER COMMISSIONS 8/25/2014 13:43 SELL 20 IWM1405U111 IWM Sep5'14 111 put 0.16 20 9/6/2014 9:01 0 301 8/25/2014 13:42 BUY 20 IWM1405U109 IWM Sep5'14 109 put 0.09 20 9/6/2014 9:01 0 -199 NET GAIN OF $102 AFTER COMMISSIONS 8/25/2014 13:44 BUY 20 IWM1405I121 IWM Sep5'14 121 call 0.03 20 9/6/2014 9:01 0 -79 8/25/2014 13:44 SELL 20 IWM1405I119 IWM Sep5'14 119 call 0.1 20 9/6/2014 9:01 0 181 NET GAIN OF $102 AFTER COMMISSIONS 8/25/2014 13:40 BUY 20 SPY1405U192 SPY Sep5'14 192 put 0.12 20 9/6/2014 9:01 0 -259 8/25/2014 14:28 SELL 20 SPY1405U194 SPY Sep5'14 194 put 0.17 20 9/6/2014 9:01 0 321 NET GAIN OF $62 AFTER COMMISSIONS 8/26/2014 13:54 BUY 20 GLD1405I129 GLD Sep5'14 129 call 0.06 20 9/6/2014 9:01 0 -139 8/26/2014 13:59 SELL 20 GLD1405I127 GLD Sep5'14 127 call 0.11 20 9/6/2014 9:01 0 201 NET GAIN OF $62 AFTER COMMISSIONS 8/19/2014 9:30 SELL 20 SPY1429T190 SPY Aug29'14 190 put 0.17 20 8/30/2014 9:16 0 321 8/18/2014 15:52 BUY 20 SPY1429T188 SPY Aug29'14 188 put 0.16 20 8/30/2014 9:16 0 -339 NET LOSS OF $18 AFTER COMMISSIONS 8/18/2014 15:58 SELL 20 IWM1429H118 IWM Aug29'14 118 call 0.11 20 8/30/2014 9:00 0 201 8/18/2014 15:58 BUY 20 IWM1429H120 IWM Aug29'14 120 call 0.02 20 8/30/2014 9:00 0 -59 NET GAIN OF $142 AFTER COMMISSIONS 8/18/2014 15:54 SELL 20 IWM1429T109 IWM Aug29'14 109 put 0.15 20 8/30/2014 9:00 0 281 8/18/2014 15:53 BUY 20 IWM1429T107 IWM Aug29'14 107 put 0.09 20 8/30/2014 9:00 0 -199 NET GAIN OF $102 AFTER COMMISSIONS 8/11/2014 15:04 BUY 20 GLD1422T119 GLD Aug22'14 119 put 0.06 20 8/23/2014 9:02 0 -139 8/11/2014 15:04 SELL 20 GLD1422T121 GLD Aug22'14 121 put 0.1 20 8/23/2014 9:02 0 181 NET GAIN OF $42 AFTER COMMISSIONS 8/11/2014 15:08 BUY 20 SPY1422T184 SPY Aug22'14 184 put 0.19 20 8/23/2014 9:02 0 -399 8/11/2014 15:08 SELL 20 SPY1422T186 SPY Aug22'14 186 put 0.27 20 8/23/2014 9:02 0 521 NET GAIN OF $122 AFTER COMMISSIONS 8/11/2014 15:12 SELL 20 IWM1422H118 IWM Aug22'14 118 call 0.08 20 8/23/2014 9:02 0 141 8/11/2014 15:11 BUY 20 IWM1422H120 IWM Aug22'14 120 call 0.03 20 8/23/2014 9:02 0 -79 NET GAIN OF $62 AFTER COMMISSIONS 8/11/2014 15:37 BUY 20 IWM1422T105 IWM Aug22'14 105 put 0.11 20 8/23/2014 9:02 0 -239 8/11/2014 15:37 SELL 20 IWM1422T107 IWM Aug22'14 107 put 0.18 20 8/23/2014 9:02 0 341 NET GAIN OF $102 AFTER COMMISSIONS 8/4/2014 15:42 SELL 20 GLD1416H128 GLD Aug16'14 128 call 0.13 20 8/17/2014 9:01 0 241 8/4/2014 15:41 BUY 20 GLD1416H130 GLD Aug16'14 130 call 0.07 20 8/17/2014 9:01 0 -159 NET GAIN OF $82 AFTER COMMISSIONS 8/4/2014 15:40 SELL 20 GLD1416T120 GLD Aug16'14 120 put 0.16 20 8/17/2014 9:00 0 301 8/4/2014 15:39 BUY 20 GLD1416T118 GLD Aug16'14 118 put 0.08 20 8/17/2014 9:00 0 -179 NET GAIN OF $122 AFTER COMMISSIONS 8/4/2014 15:33 SELL 20 SPY1416T185 SPY Aug16'14 185 put 0.22 20 8/17/2014 9:00 0 421 8/4/2014 15:32 BUY 20 SPY1416T183 SPY Aug16'14 183 put 0.16 20 8/17/2014 9:00 0 -339 NET GAIN OF $82 AFTER COMMISSIONS 8/4/2014 15:36 SELL 20 IWM1416T105 IWM Aug16'14 105 put 0.17 20 8/17/2014 9:00 0 321 8/4/2014 15:36 BUY 20 IWM1416T103 IWM Aug16'14 103 put 0.11 20 8/17/2014 9:00 0 -239 NET GAIN OF $82 AFTER COMMISSIONS 8/4/2014 15:34 BUY 20 SPY1416H200 SPY Aug16'14 200 call 0.05 20 8/17/2014 9:00 0 -119 8/4/2014 15:35 SELL 20 SPY1416H198 SPY Aug16'14 198 call 0.18 20 8/17/2014 9:00 0 341 NET GAIN OF $222 AFTER COMMISSIONS 8/4/2014 15:37 SELL 20 IWM1416H116 IWM Aug16'14 116 call 0.09 20 8/17/2014 9:00 0 161 8/4/2014 15:37 BUY 20 IWM1416H118 IWM Aug16'14 118 call 0.03 20 8/17/2014 9:00 0 -79 NET GAIN OF $82 AFTER COMMISSIONS 7/28/2014 10:00 SELL 20 SPY1408T190 SPY Aug8'14 190 put 0.3 20 8/9/2014 9:02 0 581 7/28/2014 10:00 BUY 20 SPY1408T188 SPY Aug8'14 188 put 0.22 20 8/9/2014 9:02 0 -459 NET GAIN OF $122 AFTER COMMISSIONS 7/28/2014 10:02 SELL 20 IWM1408T107 IWM Aug8'14 107 put 0.21 20 8/9/2014 9:02 0 401 7/28/2014 10:02 BUY 20 IWM1408T105 IWM Aug8'14 105 put 0.13 20 8/9/2014 9:02 0 -279 NET GAIN OF $122 AFTER COMMISSIONS 7/28/2014 9:49 SELL 20 GLD1408T121 GLD Aug8'14 121 put 0.16 20 8/9/2014 9:02 0 301 7/28/2014 9:49 BUY 20 GLD1408T119 GLD Aug8'14 119 put 0.08 20 8/9/2014 9:02 0 -179 NET GAIN OF $122 AFTER COMMISSIONS 7/15/2014 12:05 SELL 20 IWM1425G118 IWM Jul25'14 118 call 0.11 20 7/26/2014 9:06 0 201 7/15/2014 12:05 BUY 20 IWM1425G120 IWM Jul25'14 120 call 0.03 20 7/26/2014 9:06 0 -79 NET GAIN OF $122 AFTER COMMISSIONS 7/15/2014 12:07 BUY 20 IWM1425S107 IWM Jul25'14 107 put 0.13 20 7/26/2014 9:06 0 -279 7/15/2014 12:07 SELL 20 IWM1425S109 IWM Jul25'14 109 put 0.24 20 7/26/2014 9:03 0 461 NET GAIN OF $182 AFTER COMMISSIONS 7/15/2014 12:08 BUY 20 SPY1425S189 SPY Jul25'14 189 put 0.18 20 7/26/2014 9:03 0 -379 7/15/2014 12:08 SELL 20 SPY1425S191 SPY Jul25'14 191 put 0.25 20 7/26/2014 9:03 0 481 NET GAIN OF $102 AFTER COMMISSIONS 7/15/2014 12:12 BUY 20 GLD1425G131 GLD Jul25'14 131 call 0.04 20 7/26/2014 9:03 0 -99 7/15/2014 12:12 SELL 20 GLD1425G129 GLD Jul25'14 129 call 0.09 20 7/26/2014 9:03 0 161 NET GAIN OF $62 AFTER COMMISSIONS 7/15/2014 12:10 BUY 20 GLD1425S119 GLD Jul25'14 119 put 0.08 20 7/26/2014 9:03 0 -179 7/15/2014 12:11 SELL 20 GLD1425S121 GLD Jul25'14 121 put 0.2 20 7/26/2014 9:03 0 381 NET GAIN OF $202 AFTER COMMISSIONS The single losing spread was actually my fault for taking too low a premium to cover the commissions, not through any fault of the strategy. The net gain from 7/15 until today (10/4) is $5348 or 21.4% return on an initial investment of $25,000 (the amount used in Pangolin IC). This is compared to a net loss of -0.3% for the S&P 500. The system win percentage during this time was 46 for 46 (100%). My personal win percentage was 45/46 or 97.8% Now, truth is that one totally blown spread would wipe out most of these gains, but through proper analysis of the statistics and probabilities of any sold put or call ending ITM, you can adjust your risk such that this is almost never going to happen. The reason I am posting this is NOT to advertise the system, but rather to demonstrate that traditional stock analysis may not actually be the best approach - in fact I am coming to the conclusion that traditional indicators, regardless of how they might be combined or backtested, cannot maintain the statistical edge that one can always achieve using vertical spreads. |
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