Wednesday, August 6, 2008

RUT Iron Condor Aug 760/770 BRCS & 600/590 BLPS

Today I closed out of my August RUT Iron Condor 760/770 BRCS & 600/590 BLPS for $0.30 debit.

Although I had another week to exit (my exit rule is to get out 1 week prior to expry), I exited today since my delta on the trade was worth -459 and my total delta on the long positions was 10,000 (100 contracts X 100 delta). I
So 459/10000= 4.6%
My delta rule is to exit whenever my delta exposure is 5% of my trade. t was not worth the risk to wait longer to exit (I learned this lesson the hard way last month).

I legged in on 6/26 with the BLPS & 7/1 with the BRCS for a net credit of $1.90.

1.60 profit/8.10 risk= 19.7% ROI

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