This has got to be my most difficult trade. Sad to say i did not make any money out of this. But I’m glad that I did not take any lost from this trade.
The difficulty in trading a condor in a high IV environment can be felt fully in this trade. Of course i did not have the luck that InvestmentJunkie at SGfunds have when setting it up.
I set all my legs up on the 11th of October. That is about 26 days away from expiry. I reckon that with the high IV, i would not need to follow the rule to set up between 30 to 45 days of expiry, since i can get at least $1.00 of credit.
SOLD 930/920/760/750 for $1.06 of credit
On the 19th of October, RUT made a drastic drop to 798. The delta of the 760 Put hit 18 (tat is before i went to sleep). If I had not closed it, it would be expensive for me to buy back.
BOT 760/750 for -$1.35 debit
At the same time, I open a vertical call to take advantage of the current market trend at 9 delta.
SOLD 890/880 for 0.57 credit
Everything seems alright up till now, until on the 29th of october, sensing the falling volatility, I took advantage of this by selling a PUT vertical at 9 delta.
SOLD 750/740 for 0.50 credit