SPY Analysis


Update 8/26/2019: I’ve exited my short iron condor position on SPY for 50% of maximum potential profit. The exit cost as a $0.76 debit, for a profit of $0.76, with shares trading at $287.82, up $2.94 from the price at entry.

SPY fluctuated during my holding period within a $10 range. The implied volatility rank declined by 20.5 points to 45.1% at exit.

Shares rose by 1.0% over 19 days for a +20% annual rate. The options positions produced a 100.0% return for a 1,921% annual rate.

I have entered a short iron condor spread on SPY, using options that trade for the last time 44 days hence, on September 20. The premium is a $1.52 credit and the stock at the time of entry was priced at $284.78.

The profit zone for this position is between $301.52 on the upside and $251.52 on the downside.

The implied volatility rank (IVR) stands at 65.6%.

Premium: $1.52 Expire OTM
SPY-iron condor Strike Odds Delta
Long 303.00 92.0% 9
Break-even 301.52 89.0% 11.5
Short 300.00 86.0% 14
Short 261.00 83.0% 14
Break-even 251.52 86.5% 11.5
Long 250.00 90.0% 9

The premium is 21.7% of the width of the position’s wings.

The risk/reward ratio is 3.6:1. Each contract carries $548 in maximum potential loss compared to $152 in maximum potential profit.

By Tim Bovee, Portland, Oregon, August 7, 2019


Tim Bovee, Private Trader tracks the analysis and trades of a private trader for his own accounts. Nothing in this blog constitutes a recommendation to buy or sell stocks, options or any other financial instrument. The only purpose of this blog is to provide education and entertainment.

No trader is ever 100 percent successful in his or her trades. Trading in the stock and option markets is risky and uncertain. Each trader must make trading decisions for his or her own account, and take responsibility for the consequences.

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