XLY Analysis

The Consumer Discretionary Select Sector SPDR Fund (XLY)

Update 10/15/2019: My short iron condor position on XLY reached 50% of its maximum potential profit, and I exited for a $0.46 debit, with shares trading at $121.00, up $1.28 from their price when I opened the position.

XLY fell on the day I opened the position, traded sideways for seven days, and then rose to above the entry level. The implied volatility rank fell by 5.5 points, from 38.8% to 33.3%.

Shares rose by 1.1% over 14 days, or a +28% annual rate. The options position produced a 100.0% return for a +2,607% annual rate.


I have entered a short iron condor spread on XLY, using options that trade for the last time 45 days hence, on November 15. The premium is a $0.92 credit and the stock at the time of entry was priced at $119.72

The profit zone for this position is between $126.92 on the upside and $10392 on the downside.

The implied volatility rank (IVR) stands at 38.8%.

Premium: $0.92 Expire OTM
XLY-iron condor Strike Odds Delta
Long 129.00 95.0% 5
Break-even 126.92 90.0% 10.5
Short 126.00 85.0% 16
Puts
Short 111.00 82.0% 16
Break-even 103.92 88.0% 11
Long 103.00 94.0% 6

The premium is 16.7% of the width of the position’s wings.

The profit zone covers a 6.0% move to the upside and a 15.2% move to the downside of the entry price, for total coverage of 21.2%

The risk/reward ratio is 5:1, with maximum risk of $458 and maximum reward of $92 per contract.

By Tim Bovee, Portland, Oregon, October 1, 2019

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IWM Analysis

iShares Russell 2000 ETF (IWM)

Update 10/15/2019My short iron condor position on IWM reached 50% of its maximum potential profit, and I exited for a $0.60 debit with shares trading at $150.08, up $0.94 from its price when the position was opened.

IWM fell on the day I entered the position, traded sideways for seven days and then rose again, to a level slightly below its entry-day peak. The implied volatility rank fell 15.4 points, from 26.9% to 11.5%.

Shares showed a net rise of 0.6% over 14 days, or a +16% annual rate. The options position produced a 100.0% return for a +2,607% annual rate.


I have entered a short iron condor spread on IWM, using options that trade for the last time 45 days hence, on November 15. The premium is a $1.20 credit and the stock at the time of entry was priced at $149.14.

The profit zone for this position is between $161.20 on the upside and $129.20 on the downside.

The implied volatility rank (IVR) stands at 26.9%.

Premium: $1.20 Expire OTM
IWM-iron condor Strike Odds Delta
Long 164.00 95.0% 6
Break-even 161.20 91.0% 10
Short 160.00 87.0% 14
Puts
Short 138.00 83.0% 16
Break-even 129.20 88.5% 11
Long 128.00 94.0% 6

The premium is 17.1% of the width of the position’s wings.

The profit zone covers an 8.1% move to the upside and a 15.4% move to the downside of the entry price, for total coverage of 23.5%

The risk/reward ratio is 4.8:1, with maximum risk of $580 and maximum reward of $121 per contract.

By Tim Bovee, Portland, Oregon, October 1, 2019

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TLT Analysis

iShares 20+ Year Treasury Bond ETF (TLT)

Update 10/23/2019I’ve exited my short iron condor position on TLT as it attained 50% of maximum potential profit. I closed the position for a $0.41 debit, half of the $0.82 credit I received upon entry. Shares at exit were trading at $140.16, down $2.95 from their entry level.

TLT rode a roller coaster during the lifespan of my position. It rose sharply for four days and then declined for 11 days to below its price when I entered the position, thereafter recovering for two days and triggering my exit. The implied volatility rank at exit was 40.8%, down 25.6 points from the entry level.

Shares had a net decline of 2.1% over 22 days, or a -34% annual rate. The options position produced a 100.0% return for a +1,659% annual rate.


I have entered a short iron condor spread on TLT, using options that trade for the last time 45 days hence, on November 15. The premium is a $0.82 credit and the stock at the time of entry was priced at $143.52.

The profit zone for this position is between $151.82 on the upside and $132.82 on the downside.

The implied volatility rank (IVR) stands at 66.4%.

Premium: $0.82 Expire OTM
TLT-iron condor Strike Odds Delta
Long 157.00 94.0% 6
Break-even 151.82 89.0% 11.5
Short 151.00 84.0% 17
Puts
Short 136.00 85.0% 15
Break-even 132.82 89.5% 10.5
Long 132.00 94.0% 6

The premium is 16.4% of the width of the position’s wings.

The profit zone covers a 5.8% move to the upside and an 8.1% move to the downside of the entry price, for total coverage of 13.8%

The risk/reward ratio is 5.1:1, with maximum risk of $418 and maximum reward of $82 per contract.

By Tim Bovee, Portland, Oregon, October 1, 2019

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GDX Analysis

VanEck Vectors Gold Miners ETF  (GDX)

Update 10/16/2019I exited my short iron condor position on GDX for 51.1% of maximum potential profit. The exit debit was $0.22, which is $0.23 below the $0.45 credit received at entry, with shares trading at $26.50, down nine cents from the entry level.

GDX traded sideways in a $2 range during the lifespan of the position. Implied volatility was 50.0% at exit, down 22.9 points from the entry level.

Shares fell by 0.3% over 15 days, or a -8% annual rate. The options position produced a 104.6% return for a +2,544% annual rate.


I have entered a short iron condor spread on GDX, using options that trade for the last time 45 days hence, on November 15. The premium is a $0.45 credit and the stock at the time of entry was priced at $27.17.

The profit zone for this position is between $30.45 on the upside and $22.45 on the downside.

The implied volatility rank (IVR) stands at 72.9%.

Premium: $0.45 Expire OTM
GDX-iron condor Strike Odds Delta
Long 33.00 95.0% 6
Break-even 30.45 90.0% 12
Short 30.00 85.0% 18
Puts
Short 24.00 82.0% 16
Break-even 22.45 88.0% 10.5
Long 22.00 94.0% 5

The premium is 18.0% of the width of the position’s wings.

The profit zone covers a 12.1% move to the upside and a 21.0% move to the downside of the entry price, for total coverage of 33.1%

The risk/reward ratio is 4.6:1, with maximum risk of $205 and maximum reward of $45 per contract.

By Tim Bovee, Portland, Oregon, October 1, 2019

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Live: Tuesday, Oct. 1, 2019

2:50 p.m. New York time

XBI Analysis posted.

And that’s a wrap for the November setup, with six short iron condor positions, on GDX, IWM, TLT, XBI, XLY and XOP. Management day will be October 25, which is 21 days prior to expiration, the day on which I sell all remaining profitable positions. Expiration is November 15.

2:20 p.m. New York time

XOP Analysis posted.

2 p.m. New York time

I’ve posted XLY Analysis after the adjusting the order in order to get a fill. Note that the short put strike was moved a dollar lower to accomodate a price change after I entered the order.

1:30 p.m. New York time

I’ve posted IWM Analysis after my short iron condor entry order was filled.

12:30 p.m. New York time

And as the final entry order of the day, a short iron condor on XBI, structured +p62 -p67 -c83 +c88, with an ask of a $1.08 credit.

12:15 p.m. New York time

I’ve placed an entry order for a short iron condor on IWM, structured as +128p -138p -160c +164c, asking for a $1.20 credit.

11:10 a.m. New York time

TLT Analysis posted after my short iron condor order was filled at the asking price.

10:55 a.m. New York time

Entry order for a short iron condor on TLT placed. The structured is +p17 -p19 -c25 +c27, with a credit ask of $0.39.

10:40 a.m. New York time

I’ve placed an entry order for a short iron condor on TLT, structured as +p32 -p36 -c51 +c57. The credit ask is $0.82.

10:20 a.m. New York time

GDX Analysis posted after my short iron condor order was filled.

10:10 a.m. New York time

I’ve placed an entry order for a short iron condor on XLY, structured as +p105 -p112 -c126 +c129, asking for a credit of $0.94.

10 a.m. New York time

Today is entry day for my options trading, 45 days prior to expiration of the November 15, 2019 monthlies. In describing the structure of each short iron condor order, I’ll prefix long options with a + and short with a -, each followed “p” for put or “c” for call, and the strike price.

I’ve placed my first entry order, for GDX, structured as +p22 -p24 -c30 +c33. My asking price is $0.45. No fill as of yet.

By Tim Bovee, Portland, Oregon, October 1, 2019

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