iShares 20+ Year Treasury Bond ETF (TLT)

Update 9/12/2019: I exited my short iron condor on TLT after the share price exceeded the lower breakeven point, moving into unprofitability so far that, at the rate of change at that time, it would take a 5.6 days to return to profitability. By my rules, that demands an exit. Shares were priced at $139.51 at exit, down $7.48 from the entry price, and the options positions produced a $2.84 debit, down $1.36 from the entry credit.

The TLT share price began to decline the day after I entered the position, and continued to decline three the next five trading days, breaking into unprofitability on the fifth day. The implied volatility rank declined by 7.2 during the holding period to 53.0%

Shares declined by 5.1% over eight days, or a -232% annual rate. The options position produced a -47.9% loss for a -2,185% annual rate.

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I have entered a short iron condor spread on TLT, using options that trade for the last time 44 days hence, on October 18. The premium is a 1.48 credit and the stock at the time of entry was priced at $146.99

The profit zone for this position is between $155.48 on the upside and $137.48 on the downside.

The implied volatility rank (IVR) stands at 60.2%.

Premium:	$1.48	Expire OTM
TLT-iron condor	Strike	Odds	Delta
Long	162.00	95.0%	6
Break-even	155.48	87.5%	13.5
Short	154.00	80.0%	21
Puts
Short	142.00	77.0%	23
Break-even	137.48	85.5%	14.5
Long	136.00	94.0%	6

The premium is 21.1% of the width of the position’s wings.

The profit zone covers a 5.8% move to the upside and a 6.9% move to the downside of the entry price, for total coverage of 12.7%

The risk/reward ratio is 3.7:1, with maximum risk of $552 and maximum reward of $148 per contract.

By Tim Bovee, Portland, Oregon, September 4, 2019

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SPDR Gold Shares (GLD)

Update 9/27/2019: I exited my short iron condor on GLD 21 days prior to expiration, the point at which, under my rules, I exit winning positions. I exited for a $1.54 debit so the profit is quite small, only five cents, with shares trading at $141.42, down $4.43 from the entry price.

The exit was at 3.1% of maximum potential profit with an implied volatility rank of 63.3%, down 16.5 percentage points from entry. The stock began a four-day decline on the second day after entry, ending below the put strike price in the short iron condor position, and then meandered along that boundary until the day I exited.

Shares fell by 3.0% over 23 days, or a -48% annual rate. The options position produced a 3.3% return for a +52% annual rate.

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I have entered a short iron condor spread on GLD, using options that trade for the last time 44 days hence, on October 18. The premium is a $1.59 credit and the stock at the time of entry was priced at $145.85

The profit zone for this position is between $155.59 on the upside and 136.59 on the downside.

The implied volatility rank (IVR) stands at 79.8%.

Premium:	$1.59	Expire OTM
GLD-iron condor	Strike	Odds	Delta
Long	165.00	95.0%	6
Break-even	155.59	87.5%	13.5
Short	154.00	80.0%	21
Puts
Short	141.00	77.0%	23
Break-even	136.59	86.0%	14.5
Long	135.00	95.0%	6

The premium is 18.7% of the width of the position’s wings.

The profit zone covers a 6.7% move to the upside and a 6.8% move to the downside of the entry price, for total coverage of 13.5%

The risk/reward ratio is 4.3:1, with maximum risk of $691 and maximum reward of $159 per contract.

By Tim Bovee, Portland, Oregon, September 4, 2019

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1:10 p.m. New York time

XOP Analysis posted.

1:05 p.m. New York time

XLY Analysis posted.

12:55 p.m. New York time

TLT Analysis posted.

12:50 p.m. New York time

GLD Analysis posted.

12:30 p.m. New York time

And that’s a wrap on the new positions. I’ll start posting the analyses.

12:20 a.m. New York time

I’ve entered short iron condors on XOP and XLY, each expiring in 44 days on October 18.

Structures:

XOP, short the $24 call and $19 put, long the $26 call and $17 put. Credit: $0.44.

XLY, short the $125 call and $112 put, long the $129 call and $105 put. Credit: $1.18.

11:05 a.m. New York time

I’ve entered a short iron condor on TLT, 44 days prior to the October 18 expiration. the credit was $1.48. (Note that in the 10:50 a.m. item I mistakenly wrote “debit”. “Credit” is correct.)

The position is built from shorts, calls at $154 and puts and $152, and long wings, calls at $162 and puts at $136.

10:50 a.m. New York time

I’ve entered a short iron condor on GLD with 44 days until expiration on October 18, for a credit of $1.59. The structure is short strangle, $154 on the call and $141 on the put, and the long wings, $165 on the call and $135 on the put. Analysis to come.

By Tim Bovee, Portland, Oregon, September 4, 2019

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iShares Russell 2000 ETF (IWM)

Update 9/12/2019: I exited my short iron condor on IWM after the share price exceeded the upper breakeven point, moving into unprofitability so far that, at the rate of change at that time, it would take a day and a half to return to profitability. By my rules, that’s when I exit. Shares were priced at $157.32 at exit, up $10.73 from the entry price, and the options positions produced a $3.28 debit, down $1.38 from the entry credit.

The IWM share price began to rise the day after I entered the position, and continued to rise for four of the next six trading days, finally breaking into unprofitability on the sixth day. The implied volatility rank declined by 18.2 during the holding period to 25.0%

Shares rose by 7.3% over nine days, or a +297 annual rate. The options position produced a -42.1% loss for a -1,706% annual rate.

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I have entered a short iron condor spread on IWM, using options that trade for the last time 45 days hence, on October 18. The premium is a $1.90 credit and the stock at the time of entry was priced at $146.59.

The profit zone for this position is between $156.91 on the upside and $126.91 on the downside.

The implied volatility rank (IVR) stands at 41.3.

Premium:	$1.90	Expire OTM
IWM-iron condor	Strike	Odds	Delta
Long	161.00	95.6%	5
Break-even	156.90	89.0%	12
Short	155.00	82.4%	19
Puts
Short	136.00	77.5%	20
Break-even	126.90	84.8%	13
Long	125.00	92.1%	6

The premium is 22.4% of the width of the position’s wings.

The profit zone covers a 7.0% move to the upside and a 15.5% move to the downside of the entry price, for total coverage of 22.5%

The risk/reward ratio is 3.5:1, with maximum risk of $660 and maximum reward of $190 per contract.

By Tim Bovee, Portland, Oregon, September 3, 2019

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4:30 p.m. New York time

And at the close, no fills on my three live trades. Tomorrow…

3:20 p.m. New York time

My short iron condor orders on GDXJ, XLY and XOP have yet to be filled. I shall leave them active, allowing any unfilled to expire at the close. Any fills, I’ll post the analysis after the closing bell.

My managed shares positions are all in uptrend mode on the Directional Index Indicator, so I am continuing to hold.

The line-up:

sym	slot #	entry $/share	sector
GLD	1	143.03	metals
SLV	2	15.88	metals
IYR	3	91.44	real estate
UNG	4	19.17	energy
BIDU	5	112.22	technology

2:40 p.m. New York time

I’ve placed an order for a short iron condor on XOP, asking for a $0.38 credit. The shorts are $24 on the calls and $18 on the puts, and the longs are $27 on the calls and $16 on the puts.

12:50 p.m. New York time

I’ve placed an order for a short iron condor on XLY, asking for a $1.27 credit. The shorts are $125 for the calls and $111 for the puts, when the long wings at $129 for the calls and $103 for the puts.

10:45 a.m. New York time

I’ve placed an entry order for a short iron condor on GDXJ, asking for a $0.95 credit, structured as a short call at $49 and short put at $38, and a long call at $54 and long put at $34. So, it hits the 18 delta for the call and 20 delta for the put.

10:25 a.m. New York time

IWM Analysis posted.

10:15 a.m. New York time

This is set-up day, 45 days before expiration of the next round of trades, which will use the monthly options expiring October 18.

I’ve entered a short iron condor on IWM for a $1.90 credit and shall post the analysis shortly.

By Tim Bovee, Portland, Oregon, September 3, 2019

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3:15 p.m. New York time

I’ve updated XLY Analysis with results.

2:50 p.m. New York time

I’ve exited my last remaining position built from options expiring September 20. The short iron condor was on XLY, and I exited for a $0.82 debit. Results to come shortly. The exit came 21 days prior to expiration, which under my rules is the day I manage all winning trades. In XLY’s case, the exit came at 9.9% of maximum potential profit.

By Tim Bovee, Portland, Oregon, August 30, 2019

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12:55 p.m. New York time

Some housekeeping notes (not quite up to Marie Kondo’s standards).

I have one options position remaining using the monthlys expiring September 20: XLY. It was entered into relatively late in cycle, with nine days remaining until the manage winners day, 21 days prior to the options’ expiration. Normally I aim for 20-23 days before manage winners day.

XLY is not showing a profit. My goal is to exit at 50% of maximum potential profit. On manage winners day, I’ll exit XLY if it is profitable to any degree. If it is not profitable, then I keep the position, but the rules for it change to the sudden death rule set: If it shows a profit to any degree, I exit, and if the underlying share price moves beyond the profit zone, then I exit if the time required for return to the zone is greater than one day, as measured by the Rate of Change metric.

I’ll start populating my accounts with short iron condors built from options expiring October 18 when we reach 45 days prior to expiration, which is September 3, a week from today.

See my options trading rules here.

By Tim Bovee, Portland, Oregon, August 27, 2019

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3:40 p.m. New York time

SPY results posted.

3:25 p.m. New York time

My exit order on my long iron condor on SPY has been filled for $0.76. Results to come.

11:25 a.m. New York time

I’ve updated the analysis of my GDX iron condor with results.

11:05 a.m. New York time

I placed an exit order on my GDX short iron condor. It was filled for a $0.22 debit, or 50% of maximum potential profit. Results to come.

10:50 a.m. New York time

In my options portfolio, I put in an exit order on my short on iron condor on SPY for a $0.76 debit, which is as yet unfilled.

In my managed shares portfolio, XLU gave a sell signal late Friday on the Directional Movement Index (DMI), and I exited for $61.76, a return of 0.4% over six days, or a +24% annual rate.

I replaced it with UNG, which a DMI buy signal this morning. The entry price was $19.17.

The new line-up is still a bit heavy on the metals, but that’s the nature of the market these days.

sym	slot #	entry $/share	sector
GLD	1	143.03	metals
SLV	2	15.88	metals
IYR	3	91.44	real estate
UNG	4	19.17	energy
BIDU	5	112.22	technology

By Tim Bovee, Portland, Oregon, August 26, 2019

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1:25 p.m. New York time

I’ve updated my QQQ analysis with results.

10:35 a.m. New York time

My short iron condor position on QQQ hit 50% of maximum potential profit, and I’ve exited for a $0.93 debit. Results to come.

By Tim Bovee, Portland, Oregon, August 23, 2019

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10:40 a.m. New York time

I’ve entered a short iron condor position on XLY, selecting it as having the top implied volatility rank of any prospect on my list that isn’t a metal or an energy play. The position replaces IWM, which I exited yesterday for half of maximum potential profit. The position has 30 days until expiration, nearly two weeks short of my preferred 42 days.

By Tim Bovee, Portland, Oregon, August 21, 2019

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