IRON CONDOR-option trading strategy

[lokanathpai]

AS ON 08.09.17 POSITION VALUE
SEP10400 CALL SELL 1350 3.40 4590.00
SEP10300CALL BUY 1350 7.20 -9720.00
SEP9700 PUT BUY 1350 41.30 -55755.00
SEP 9600 PUT SELL 1350 28.80 38880.00
-22005.00
INCOME 35100.00
POSITIONAL VALUE VALUE -22005.00
NET 13095.00

 

[lokanathpai]

AS ON 15.09.17 POSITION VALUE
SEP10400 CALL SELL 1350 3.55 4792.50
SEP10300CALL BUY 1350 9.75 -13162.50
SEP9700 PUT BUY 1350 10.20 -13770.00
SEP 9600 PUT SELL 1350 7.60 10260.00
-11880.00
INCOME 35100.00
POSITIONAL VALUE VALUE -11880.00
NET PROFIT RS.23220.00


I CLOSED THIS POSITION

CAPITAL 2027506
PROFIT 23220
NET NEW CAPITAL 2050726

 

[lokanathpai]

CAPITAL 2050726
RISK AMOUNT 10% 205073
INVESTIBLE AMOUNT 1845653

IRON CONDOR PAIR FOR OCT 17 SEREIS
MAX OPEN INTEREST
CALL 9700
PUT 10300
MAX RANGE FORNIFTY SINCE LAST 5 MONTHS 572

AS NIFTY DID NOT BREACH 9700 UPTREND IS MAINTAINED
9700 + 572 = 10272
IRON CONDOR PAIR FOR OCT 17 SEREIS 10300 - 9700

HEDGE 100 POINTS AWAY
HENCE HEDGE IS 10400 - 9600

CALL 10300 63.50
PUT 9700 37.65
101.15 --A
HEDGE 100 POINTS AWAY
CALL 10400 36.80
PUT 9600 28.60
65.40 --B

INCOMEA-B) 35.75
MAX LOSS (100-INCOME) 64.25
TRADEABLE POSITIONS-LOTS(RISK AMT/MAX LOSS) 376

PER LOT Rs 50000/- MARGIN AMOUNT REQUIRED.
ON TRADEABLE AMOUNT I CAN SELL TOTAL 36 LOTS
MEANS 18 LOT CALLS AND 18 LOTS PUT

TRADE ON 15/09/17
OCT10400 CALL BUY 1350 36.80 -49680.00
OCT10300CALL SELL 1350 63.50 85725.00
OCT9700 PUT SELL 1350 37.65 50827.50
OCT 9600 PUT BUY 1350 28.60 -38610.00
MAX PROFIT 48262.50

 

[lokanathpai]

POSITION ON 21.09.17
OCT10400 CALL SELL 1350 40.85 55147.50
OCT10300CALL BUY 1350 69.60 -93960.00
OCT9700 PUT BUY 1350 36.10 -48735.00
OCT 9600 PUT SELL 1350 27.20 36720.00
POSITIONAL VALUE -50827.50
RESULT -2565.00

DUE TO NORTHKOREA EEFECT-MONITORING OF POSITION IS DONE ON PREVIOUS DAY 21.09.17

 

[lokanathpai]

POSITION ON 29.09.17
OCT10400 CALL SELL 1350 5.80 7830.00
OCT10300CALL BUY 1350 3.35 -4522.50
OCT9700 PUT BUY 1350 85.50 -115425.00
OCT 9600 PUT SELL 1350 59.45 80257.50
POSITIONAL VALUE -31860.00
RESULT 16402.50

 

[trump]

CAPITAL 2050726
RISK AMOUNT 10% 205073
INVESTIBLE AMOUNT 1845653

IRON CONDOR PAIR FOR OCT 17 SEREIS
MAX OPEN INTEREST
CALL 9700
PUT 10300
MAX RANGE FORNIFTY SINCE LAST 5 MONTHS 572

AS NIFTY DID NOT BREACH 9700 UPTREND IS MAINTAINED
9700 + 572 = 10272
IRON CONDOR PAIR FOR OCT 17 SEREIS 10300 - 9700

HEDGE 100 POINTS AWAY
HENCE HEDGE IS 10400 - 9600

CALL 10300 63.50
PUT 9700 37.65
101.15 --A
HEDGE 100 POINTS AWAY
CALL 10400 36.80
PUT 9600 28.60
65.40 --B

INCOMEA-B) 35.75
MAX LOSS (100-INCOME) 64.25
TRADEABLE POSITIONS-LOTS(RISK AMT/MAX LOSS) 376

PER LOT Rs 50000/- MARGIN AMOUNT REQUIRED.
ON TRADEABLE AMOUNT I CAN SELL TOTAL 36 LOTS
MEANS 18 LOT CALLS AND 18 LOTS PUT

TRADE ON 15/09/17
OCT10400 CALL BUY 1350 36.80 -49680.00
OCT10300CALL SELL 1350 63.50 85725.00
OCT9700 PUT SELL 1350 37.65 50827.50
OCT 9600 PUT BUY 1350 28.60 -38610.00
MAX PROFIT 48262.50

Nice, but few questions
1.Are these real trades you have taken?
2.you posted this on 17th Sept, thats Saturday, and you opened position nearly 2 weeks ahead of Sept Expiry, any logic
I am also trying to learn. cheers.

 

[trump]

POSITION ON 29.09.17
OCT10400 CALL SELL 1350 5.80 7830.00
OCT10300CALL BUY 1350 3.35 -4522.50
OCT9700 PUT BUY 1350 85.50 -115425.00
OCT 9600 PUT SELL 1350 59.45 80257.50
POSITIONAL VALUE -31860.00
RESULT 16402.50

this is your approximate payoff diagram, but looks like the two spreads are reversed, that is you bought an Iron Condor rather sell it I guess.

Below is the payoff diagram of the reverse of your position

 

[lokanathpai]

IC POSITION OPENED ON 15.09.17.
Every week I post positional value.
I do not wait till expiry but will try to close with 60% or above retention of Income.
I treat 45-30 days range I will get higher premium.
Because of that my opening OCT position before expiry of SEPT.
IC is paper trade and I am trying to arrive at a strategy for this which I can follow.
Frankly I do not understand Payoff diagram or greek values.
I assume for trading those are not very essential but it may help, How I do not know.

I have a certain Capital amount.
I treat 10% of that as risk money.
I arrive at Max Loss per lot.
For my risk money, for this max loss I derive tradeable lots.
I will consider Max open interest strikes for that months series, for PUT as well as CALL as boundary values.
I calculate monthly range (monthly high - monthly low) for each month 5 months and take maximum range out of these.
I see the market trand.
If market trend is UP, I will fix max open interest strike for PUT as Base vale and calculate CALL strike value basing on the Max monthly range.
When I open IC position, I will get certain amount as credit.
Next week onwards I will calculate the positional value.
If result(Positional value - Income) is loss more than Income I derive, I have decided to close the position booking loss. (This is new addition to my strategy).
When I am able to retain more than 60% of the Income then also I will close the position booking profit.

Delta value of the option, they say, represents probability of that strike becoming ITM on expiry date. Hence, less probability is better for option selling. But I am not getting readymade delta value anywhere.

 

[trump]

Nice, its best to use what one understands and is comfortable with.
Yes, Delta value of near 10 is best for condors
All greeks are calculated only by using Scholes model.Any broker terminal shld have option value calculator, use it if u can.
Options Oracle is also there, but buggy.cheers.

 

[lokanathpai]

Nice, its best to use what one understands and is comfortable with.
Yes, Delta value of near 10 is best for condors
All greeks are calculated only by using Scholes model.Any broker terminal shld have option value calculator, use it if u can.
Options Oracle is also there, but buggy.cheers.

NSE also has greek calculator. But it takes lot of time to find out a strike price with required delta value. Moreover the values I feed may not be correct. If any website gives ready made, already calculated delta value, it is better.