HLF iron condor, weekly

[shooter]

Just curious, does the Ackman/Icahn/Soros story play into your view of a trading range of HLF?

 

[nixodian]

Quote from stevegee58:

Frankly I never liked ICs though I did have a journal here recently where I was trading them. I eventually gave them up and am working on high reward:risk directional trades instead.

To answer your question, you can have a look at the rules in my journal. In a nutshell, I rolled out whichever side was "threatened". I determined this with delta. I'd start with the short options at around delta=7. If either short option's delta went to 20 for calls or 25 for puts I'd roll out. Keep in mind I was doing these ICs on NDX and RUT both indexes. ICs on individual stocks are way more susceptible to adverse gap moves.

stevegee58
ICs suck when they go against you, sure everyone agrees! adjustments adjustments adjustments, when? how? why?
what high reward:risk directional trades you chosen? l had too many naked writes, credit spreads go against me that l have chosen debit trades instead like calendar, a better long term prospect, with credit spreads bringing in spare change.
deltas at 7 is a little far OTM for me, you would be taking on high risk : reward for that, a delta shift of 0.13 sounds reasonable to me. but is there a broker that allows you to set stops / trades at 0.13 delta change? and is there a way of calculating what the premium would be at a 0.13 delta shift?
btw do / did you use IB on index options?

 

[nixodian]

Quote from newwurldmn:

spot delta is zero
Spot gamma is low

But as stock moves, spot gamma goes up. So you can't hedge it because the next dollar up has much more impact than if spot moves one dollar down.

it depends on the pricing but definitely the short call

"But you can't hedge a position where the second order Greeks aren't stable" ie when spot delta is zero, and spot gamma is low.
can you elaborate? since when is spot delta zero and gamma low in relative terms?
do you like using ICs / credit spreads in general?

 

[newwurldmn]

Quote from nixodian:

"But you can't hedge a position where the second order Greeks aren't stable" ie when spot delta is zero, and spot gamma is low.
can you elaborate? since when is spot delta zero and gamma low in relative terms?
do you like using ICs / credit spreads in general?

Your delta changes at the rate of gamma. So if you gamma stays the same you have an idea of your risk if the stock goes up or down. If the gamma doesn't stay the same then you don't know your risk because the gamma will be higher in one direct vs another and that means your delta will be higher in one direction vs another by a lot. This is hard to hedge.

I only traded one IC this year: a 3 month iron condor in hlf initiated in like feb.

The view was very specific to the situation involving icahn

 

[GregLoehr]

Quote from nixodian:

what do you mean by "second order Greeks aren't stable"?
so if your book overall was looking shakey and the call side had doubled in premium the put side halved. just close the call side or whole thing or nothing?

Of course the greeks are going to change. That's just the nature of options.

Here's how to tell when it's time to adjust the calls for example: take a look at rolling the short call spread out one expiration and up one strike ($2.5). It's trading for a credit. This is ONE adjustment possibility; not THE adjustment.

Now, as the stock starts to move higher, that adjustment will start to trade for less of a credit and eventually a debit. If you know what it means to read up/down the option chain, then you get an idea of how much the stock can move against you before it's time to either close the trade or roll it out for a credit.

BTW, ic's are no 'better' or 'worse' than any other strategy. They do what they're supposed to do. It's the management of the trade that matters.

 

[stevegee58]

Quote from nixodian:

stevegee58
ICs suck when they go against you, sure everyone agrees! adjustments adjustments adjustments, when? how? why?
what high reward:risk directional trades you chosen? l had too many naked writes, credit spreads go against me that l have chosen debit trades instead like calendar, a better long term prospect, with credit spreads bringing in spare change.
deltas at 7 is a little far OTM for me, you would be taking on high risk : reward for that, a delta shift of 0.13 sounds reasonable to me. but is there a broker that allows you to set stops / trades at 0.13 delta change? and is there a way of calculating what the premium would be at a 0.13 delta shift?
btw do / did you use IB on index options?

I use IB. You can't to my knowledge place stop orders based on delta, just price.

Directional calendars and butterflies are great really. You just have to be selective based on getting the highest reward:risk and probability based on IV.