SPY Iron Condor Ladder Update….not much return….yet

The SPY IC Ladder started in Feb has shown significant swings in profit (high of $8,000 to low of $(5,000)…. I would not call it a winning strategy just yet. Annualized return as of Friday was 6%…..not worth the capital at risk. To date I was primarily selling the 45 DTE IC’s (or when they became available) and closing them around 21 DTE. Typically selling body width of 30 and wing width of 10. I stopped selling if the IV dropped below 14 (more recent development). I was rarely achieving the 1/3 value of the wing spread that TT recommend. Currently letting the DTE run lower to see if it helps. I haven’t been doing a lot of “adjustments”…..at the cottage for the summer and the internet connection is a little painful for rolling SPY spreads.

If anyone is interested in the complete list of trades to analyze let me know and I would be happy to share.

Open positions in the bottom table. Would like to see a pull back as current price has pushed a couple of the short calls ITM.

#spyladder

Update on SPY Ladder Strategy….lot of activity….not much to show for it yet….

The SPY Ladder Strategy is not contributing much to the account….so far. Hopefully things will improve with experience.

We started the ladder in Feb selling March IC’s. As we approach 21 DTE we close and open new positions 45-50 days out (if available). We have opened 302 positions……600+ trades including closing. So far Schwab is making more money than I am! Commissions are slightly higher than the profits so far.

What am I learning….

  1. It is really hard not to adjust….which I should not be doing. Adjusting takes incremental investment. The IC’s are each defined risk….and I should let them ride. I have rolled up the untested side on a number of occasions but the end result is narrowing the spread of the body. When the SPY moves in the other direction it doesn’t take long to put the rolled position under pressure.
  2. Need to establish wider “width” in the IC body. At least 30 delta. Premiums are much more attractive at 20…..always tempting to go narrower.
  3. Very hard to make money if volatility goes below 15 when establishing a new position. Need to be more disciplined and refrain from new positions with SPY IV at 12-13.
  4. Positions are carrying unrealized gain of $2,547……which is promising if we can realize a good percent of it.
  5. Schwab platform isn’t the easiest to work with when rolling spreads….figuring out how much a credit for the untested side so you know how much you can spend rolling up the tested side without incremental investment…time consuming with lots of “fiddling”. If you have suggestion on how to do this better in Schwab feel free to comment! It looks much quicker on TT….I have gotten quicker and now have an IC Roll Layout with two All-in-one boxes open on the right and the positions on the left.
  6. I started increasing the sizes….initially they were 2 and 3 contracts….now 5 to 8.
  7. Need to get better with establishing skewed positions…

Graph below shows the daily P/L for the strategy. Table on the right is profit and return. 8% annualized return needs to improve. Would like to get this to a minimum of 20%. Willing to take on higher risk (bigger positions) if the return can be improved.

Hope this is interesting for some of you. No plans to stop yet…….

#iron-condor, #spyladder

SPY Rolls

Bought to close SPY 07/20/2020 305.0 Call / Sold SPY 07/27/2020 305.0 Call @ 0.25 Credit.

Bought to close SPY 07/20/2020 315.0 Call / Sold SPY 07/27/2020 316.0 Call @ 0.12 Credit plus an extra point on the strike/

SPY is just pennies away from it’s highest close since February, so we are overdue for a correction.
#SPYLadder

SPY Rolls

Bought to close SPY 07/13/2020 312.0 Call / Sold SPY 07/17/2020 313.0 Call @ 0.02 Credit plus a point on the strike

Bought to close SPY 07/13/2020 313.0 Call / Sold SPY 07/20/2020 315.0 Call @ 0.04 Credit plus 2 points on the strike
#SPYLadder

SPY Roll

Bought to close 1 SPY 07/10/2020 312.0 Call / Sold 1 SPY 07/13/2020 313.0 Call @ 0.15 Credit plus an extra point higher on the strike for just one more trading day.
SPY at 315.36.
#SPYLadder

SPY Rolls

Bought to close 1 SPY 07/08/2020 306.0 Call / Sold 1 SPY 07/15/2020 308.0 Call @ 0.13 Credit plus 2 more points on the strike.
Bought to close 1 SPY 07/08/2020 307.0 Call / Sold 1 SPY 07/15/2020 310.0 Call @ 0.22 Credit plus 3 more points on the strike.
#SPYLadder

SPY Rollup

Bought to close 1 SPU 07/06/2020 306.0 Call / Sold 07/15/2020 308.0 Call @ 0.17 Credit plus 2 more points on the short strike.
#SPYLadder

SPY Roll

Bought to close 1 SPY 07/02/2020 303.0 Call / Sold 1 SPY 07/10/2020 304.0 Call @ 0.10 Credit plus a 1 point improvement in the short strike.
This got too far ITM for a better roll today.

#SPYLadder

SPY Rolls

Bought to close 07/01/2020 304.0 Call / Sold 07/08/2020 306.0 Call @ 0.32 Credit plus a 2 point bump in the short strike.
Bought to close 07/01/2020 303.0 Call / Sold 07/08/2020 305.0 Call @ 0.30 Credit plus a 2 point bump in the short strike.
#SPYLadder

SPY

New Diagonal Spread
Sold to open 1 SPY Jul 01 2020 304 Call at $2.70 while buying 1 SPY Sep 18 2020 335 Call at $2.44.
With a 0.26 initial credit, the hope is to pick up another long term call to write against for the next few months, for free.
SPY closed at 304.46 today.
The short is only 2 DTE but the long is 81 DTE
#SPYLadder

Last SPY roll

Bought to close 1 SPY 06/29/2020 303.00 Call / Sold 1 SPY 07/01/2020 305.00 Call @ 1.27 credit plus a 2 point bump in the short strike for only 2 more days.
Rolled to avoid possible assignment on today’s short call as the stock right at 303.00 5 minutes before the close.
#SPYLadder

SPY roll

Bought to close 1 SPY 06/29/2020 302.00 Call / Sold 1 SPY 07/06/2020 307.00 Call @ 1.07 credit plus a BIG 5 point bump in the short strike.
Rolled to avoid possible assignment on today’s short call.

SPY is 303 at the moment
#SPYLadder

SPY Ladder Rolls

Bought to close 1 SPY 06/17/2020 300.0 Call / Sold 1 SPY 06/24/2020 300.0 Call @ 0.68 Credit.
Stock at 313.70.
Bought to close 1 SPY 06/17/2020 305.0 Call / Sold 1 SPY 06/26/2020 307.0 Call @ 0.61 Credit + 2 points better on the short strike.
Stock at 313.52
#SPYLadder

SPY

#CoveredCalls #Dividends – I’m not sure how SPY reacts to dividends and how likely a call position DITM is of getting exercised early. Was going to let this get called away at a tiny profit but I’ll hang onto it for the weekend to make sure I get the divvy.

Rolled SPY JUN 19 2020 263.0 Calls to JUN 22 2020 265.0 Calls @ 2.02 debit

Paying .02 to insure what is hopefully about a 1.40 divvy.

#spyladder

SPY Ladder Roll

Bought to close SPY 06/15/2020 300.0 Call / Sold SPY 06/22/2020 302.0 Call @ 1.05 Credit Plus a 2.00 higher strike to avoid assignment on today’s short call.
Stock was 306.77 (up from an opening low below 299)
#SPYLadder

SPY Ladder Roll – a day early

Bought to close SPY 06/12/2020 299.0 Call / Sold SPY 06/19/2020 300.0 Call @ 0.38 Credit to avoid assignment on tomorrow’s short call.
The initial spike down allowed me to bump the short strike a point too.

Edit: I was way too early. SPY dropped another 7 points after the opening gap down.
Oh well. I’ll make it up next week with 3 expiration dates.

#SPYLadder

SPY Ladder Roll

Bought to close SPY 06/10/2020 300.0 Call / Sold SPY 06/17/2020 300.0 Call @ 0.52 Credit to avoid assignment on today’s short call.

Bought to close SPY 06/10/2020 304.0 Call / Sold SPY 06/17/2020 305.0 Call @ 0.08 Credit Plus a one point higher strike to avoid assignment on today’s short call.

#SPYLadder

SPY Ladder Roll

Bought to close SPY 06/08/2020 300.0 Call / Sold SPY 06/15/2020 300.0 Call @ 0.25 Credit to avoid assignment on today’s short call.
#SPYLadder

SPY Rolling Diagonal Call Ladder

Bought to close 1 SPY 06/03/2020 303.00 Call / Sold 1 SPY 06/10/2020 304.00 Call @ 0.34 Credit plus a point higher on the short strike.
(Avoiding assignment for the call due to expire today)
#SPYLadder

SPY Rolling Diagonal Call Ladder

Bought to close 1 SPY 06/01/2020 298.00 Call / Sold 1 SPY 06/08/2020 300.00 Call @ 0.30 Credit plus 2.0 points higher on the short strike.
(Avoiding assignment for the call due to expire today)
#SPYLadder