MarketNeutralOptions.com

16 June 2008 SPY (Standard & Poors Dep Rec) Iron Condor initiated on 29 May 2008 Trade Summary SPY at 136.86 (+0.68) 4 days to Jun expiration. Buy SPY Jun 136 Put Sell SPY Jun 134 Put For a net price of $0.63-0.65 Debit or better. Trade Analysis I’ve been waiting for a chance to close this trade and today proves to be the day. The market isn’t really showing a rally but it’s enough to turn this trade around. Because our risk is low for this kind of low risk/reward ratio (R3) iron condor, it is much easier to turn a loser into a winner. You can decide for yourself if you want to close up the call spreads as well to free up your margin for new trades. We intiated this trade for $0.93 credit and now we are buying back the put spread for $0.65 debit. If nothing goes wrong and the call spreads expire worthless come Friday, we’d have made $28 per entry. This is about 26.17% profit [28/107 X 100%]. Good trading, Gary **********************Trade History*************************** 30 May 2008 Most auto-trade subscribers with thinkorswim didn’t get filled on this SPY iron condor yesterday. Seems like I’m may be the only lucky one around. I was filled at $0.93 just a few minutes before you received this advisory alert. I’ve instructed the auto-trade desk to try for this trade again at $0.90. It is hovering around $0.89 to $0.91 since market opened. I hope we can get it at $0.90. Those of you with auto-trade should be able to see this trade as a working order. Those of you who simply can’t get it yesterday at $0.93 can try again today at $0.90. A bit lower than yesterday but it’s still a good trade. Good trading, Gary ************************Trade History**************************** 29 May 2008 SPY (Standard & Poors Dep Rec) Iron Condor initiated on 29 May 2008 Trade Summary SPY at 140.81 (+1.51) 22 days to Jun expiration. Sell SPY Jun 143 Call Buy SPY Jun 145 Call Sell SPY Jun 136 Put Buy SPY Jun 134 Put For a net price of $0.93-$0.95 Credit or better. Total margin required/total risk: $107 per position. Trade Analysis This is the fourth trade for June to date and most probably the last. This is our last shot for more returns. I try to have at least one such low-probability, high return trade every month. As you can guessed, high returns means low probability of success. In fact, the probability that this trade will work out profitable stands at about 52.27% at the moment (see the P&L chart below). We are risking $107 to make $93, that gives us a low risk/reward ratio (R3) of 1.15. The breakeven points are at 143.93 on the upside and 135.07 on the downside. This trade can potentially make close to 100% profit. Because we are risking almost $1 for $1, we can be a little more flexible with our risk management style. We can afford to be a little more patient with this trade. I believe this is a good trade at this moment because we are short 143 call and if you look at the daily chart of the SPY, you can see that 143 is the previous high on 19 May. Also the 200-day MA will be a hard resistance to break. For the downside, we are short the 136 put. And again if you pull out the SPY daily chart, you can see the immediate support level at the 137-138 level. Of course, I’m aware that the market can move very quickly and by a great margin. With the good credit that we are collecting for this trade and how the support and resistance levels are on our side, this is a trade that I believe is worth our trouble. I’ll be monitoring this trade closely and keep you posted. Good trading, Gary Founder, Head Trader of MarketNeutralOptions www.MarketNeutralOptions.com Please note: All MarketNeutralOptions Advisory emails are price sensitive. Therefore, all recommendations, unless otherwise noted, are applicable for ‘DAY’ orders only, not good-till-cancelled. If a recommendation cannot be filled, we may choose to resend the email the following day along with any modifications. *******Options involve risk and are not suitable for all investors. ********

16 Jun 2008 RUT (Russell 2000 Index) Iron Condor initiated on 22 May 2008 Trade Summary RUT at 737.98 (+4.37) 3 days to Jun expiration. Buy RUT Jun 690 Put Sell RUT Jun 680 Put For a net price of $0.20 Debit or better. Trade Analysis This trade would have been a nice big winner if not for the adjustment on 5 June. Immediately after we adjusted, the market crashed big time. In fact, the RUT got so low to a point that we almost have to adjust our put side! Let’s take a step back to review our actions to see if I have committed any unnecessary mistakes. When I put up this trade on 22 May, I set up a mental stop at 750 and 720 levels, which are about 5% away from our short strikes. On 5 June, the RUT rallied up strongly and breached the 750 mark. With the risk of the RUT advancing higher after the rally, I decided to reduce the upside risk by buying back the call spreads. At that point, this seemed like the wise thing to do. Then came the crash the following day on 6 June. In all honesty, I did not forsee and could not have predicted the crash just the day after the major rally that managed to close above a major resistence. That crash on Friday made our adjustment just the day before looked silly and redundant. If we hadn’t made the adjustment on 5 June, we would have profited nicely with this trade. This iron condor did not perform well mainly due to the uncommon price actions. We had a plan and we acted on our plans when the need arose. I think I’ll still make the call to adjust on 5 June even if we can turn back time. Even though this trade didn’t work out too well, it didn’t lose money! We sold this iron condor for $2.10 credit on 22 May, we bought back the call spread on 5 June for $1.75 debit (I got it at $1.90!) and today we are closing the entire trade by buying the remaining put spreads for $0.20. Those of you on auto-trade in fact made a tiny weeny profit of $15 per entry. Percentage wise, all auto-trade participants made 1.9%. After commission, we are almost flat for this trade. Since this trade didn’t work out the way it should and the profit is insignificant, this trade will be free of charge for your June’s bill. It’s a pity we didn’t make money with this trade. However, it is more fortunate that we didn’t lose money in such market conditions. Good trading, Gary ****************************Trade History******************************** 5 Jun 2008 RUT (Russell 2000 Index) Iron Condor initiated on 22 May 2008 Trade Summary RUT at 758.94 14 days to Jun expiration. Buy RUT Jun 780 Call Sell RUT Jun 790 Call For a net price of $1.80-1.90 Debit or better. [all tos auto-trade participants were filled at $1.75 (I got mine at $1.90!)] Trade Analysis Just yesterday the RUT was stopped promptly near the 750 level (the 200-day MA level). With great strength, the RUT crossed the 200-day MA when the market opens earlier today. Our alarm of 750 was activated earlier today. Once the 200-day MA is broken, the RUT can easily advance higher in the coming days. Pull out a RUT daily chart and you can see that the 200-day MA is the last resistance level. Once it clears the 200-day MA, the space above provides a void that can be easily filled up. While I am unable to predict if the RUT will indeed go higher or today’s action is a fake breakout, the ease that RUT can break a major resistance makes me uncomfortable with this call spread. Our alarm was triggered and after looking at the price-action and technical aspect, I decided it would be wise to close up this call spread now before we incur any significant loss. As I’m typing this analysis now (14:15 EST), the RUT is starting to make a U-turn. So it will be interesting to see if the RUT will close above the 200-day MA today. This same call spread is trading at $1.70 now. I was filled at $1.90! Hopefully you guys out there can get it at a better price than me! We still have another RUT iron condor for June. The alarm for that condor has not been activated. Let’s hope it stays that way. The rest of our positions are looking pretty healthy at the moment. Market has been rather choppy and unpredictable lately. We’ll see how things go on from here. Good trading, Gary *******************Trade History************************** 22 May 2008 RUT (Russell 2000 Index) Iron Condor initiated on 22 May 2008 Trade Summary RUT at 733.53 28 days to Jun expiration. Sell RUT Jun 780 Call Buy RUT Jun 790 Call Sell RUT Jun 690 Put Buy RUT Jun 680 Put For a net price of $2.10 Credit or better. Total margin required: $790 per entry. Trade Analysis This is our second RUT iron condor for June. It is essentially the same iron condor that we initiated on 14 May except that the call spread is one strike lower. For the 14 May iron condor, we were short Jun 790 and long Jun 800 call spread. Note that now we are shorting the Jun 780 call and buying Jun 790 call. This will lead to a cancellation of the Jun 790 calls. We were short Jun 790 calls for the 14 May condor and we are long Jun 790 calls for this condor. If you have entered the same number of positions for both condors, you will see that you have a net zero position for Jun 790 calls. The best way to deal with this is to view these two condors as two separate trades. Keeping a trade journal will be the best idea. Anyway, let’s talk about this trade. We are risking $790 to make $210 with a probability of success of about 70.5%. Our risk/reward ratio (R3) is 3.76 [790/210]. As you can see from the P&L chart, our breakeven point is 782.1 on the upside and 687.9 on the downside. This trade currently has a delta of -0.48, which is very neutral at the moment. Because we are risking more than 3 times of we can possibly make from this trade, we have to be very careful that we do not suffer the maximum loss. Although the maximum loss is defined and fixed, we definitely don’t want to lose $790 to try to make $210. As such, we have to be ever ready to perform any adjustments when the need arises. Adjustments are something we try to avoid altogether because it normally means increasing the risk as well as lowering the potential reward. However, many times adjustments can turn a losing trade into an eventual winner. Although I don’t plan for this trade to fail, we have to start thinking about the “what ifs”. Similar to the previous RUT iron condor, we shall set our mental alarm to about 30 points away from our short strikes. Since we are short 780 call, our mental alarm should be set up at 750. Likewise, since we are short 690 put, our mental alarm shall be at 720. When the RUT trades above 750 or below 720, we should brace ourselves for some adjustments. So watch out for these two levels and hopefully, the RUT will trade between this two levels for the coming weeks! Gary Founder, Head Trader of MarketNeutralOptions www.MarketNeutralOptions.com

11 Jun 2008

RUT (Russell 2000 Index) Iron Condor initiated on 14 May 2008

Trade Summary

RUT at 725.74 (-6.88)
8 days to Jun expiration.

Buy RUT Jun 790 Call
Sell RUT Jun 800 Call
Buy RUT Jun 690 Put
Sell RUT Jun 680 Put

For a net price of $1.00 Debit or better.
Profit or Loss: +$135 per entry.

Trade Analysis

Although the alarm we set up for this trade hasn’t been tripped, it seems like a good idea to take the profit off the table before it becomes a loss. The market has be volatile to say the least. Price actions are wild and swing by a large margin from day to day. As such, our alarm of 720 can be easily breached in a single day and our profit will become a loss by then.

We sold this iron condor for $235 with a margin of $765 and now we’re buying it back at $100. We made $135 profit for this trade. That is a 17.65% profit. Not as good as what I expected but it is a profit nevertheless.

As such, this trade will cost you $17.65 for your June’s bill.

We are trying to close up the remaining positions as and when the market permits.

We’ll be in touch again soon!

Good trading,

Gary

**********************Trade History************************

14 May 2008

RUT (Russell 2000 Index) Iron Condor initiated on 14 May 2008

Trade Summary

RUT at 743.50 (+6.64)
36 days to Jun expiration.

Sell RUT Jun 790 Call
Buy RUT Jun 800 Call
Sell RUT Jun 690 Put
Buy RUT Jun 680 Put

For a net price of $2.35 Credit or better.
Total margin required: $765 per entry.

Trade Analysis

This is our second iron condor trade for June. For this iron condor we are risking $765 to make $235 for every entry. This gives us a risk/reward ratio (R3) of 3.26. As we can see from the P&L chart below, this trade has a probability of about 69.85% to be successful.

This condor has a slightly negative delta of -1.68, which will be somewhat beneficial since the RUT is going to face its 100-day moving averages and looks set to have a correction soon. Our breakeven points are at 792.35 on the upside and 687.65 on the downside.

Since we are short the 790 call and the 690 put, we shall set our mental stop at the 760 and 720 level. This 30-point buffer is about 4-5% of current price and will offer us time and space to decide on the appropriate adjustment strategies.

As long as the RUT trades between these 100 points, we should have a winner with this trade.

Good trading,

Gary

Founder, Head Trader of MarketNeutralOptions
www.MarketNeutralOptions.com

19 Jun 2008

SPX (S&P 500 Index) Iron Condor initiated on 13 May 2008

Trade Summary

SPX at 1334.44 (-3.37)
0 days to Jun expiration.

Do nothing, let remaining call spreads expire worthless.

Profit or Loss: +$45 per entry.

Trade Analysis

There is no point in buying back the remaining call spreads for $0 even if you can manage to get filled. The SPX is currently trading at about 24 points away from our short put strike. If we hadn’t made the adjustment on 12 June, we could be buying the put spread back today at about $0.60 debit, which will increase the profitability of this trade.

Well, we didn’t make much from this trade, but at least we didn’t lose anything. Let’s hope all our trades for July will do better!

This trade made $45 using $800 of margin, which means that this trade made a mere 5.63%. As such, this trade will cost you $5.63 for your June’s bill.

Good trading,

Gary

***************************Trade History****************************

12 Jun 2008

SPX (S&P 500 Index) Iron Condor initiated on 13 May 2008

Trade Summary

SPX at 1350.12 (+14.62)
7 days to Jun expiration.

Buy SPX Jun 1310 Put
Sell SPX Jun 1300 Put

For a net price of $1.55-$1.60 Debit or better.

Trade Analysis

I’m not sure how long this bullish rebound will last. Chances are high that the market will resume its downtrend after a while. So I feel that it’ll be wise to eliminate our downside risk for this trade and take our profit off the table while we can.

Our intial alarm was set at 1370. As you can tell, we have long crossed that line. I was waiting for a chance to get out of our put spread and today seems like a good chance.

We still have a put spread left over from the RUT iron condor intiated on 22 May and the SPY iron condor initiated on 29 May.

We should not have too high an expectation for this month and should be happy if we can even get our of June with a small profit. So far so good. We managed to lock in 17.65% profit with the 14 May RUT iron condor. It is very likely that we’ll simply let this remaining SPX call spread expire worthless next week. If nothing goes wrong, we are likely to lock in some tiny profit from this SPX iron condor.

For the remaining positions, rest assured that we’ll try our best to avoid any losses at all. After all, I have these same positions on like many of you!

Take care out there folks!

Good trading,

Gary

*********************Trade History*************************

13 May 2008

SPX (S&P 500 Index) Iron Condor initiated on 13 May 2008

Trade Summary

SPX at 1399.57 (-4.02)
37 days to Jun expiration.

Sell SPX Jun 1485 Call
Buy SPX Jun 1495 Call
Sell SPX Jun 1310 Put
Buy SPX Jun 1300 Put

For a net price of $2.00 Credit or better. [All tos auto-trade participants were filled at $2.00.]
Total margin required: $800 per entry.

Trade Analysis

This is our first trade for June. We’ve been queuing for the past two days to initiate some new positions for June but we simply can’t get filled. As I speak, I have another working order waiting to be filled.

We are risking $800 to make $200. This give us a risk/reward ratio (R3) of 4. As you can see from the P&L chart below, this iron condor has a probability of 73.23% of being successful.

The breakeven points for the iron condor is at 1487 on the upside and 1308 on the downside. This condor is current flat, having a delta of a mere -1.06 per position.

Since we are short the 1485 call and 1310 put, we shall set out mental stop at about 60 points away from our short strikes: at 1425 and 1370.We should be alert and ready for any adjustments when SPX trades pass our mental stops.

I will keep you posted and informed about any necessary adjustments in the coming days. Let’s hope that we don’t have to adjust anything for June!

Good trading,

Gary

Founder, Head Trader of MarketNeutralOptions
www.MarketNeutralOptions.com

8 May 2008

SPX (S&P 500 Index) Iron Condor initiated on 17 Apr 2008

Trade Summary

SPX at 1397 (+4.57)
7 days to May expiration.

Buy SPX May 1455 Call
Sell SPX May 1465 Call
Buy SPX May 1280 Put
Sell SPX May 1270 Put

Close remaining complete iron condor.

For a net price of $0.25-0.30 Debit or better.

Trade Analysis

We decided to close this trade for $0.30 to free up our margin to be ready for the upcoming trades for June. I see not much value to hold up our margin for another $5-$10. This iron condor didn’t work as well as we hoped it would but nevertheless, it is still a profitable trade.

We initiated this iron condor on 17 April for $2.15 credit. We close half our call spreads for $1.35 debit on 29 April to reduce our upside risk. The put spreads left over by this adjustment is still open.

After the 29 April adjustment, we were left with the 1445/1455 call spreads and double the number of 1280/1270 put spreads. On 2 May, we rolled up our remaining call spreads. After the roll, we were left with:

-1 May 1455 call
+1 May 1465 call
-2 May 1280 put
+2 May 1270 put (assuming you put on 2 entries in the beginning).

Today, we close the 1455/1465/1280/1270 iron condors. We will let the remaining 1280/1270 put spreads expire worthless next week.

I’ll send a final report on this trade after expiration.

Good trading,

Gary

P/s: The price for this close suddenly spiked after I sent out the email alert. I personally got filled at $0.30 just moments ago. We’ll wait for $0.30.

*****************************Trade History******************************

2 May 2008

SPX (S&P 500 Index) Iron Condor initiated on 17 Apr 2008

Trade Summary

SPX at 1408.77 (-0.57)
13 days to May expiration.

Buy SPX May 1445 Call
Sell 2X SPX May 1455 Call
Buy SPX May 1465

Roll the remaining call spreads up. Enter this trade as a butterfly.

For a net price of $0.80 Debit or better. [All tos auto-trade participants were filled at $0.80]

Trade Analysis

Market is not showing obvious signs of direction. It seems like it can’t decide which way to go. Just look at today’s action and you’ll know what I’m talking about. The Fed rally was really a bull trap but the rally yesterday (the day after) was definitely a shock to the bears!

I suspect the market may take a while to decide which way to go and at the mean time trade in a small range. This was why this decision to roll up our call spread was a difficult decision. I set a mental stop at 1410, which is 35 points away from our short call of 1445. SPX trades above 1410 and then below, basically hovering around that region. So the question came in and out: “to adjust or not to adjust?”

I decided to play on the safe side and roll up our call spread by 10 points. No doubt this roll will reduce our credit collected by $0.80 and in turn increase our risk exposure by the same amount. But I feel that in this kind of uncertain market condition where moves are unexpected and wide, it is always a good idea to play safe. Another 20 or 30 points of up move will turn this profitable trade into a loser. A smaller profit is always better than a loss. I’m sure everyone agrees with that.

Also, with this roll, we all can enjoy our weekend without worrying about this position!

Have a great weekend!

Gary

*********************Trade History******************************

29 Apr 2008

SPX (S&P 500 Index) Iron Condor initiated on 17 Apr 2008

Trade Summary

SPX at 1392.13 (-4.24)
16 days to May expiration.

Buy HALF SPX May 1445 Call
Sell HALF SPX May 1455 Call

Close HALF of all call spreads you have. For example, if you have 10 positions for this trade, close 5 of your call spreads. If you have only 1 position for this trade, close the call spread.

For a net price of $1.35-$1.40 Debit or better.

Trade Analysis

Similar to the RUT iron condor we adjusted just moments ago, this SPX iron condor is making me a little uncomfortable. The SPX had been trading above our mental stop of 1385 for a couple of days now. But it is still about 50 points away from our short call of 1445.

I believe it will be a good idea to close up half of the call spreads that we have to eliminate half the upside risk while at the same time avoid being stopped out prematurely.

We’ll set up a new mental stop at about 1410. We’ll close up the remaining call spreads once SPX trades pass 1410. By reducing our upside risk by half, we are also locking a some profit which we can use for further adjustments when the need arises.

Good trading,

Gary

*******************************Trade History*********************************

17 Apr 2008

SPX (S&P 500 Index) Iron Condor initiated on 17 Apr 2008

Trade Summary

SPX at 1361.78 (-2.85)
28 days to May expiration.

Sell SPX May 1445 Call
Buy SPX May 1455 Call
Sell SPX May 1280 Put
Buy SPX May 1270 Put

For a net price of $2.05-$2.15 Credit or better. [All tos auto-trade partcipants were filled at $2.05]
Total margin required: $795 per entry.

Trade Analysis

This is our fourth trade for May and mostly likely to be the last for May. I got filled at $2.15 credit. Then the price dropped to $2.00 and now, as I’m typing this commentary, it is at $2.35! Hopefully those of you who are not auto-traders can manage to get a good fill. $2.15 or more is as good as it can get for now. For those of you under auto-trade, $2.05 is still a good trade.

For this iron condor, we are risking $795 to make $205. This gives us a risk/reward (R3) reading of 3.88 [795/205]. As you can see form the P&L chart, this trade has a 70.65% chance of being successful.

Our breakeven points are 1447.05 on the upside and 1277.95 on the downside. Since we are risking significantly more than what we can make, with R3 more than 3, we must adopt a more stringent risk management style.

Since we are short 1445 and 1280, we will set our mental stop or alarm at about 60 points away, which is about 5% of the SPX. As such, our alarms should be set at 1385 and 1340. We should be alert and ready to adjust this trade when the SPX breaches any of these levels.

As you can see from the daily chart above, our alarm levels are set at a rather tight range. As such, we may delay making any adjustment when the SPX triggers the alarms to avoid being stopped out prematurely. As long as the SPX trades within these 165 points for the next 29 days or so, we should have a good outing with this iron condor.

Good trading,

Gary

Founder, Head Trader of MarketNeutralOptions
www.MarketNeutralOptions.com

12 May 2008

IWM (iShares Trust Russell 2000 ETF) Iron Condor initiated on 16 Apr 2008

Trade Summary

IWM at 72.8 (+1.3)
4 days to May expiration.

Buy IWM May 73 Call
Sell IWM May 75 Call
Buy IWM May 68 Put
Sell IWM May 66 Put

For a net price of $0.64 Debit or better. [all tos auto-trade participants were filled at $0.64]
Profit or Loss: +$35 per position.

Trade Analysis

We could have closed this trade last Friday for an additional $0.10-$0.20 profit. I decided to close this now to lock in whatever profit we have at this point. Who knows where the market will go next and we are a mere $0.20 from our short call of 73. I believe it is wise for us to end this trade now and move on before this trade loses more of its profits.

We entered this trade for a $99 credit per position. We are buying back this trade for $0.64 debit. We made $35 per position. This trade makes 34.65% [35/101 X 100%]. As such, this trade will cost our regular subscribers $34.65 for May.

All we are left with for April’s expiration are only the unclosed put spreads from the 15 Apr RUT iron condors and 17 Apr SPX iron condors. More specifically, we should have equal number of short RUT May 630 puts and long RUT May 620 puts from the 15 Apr RUT iron condors and equal number of short SPX May 1280 puts and long SPX May 1270 puts from the 17 Apr SPX iron condor.

Please check that you have the unclosed options I pointed out.

Good trading,

Gary

***************************Trade History*****************************

16 Apr 2008

IWM (iShares Trust Russell 2000 ETF) Iron Condor initiated on 16 Apr 2008

Trade Summary

IWM at 70.61 (+1.6)
30 days to May expiration.

Sell IWM May 73 Call
Buy IWM May 75 Call
Sell IWM May 68 Put
Buy IWM May 66 Put

For a net price of $0.99 Credit or better.
Total margin required: $101 per position.

Trade Analysis

This is our first low risk/reward ratio (R3) trade for May. We are risking $101 to make $99 for each entry we put in. This gives us a R3 reading of 1.02, which means that our risk and reward are on par. As the P&L chart below shows, this trade has a probability of about 50% to be successful.

Our breakeven points for this trade is 73.99 on the upside and 67.01 on the downside. This nearly 7 IWM points wide profitable range is similar to 70 points on the RUT. As long as the RUT trades within these 70 points in the next 30 days, we can easily have a winner.

To be honest with you, I’m not very keen to initiate a low probability iron condor such as this one in the current uncertain market conditions even though the R3 is very attractive. However, a look at the daily chart of IWM made me believe that this trade might just have a good chance of being successful.

Looking at the daily chart of IWM, the immediate resistance level of 72 and the immediate support level at 68. We can also see how IWM had traded between the two levels for the past weeks.

Because we are risking almost $1 for $1, we can adopt a more flexible risk management strategy. Because our R3 is low, we have a lower probability of success (around 50%), we also have a narrower profitable range. As such, we want to be careful of being stopped out prematurely. In such cases, I’ll not use a mental stop or alarm to manage this trade. I’ll instead look at the price. Since we’re in this for $0.99 per trade, we should be ready to get out when the price of this trade reaches $1.20 or more. Commission costs are generally higher for these low R3 iron condor due to the large number of orders one may put in. Therefore, we really don’t want to be facing the maximum loss.

Since the market outlook is nothing but volatile, we may choose to terminate this trade earlier to lock in any decent profits that we have collected.

We will keep a close look at this trade and inform you according when there is a need to do anything.

Good trading,

Gary

Founder, Head Trader of MarketNeutralOptions
www.MarketNeutralOptions.com

29 Apr 2008

RUT (Russell 2000 Index) Iron Condor initiated on 15 Apr 2008

Trade Summary

RUT at 718.83 (-6.49)
16 days to May expiration.

Buy RUT May 750 Call
Sell RUT May 760 Call

For a net price of $1.45 Debit or better. [all tos auto-trade participants were filled at $1.44.]

Trade Analysis

As you should know by now, the market is all priced in for the expected rate cut tomorrow and the expected statement that will come with it. We already know that much, even the wording of the statement are being rehearsed on various news website. The only biggest unknown is the market’s reaction to the “news”.

I was hoping we don’t have to make any adjustments but it seems that that will be too much a risk to take. We already know that there will be a big move tomorrow. The only problem is we don’t know which way.

The trouble with this iron condor is that the RUT is trading very near our mental stop of 720. In fact, it traded past 720 yesterday. There seems to be a strong resistance at 720-730 area. But there is a lack of selldown today despite hitting the resistance yesterday. In fact, market is showing some reluctance to go lower now. As such, I feel that there is a chance that RUT will continue higher after the Fed tomorrow.

I decided that to close up our call spread to lock in some profits at this moment is a wise thing to do. We don’t want to be overly expose to upside risk at this point.

I’ll inform you again if there is a need to do anymore adjustments for our remaining 3 positions.

Good trading,

Gary

**************************Trade History***************************

15 Apr 2008

RUT (Russell 2000 Index) Iron Condor initiated on 15 Apr 2008

Trade Summary

RUT at 686.42 (+0.35)
30 days to May expiration.

Sell RUT May 750 Call
Buy RUT May 760 Call
Sell RUT May 630 Put
Buy RUT May 620 Put

For a net price of $2.25 Credit or better. [all tos auto-trade participants were filled at $2.25]
Total margin required: $775 per entry.

Trade Analysis

This is our second RUT iron condor for May. The first one was initiated on 8 April. We are risking $775 to make $225 per entry for this trade. This gives us a risk/reward ratio (R3) reading of 3.44 [775/225]. This iron condor has a very neutral delta of -0.12 at the moment. As you can see from the screenshot below, this trade has more than 70% chance of being successful.

Our breakeven points for this trade are at 752.25 on the upside and 627.75 on the downside. As long as the RUT trades between these 120 points for the next 30 days or so, this trade will be a winner. But of course being a high R3 iron condor, we have to be more pro-active in our risk management to ensure that we will not suffer the maximum loss. In fact we don’t even want to get close to it. Way before the RUT gets close enough to cause any serious damage to our account, we should have adjusted or gotten out of the losing trade.

We should set a mental stop at about 30 points (which is about 5%) away from our short strikes. Since we are short 750 and 630, our mental stop or alarm should be at 720 on the upside and 660 on the downside. When RUT trades pass these alarms, we should reassess the situation and be ready to adjust or close this trade.

As you can observe from the chart below, our alarm at the 720 level is also the prior highs, which now acts as immediate resistance. For support, we are looking at the 650 level since it was the prior lows.

How we will adjust when the time comes all depends on the market conditions then. Hopefully we don’t have to adjust anything for May so we can keep most of the credit.

We’ll be in touch.

Gary

Founder, Head Trader of MarketNeutralOptions
www.MarketNeutralOptions.com

5 May 2008

RUT (Russell 2000 Index) Iron Condor initiated on 8 Apr 2008

Trade Summary

RUT at 724.28 (-1.48)
10 days to May expiration.

Buy RUT May 780 Call
Sell RUT May 790 Call
Buy RUT May 650 Put
Sell RUT May 640 Put

For a net price of $0.25 Debit or better.
Profit or loss: +$205 per entry.

Trade Analysis

This condor is ready for harvest. We’re in this trade for a total of 27 days and came out with a $205 profit per entry. This is a return of 26.62% [205/770]. As such this trade will cost you $26.62 for your May’s bill.

We still have 3 more open positions. We will be entering new trades for June in the coming days. We’re now about 45 days away from June expiration. You should be hearing from me soon.

Good trading,

Gary

************************Trade History*******************************

8 Apr 2008

RUT (Russell 2000 Index) Iron Condor initiated on 8 Apr 2008

Trade Summary

RUT at 710.18 (-2.50)
37 days to May expiration.

Sell RUT May 780 Call
Buy RUT May 790 Call
Sell RUT May 650 Put
Buy RUT May 640 Put

For a net price of $2.30 Credit or better. [all TOS auto-trade participants were filled at $2.30]
Total margin required: $770 per entry.

Trade Analysis

This is our first shot for May in this volatile market. If you have too much of your funds locked up in trades for April to participate in this new trade, you may choose to close up some of the remaining puts spreads from the 7 Mar RUT iron condors to free up your margin. However, please inform your broker of your actions if you are on auto-trade.

This trade is currently very neutral, with a delta of -0.20. Our breakeven points are 782.3 on the upside and 647.70 on the downside. I suspect that it may take a while for you to get filled for this trade because I had my order queued for more than 2 hours! So be patient, as long as the mid-price is trading at or above $2.30, you have a good chance of getting it. To increase your chance of getting filled quicker, you may try lowering your price by $0.05 or $0.10.

We have about slightly more than 70% chance of being profitable with this trade currently. We are risking $770 to make $230 for each position we enter. As such, this trade has a risk/reward ratio (R3) of 3.35 [770/230]. We have a profitable range of about 130 RUT points. As long RUT trades between these 130-point range, we’ll have a winner.

The market hasn’t been moving much since the 1st April rally. Whether or not this rally will turn out to be an April fool’s joke we’ll have to wait and see. Not forgetting that the earnings season has just started. So we expect some wild swings in the coming weeks.

Looking at the daily chart of RUT, we can see how the market has been digesting the 1st April rally. That rally and the lack of any substantial pullback immediately after the rally turned the short and near term outlook bullish. However, do note that we are still in a longer-term bearish market. What we are seeing today as well as yesterday was the first testing of the critical 100-day MA resistance level. Today’s market close should provide us some hint as to whether the near-term bullish sentiment is sustainable.

Since this trade has a R3 of more than 3, we have to be pro-active in our risk management for this trade. We will set up a mental stop at 750 and 680 levels, which are 30 points away from our short strikes. These 30 points buffer will provide us time and space to activate our adjustment plans.

We will have a few more set-ups for May coming soon. We still have 4 open positions for April. 2 of the untouched trades are currently showing good profits. (The SPX IC initiated on 19 March and the RUT IC initiated on 26 March.) We’ll close them as soon as we have squeezed the most of their value out.

We’ll be in touch.

Good trading!

Gary

Founder, Head Trader of MarketNeutralOptions
www.MarketNeutralOptions.com

14 Apr 2008

RUT (Russell 2000 Index) Iron Condor initiated on 26 Mar 2008

Trade Summary

RUT at 693.67 (+5.50)
3 days to Apr expiration.

Buy RUT Apr 750 Call
Sell RUT Apr 760 Call
Buy RUT Apr 640 Put
Sell RUT Apr 630 Put

For a net price of $0.20 Debit or better.
Profit or Loss: +$210 per entry.

Trade Analysis

When we entered this trade about 19 days ago, RUT was trading at 697.28. Today, 19 days later, RUT was trading at 693.67. This is a good example of how an iron condor should work. Even though the month of April will be officially over only on this Friday, we can more or less start calculating our results for April.

I don’t know about you, but I’m personally quite please with April’s results. Even though we have 2 losers and 2 winners, our losses are small. One of the wins can easily more than cover the two losses.

This trade made $210 per entry. That is a 27.27% profit [210/770 X 100%]. Therefore, this advisory will cost you a mere $27.27 for the month of April.

We are currently in the queue for more trades in May. We’ll be in touch once we are filled at our target price.

Good trading,

Gary

*********************Trade History***************************

26 Mar 2008

RUT (Russell 2000 Index) Iron Condor initiated on 26 Mar 2008

Trade Summary

RUT at 697.28 (-7.99)
22 days to Apr expiration.

Sell RUT Apr 750 Call
Buy RUT Apr 760 Call
Sell RUT Apr 640 Put
Buy RUT Apr 630 Put

For a net price of $2.30 Credit or better. [tos auto-trade participants were filled at $2.32]
Total margin required: $780 per entry.

Trade Analysis

Needless for me to say, the market is very unpredictable at the moment. This market is not for the faint-hearted. This is our forth trade for April. It is also most probably the last for April. I had a hard time deciding whether or not to put up this trade because of the wild market movements. In a jittery and uncertain market like this one should really trade lightly and keep a closer look at the existing positions. However, a deep analysis shows that this trade is in fact a better trade than some of the existing ones we have.

For this iron condor, we are risking $780 to make $230 per entry. That gives a a risk/reward ratio (R3) of 3.39 [780/230]. This R3 is slightly better than the last SPX iron condor we put up on 19 Mar. The probability of success is about 71%, which is slightly more that the usual 1 standard deviation (68%) that we aim for usually.

The break even points for this condor is 752.3 on the upside and 637.7 on the downside. It currently has a near zero delta of -0.94. As long as RUT trades within these 115 points for the next 22 days, this condor is a winner!

The recent wild swings made technical analysis rather irrelevant. However, we still use them as a guide for us to trace the possible terrain that RUT can possibly go to in the near future. We can see clearly from the daily chart that there seems to be a possible resistance area near the 720 level. We can also see that the 100-day MA (yellow line) is fast approaching the same resistance level. Note that the RUT crossed the 20 and 50-day MA in 1 single move on Monday. Will it do the same with the 100-day MA?

The basic in technical analysis says that once a resistance level is breached, it automatically becomes a support. With that concept in mind, we can see that the 20 and 50-day MA will now act as support levels as well as the prior highs of 680. Do note that in such highly volatile market, all it takes is just one long candle to mess up the charts and analysis. However, by going through the chart, we can have a clearer idea of where to look out for signs of trouble.

Because this iron condor has a R3 of 3.39, we should be pro-active in managing this position. Since we are short 750 call and 640 put, we should set our alarm at 720 and 670, which are 30 points away from our short strikes. 30 points is roughly about 5% of current price. When RUT trades near or pass these alarms, we should be ready to adjust or close this trade. It is hard to tell which side the market to go at this moment. We are generally bearish on the medium to long term. But our trading philosophy is to stay neutral in the short term.

Do note that the call spread of this iron condor trade will cancel out the call spread of another RUT iron condor that we initiated on 7 Mar. For the iron condor initiated on 7 Mar, we were short Apr 740 call and long Apr 750 call. For this iron condor, we are short Apr 750 call and long Apr 760 call. If you have entered the same number of position for each of these condors, you will find that you no longer have any more Apr 750 call positions. Do not be alarmed. The best way to deal with this is to see each trade individually. Maintain a trade journal to record each trade you put in will help.

Hopefully we don’t have to adjust anything for our Apr positions.

We’ll be in touch!

Gary

Founder, Head Trader of MarketNeutralOptions
www.MarketNeutralOptions.com

9 Apr 2008

SPX (S&P 500 Index) Iron Condor initiated on 19 Mar 2008

Trade Summary

SPX at 1356.55 (-9.96)
8 days to Apr expiration.

Buy SPX Apr 1420 Call
Sell SPX Apr 1430 Call
Buy SPX Apr 1200 Put
Sell SPX Apr 1190 Put

For a net price of $0.45 Debit or better.
Profit or loss: +$175 per entry.

Trade Analysis

We decided to close up this iron condor a little earlier than usual for a few reasons. First being the current uncertainty in the market. Get out now and lock in the profit sounds very appealing at the moment. Even though we normally try to close our condors at around $0.20-0.30 debit, we are happy to get it back at $0.45 with a faster fill. Lastly, we want to free up our funds for new trades in May.

The profit we made from this trade is more than enough to cover the small losses we suffered from 2 other trades which we adjusted earlier (we lost $15 per entry on the RUT IC initiated on 7 Mar and $30 per entry on the SPY IC initiated on 11 Mar). This iron condor made $175 per entry, that is a 22.44% profit [175/770 X100%]. Therefore, this trade will cost $22.44 for you April’s bill.

We are on the lookout for good trades for May and will be in touch when we can get it.

Good trading,

Gary

***************************Trade History***************************

19 Mar 2008

SPX (S&P 500 Index) Iron Condor initiated on 19 Mar 2008

Trade Summary

SPX at 1319.21 (-11.68)
29 days to Apr expiration.

Sell SPX Apr 1420 Call
Buy SPX Apr 1430 Call
Sell SPX Apr 1200 Put
Buy SPX Apr 1190 Put

For a net price of $2.20 Credit or better. (all tos auto-trade participants were filled at $2.20 credit)
Total margin required: $780 per entry.

Trade Analysis

This is our first SPX trade in quite a while. This is because we always can’t get fill a SPX trade! Despite we are only 29 days away from April expiration, we can still get a pretty decent credit for this iron condor due to the heightened IV.

This iron condor has a very neutral delta of -0.77 at the moment. The breakeven points for this iron condor will be 1422.2 on the upside and 1197.8 on the downside. This gives us effectively a profitable range of about 224 SPX points. As long as SPX trades between these 224 points for the next 29 days, we will have a profitable trade. The probability of success currently stands at 70.46%, which is slightly higher than the usual 1 standard deviation that we often use. In this volatile market, it’ll be useful to extend our probability of success by as much as possible.

The risk/reward ratio(R3) of this trade is 3.55 [780/220]. More specifically, we are really risking $780 to make $220 for every position we put up. Since R3 is more than 2, this trade is one that requires more pro-active risk management style. Because we are risking alot more than what we can make potentially, we must ensure that we’ll not suffer the maximum possible loss for this trade.

As such, it will be useful for us to set up alarms so that we know when we have to make adjustments. At the current price of 1319, a 5% move will be about 65 points. Since our short strikes are at 1420 and 1200, a 65 points-wide distance away from them will be 1355 [1420-65] and 1265 [1200+65]. We should keep a lookout when SPX trades pass these two levels. Normally, it will be sufficient to use a distance of 3 to 4%, however, given the current market conditions, it would be wiser to widen the buffer zone so that we can have more time and space to decide on what adjustments to make at that point. Whether we will close up the bleeding wing, or roll depends on the market conditions at that moment.

I will let you know the moment there is a need to adjust. No news from me usually means good news!

Good trading,

Gary

Founder, Head Trader of MarketNeutralOptions
www.MarketNeutralOptions.com