16 Feb 2007

Close Call spread for IWM Iron Condor initiated on 4 Jan 07

Trade Summary

IWM at 80.40
0 days to Feb expiration.

Buy IWM Feb 80 Call
Sell IWM Feb 82 Call

For a net price of $0.55 Debit or less.
Profit or Loss: $40 per entry.
Percentage profit: 40/105 X 100% = 38.10%.

Trade Analysis

We will close up only the call spread for this condor. Today is expiration and it's very unlikely that IWM will get anywhere close to our short put of 74. We can save on commissions doing this. Just yesterday, this same spread was selling at $0.95. Patience does pay off this time. We are now able to close this trade up for a profit. This is the last entry we have for Feb. We'll start to tabulate our performance soon and you shall receive our performance report and bill for the month of Feb over the weekend.

Gary

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

4 Jan 2007

IWM Iron Condor initiated on 4 Jan 07

Trade Summary

IWM at 77.81
43 days to Feb expiration.

Sell IWM Feb 80 Call
Buy IWM Feb 82 Call
Sell IWM Feb 74 Put
Buy IWM Feb 72 Put

For a net price of $0.95 Credit or better.
Total margin required: $105.

Trade Analysis

The sudden spike in IV provides more premium for trade like iron condor. We are making use of the current spike in IV to collect more premium. This is not very neutral at the moment, a delta of -8.08. However, it has a fantastic risk/reward. We are risking $105 to make $95 for each trade. The probability of success currently stands at 55.08%. With that probability, we are having an expected value of ($95X0.5508)+(-$105X0.4492) = $5.16. For each trade that we put up, we are theoretically making $5.16.

We are currently looking at closing up some of our profitable trades for Jan. How the market will turn up in the next couple of days is anybody's guess. Therefore, it would be wise to take and keep whatever we have on the table. We will be in touch soon!

Gary

Founder, Head Trader of MarketNeutralOptions
www.MarketNeutralOptions.com

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