8 Jan 2007

Close recommendation for IWM Double Diagonal initiated on 22 Nov 2006

Trade Summary

IWM at 77.06
10 days to Jan expiration.

Buy IWM Jan 82 Call
Sell IWM Jan 84 Call
Buy IWM Jan 76 Put
Sell IWM Jan 74 Put

For a net price of $0.40 debit or less.
Profit or Loss: +$40 per position.
Percentage Profit or Loss: 40/195 X 100% = 20.51%

Trade Analysis

We are closing up this trade to lock in our profit as well as reduce our exposure to this uncertain market. The broad market is still choppy and lack of a clear direction. As such, the IWM may have a major move up or down soon. We are currently showing a profit of about 20%. It is a good time to lock in our profit instead of risking it. With the IWM only about 1 point above our short put and only 10 days left to expiration, we are not comfortable with the risk/reward if we were to continue to hold on to this position.

We are currently looking at closing up some other recommendations. But we are not getting the orders filled. We will inform you the moment we can get the orders filled ourselves.

Good trading,

Gary

Founder, Head Trader of MarketNeutralOptions
www.MarketNeutralOptions.com

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

14 Dec 2006

Roll recommendation for IWM Double Diagonal initiated on 22 Nov 2006

Trade Summary

IWM at 79.12
13 days to Dec (Quarterly) expiration, 35 days to Jan expiration.

Sell IWM Jan 82 Call
Sell IWM Jan 76 Put
Buy IWM Dec (Quarterly) 82 Call
Buy IWM Dec (Quarterly) 76 Put

For a net price of $0.75 Credit or more.
Total margin required: roll.

Trade Analysis

We are rolling this double diagonal into a Jan iron condor for a total of $0.80 credit. Although IV has fallen greatly and the premium collected for this condor isn't wonderful, we are selling a condor with positive expected value. Our breakeven for this condor would be 75.2 and 82.8. The probability of IWM expiring between our breakeven in Jan is 61.75%. Thus we are having a positive expected value of $3.5 per trade (0.8X0.6175-1.20X0.3825). Because we are now risking $120 to make $80, we will be keeping a close look at this trade and we'll inform you as soon as we see a suitable time to close this trade.

Good trading,

Gary

Founder, Head Trader of MarketNeutralOptions
www.MarketNeutralOptions.com

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

22 Nov 2006

IWM Double Diagonal initiated on 22 Nov 2006

Trade Summary

IWM at 78.69
36 days to Dec (Quarterly) expiration, 58 days to Jan expiration.

Buy IWM Jan 84 Call
Buy IWM Jan 74 Put
Sell IWM Dec (Quarterly) 82 Call
Sell IWM Dec (Quarterly) 76 Put

For a net price of $0.05 Credit or more.
Total margin required: $195.

Trade Analysis

This is our first time using IWM (Russell 2000 index) for our Double Diagonal advisory. This trade offers very good risk/reward ratio and a very wide profitable range. As far as we're concern, we won't lose a cent before we roll this double diagonal into an iron condor. The current roll value using the standard Dec options is $1.30. If we can roll into an iron condor at this value, we'll have a very low-risk iron condor for Jan.

One very important thing to take note of this trade is that we're using the Dec Quarterly options for our short legs. The standard Dec options will expire in 23 days while the Dec Quarterly options will have another 36 days to expiration. So please make sure you use the right options.

We have a probability of 69.16% for IWM to expire between our breakeven in Dec, that is more than a standard deviation.

We will look for a suitable opportunity to roll this trade in the coming days.

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.
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