Monday, March 17, 2014

K200 limited Strike Price a problem

The limited number of available Strike Price in K200 is a major problem to trade Iron Condor out-of-the-money.  It will be difficult to perform adjustment such as rolling out.

The K200 Options Specification says "Upon the admission of the options, at least 13 strike prices(six are in-the-money, one is at-the-money and six are out-of-the-money) shall be set at interval of 2.5 points for the three consecutive near-term month contracts".



Refer the the Option Chain as 17-Mar-2014 above.  There are only six out-of-the-money Strike Price for Put Options in May contracts.  There is no Delta 10 (-0.1000) or lower contract.  The lowest you get is 16 (-0.1615).

So, to trade Iron Condor for May contract, one may need to legging, start selling Call Spread first, then sell Put Spread when it is available.

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