Thursday, September 4, 2014

November 2014 K200 Iron Condor

Sep-4, I sold a K200 Call Spread 280/282.5 when K200 was at 263.42.

Details:
Buy K200 October 282.5 Call at 0.43 (Delta: 0.0770)
Sell K200 October 280 Call at 0.63 (Delta: 0.1076)

K200 at 263.42 (~16 points upside)

Credit received : 0.2 (KRW 100,000, before commission)
Max risk: 2.30 (KRW 1,150,000)
Margin: KRW 1,000,000
ROM: 10%
Days to expiration (DTE): 71


With the Sep-3: November 2014 K200 Put Spread, it forms an Iron Condor


Details:
Buy K200 October 282.5 Call at 0.43 (Delta: 0.0770)
Sell K200 October 280 Call at 0.63 (Delta: 0.1076)

K200 at 263.42 (~16 points upside) on Sep-4
K200 at 262.26 (~17 points downside) on Sep-3

Sell K200 October 245 Put at 0.78 (Delta: 0.1061)
Buy K200 October 242.5 Put at 0.59 (Delta: 0.0854)

Total Credit received : 0.39 (KRW 195,000, before commission)
Max risk: 2.11 (KRW 1,055,000)
Margin: KRW 1,000,000
ROM: 19.5%
Days to expiration (DTE): 71

Below is the chart as at close of Sep-4:


This the P&L Chart as at close of Sep-4:


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