Closed: Nov 2017 Iron Condor + Dec Debit Spreads

Summary

Finally, after yet another break upwards, I closed the November 2017 Iron Condor to a full loss. Additionally, I closed the November "auxiliary" debit spreads for a tiny win.

DAX on November 1st 2017. Source Investing

All in all, all 2017 gains in my account were wiped out, while the index in gaining more than 16%. Some thoughts on this below.


Final trade results

With both Call legs in the money and two weeks-worth of time value, adding the credit obtained in the several adjustments done, the final result is -1.128€. 

Since the beginning of the year DAX is up 16% while I am back to square one with 0,05%.

All the trade details can be found here.

Type	Name	Open Date	DTE	Spot	P/L
Put Spread	ODAX Nov 2017 11000/10600	28/08/2017	81	12120	71,00 €
Put Spread	ODAX Nov 2017 11500/11100	11/09/2017	67	12400	73,50 €
Put Spread	ODAX Nov 2017 12000/11600	28/09/2017	50	12700	61,00 €
Put Spread	ODAX Nov 2017 12450/12000	10/10/2017	38	12950	60,00 €
Put Spread	ODAX Nov 2017 12800/12400	18/10/2017	30	13050	98,50 €
Put Spread	ODAX Nov 2017 13000/12600	27/10/2017	26	13230	118,50 €
Call Spread	ODAX Nov 2017 12800/13200	28/08/2017	81	12120	-1.611,50 €

Debit Spreads results

Type	Name	Open Date	DTE	Spot	P/L
Put Spread	ODAX Dec 2017 12650/12600	19/10/2017	57	12950	-38,00 €

Type	Name	Open Date	DTE	Spot	P/L
Call Spread	ODAX Dec 2017 13650/13600	19/09/2017	87	12535	70,75 €

A tiny gain here, the winner trade barely compensates the losing one.

Lessons learnt

Iron Condors can be frustrating

During the September expiration cycle, when it seemed that the index was about to suffer a nice decline, I closed a Credit Put Spread when it reached 30 delta, just to see it bounce up the day after.

So, when the November Iron Condor reached 30 delta, I chose to apply adjustments, with the results seen above (a loss four times bigger than in September).

Rolling up Put Spread leaves a lot of money behind

Every time I made and adjustment on the Put side, I could collect only 30-40% of the premium. Moreover, with the index continuously escalating, the implied volatility drops and the premium collected again is smaller and smaller. This slightly reduced the max loss figure while made the trade harder to land in the profit zone.

Auxiliary trades (debit spreads) help little

I tried to hedge the losing trade by opening a couple of debit spreads in December. They are of little help unless you place them considerably close to the money. And, in that case, they cost pretty much the same than closing the losing trade. Not mentioning the fact that they suffer from theta decay and have little chance of success.

I don´t think I will open any further trade in December unless the situation changes a lot. This was a nice setback but looking at the fact that risk is limited and I managed not to lose money this first year, I am happy with the lessons learnt.

Resources

• ODAX November 2017 Iron Condor Adjustment (VI)
• 2017 trades (so far)