1) Enter half of the position size with 35-Days till expiration
2) Enter 2nd half only if the 5-day volatility profile looks good: No extreme action to one side in the past 10 days.
Extreme action is defined as 2 or more days in a row with over 0.5 standard deviations (on the 5-day volatility chart) This month, I entered both halfs, so it is a full allocation.
2 comments:
Hi Gustavo,
Just noticed you are trading Iron Condors. Not sure if you have seen Mark Wolfingers blog http://blog.mdwoptions.com/options_for_rookies/.
This gives excellent info mainly regarding risk management and his strategies for protection are well worth a look his 1x3x3 "kite spread" is especially good.
Cheers The Options Jedi
Thank you, I'll certainly check it out! I started trading options with Iron Condors and grew disappointed with their results since Mid 08..
That being said, I spent some time over the past few weeks researching for early signs of trouble and back tested the iron condors with such filters, with proper risk management these are very good strategies.
Take care,
Gustavo
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