MDY 30-Day Iron Condor (day-by-day review)

This is a review for my JUN/09 position. Note that risk management was followed with the caviat that I adjusted the $ levels once I added to the position.

In hindsight, the market moved up fast, but the biggest issue was lack of CALL contracts to properly hedge the small position. I tried incremental hedging with debit spreads and it didn't work.

I think adding the iron butterfly to bring theta back was a good idea, it didn't quite saved the trade, but gave it some more time to work itself out. As I become more experienced with iron butterflies, the over-hedging won't be an issue any longer.

Start: 05/20/09
End: 06/16/09
Duration: Aprox. 30 days
Result: -19.43%

05/20/09 - Started the trade slightly bearish

05/21/09

05/22/09 - Bearish stance paid off (first few days)

05/26/09 - 1.5 standard deviation up, P&L took a hit

05/27/09 - Market backed off

05/28/09

05/29/09 - MDY Got close to 1st hedging level. "...isn't a long contract that will cut my deltas in 1/2, the only alternative would cut it too much, since this position is very small, I will have to use a debit spread to cut the delta, hope I won't even need it, we'll see." In hindsight, this was a bad idea.

06/01/09 - "I hedged the position using debit spreads because there were no long contracts available to cut small deltas. It was very inneffective and as a result it hit max loss. I couldn't get out with no fills on the PUT side, so I hedged once again and will re-evaluate it Tomorrow."

06/02/09 - "The MDY trade is on hold pattern, the P&L somehow improved a bit Today. Once again, it makes no financial sense to leave the position on if it is not earning any money. I might add a calendar or pull it off the table." NOTE: It was no longer at max loss, spreads had come back down to mormal levels

06/03/09 - Started a recovery plan: Added an iron butterfly to bring theta back into the picture, considered the additional capital and adjusted profit & max loss levels.

06/04/09

06/05/09 - Had the game plan in advance helped me. The market opened gapping up, didn't have to freak out

06/08/09

06/09/09 - "The lack of upper CALL strikes on MDY has been a problem on this trade since a while back. Back when MDY fired up, I wanted to hedge the position but couldn't because there was no contract available to fine-tune the delta."

06/10/09 - Ended the day with negative Delta, not too much

06/11/09 - Over adjusted the Up-side, cut deltas by too much

06/12/09

06/15/09 - Started peeling off spreads

06/16/09 - Closed the trade, execution took $ down from 15% to 20% negative.