The bulls took charge immediately after our new position entry, putting it into adjustment territory on Day #1.
I expected a rally today, but did not expect a move of almost one standard deviation. SPX closed +11.61 points today at 1733.15. The close was 13 points higher than the entry price for the October 4 weekly Iron Condor. The delta of the short call reached .25 near the close, which calls for the adjustment to roll out the threatened side. Below is a graph of the current position:
SPX October 4 Iron Condor position as of the close
The price to roll the call spreads 10 points to the new strikes of -1760/+1770 currently shows a debit of 1.20. When an adjustment is needed so early in the trade, and with the volatility so low, the adjustment on the call side can be very expensive. To help offset this cost, it is also sometimes feasible to roll up the non-threatened side, in this case the put spreads. I do not recommend rolling them any higher than the short strike with a delta of -.15 or less. The current credit to roll up the puts to -1695 (-.14 delta)/+1685 is a .35 credit.
To summarize and help clarify the net cost of the adjustment, let me outline below:
Credit received to enter position: $1.30
Less: debit to roll out call spreads: -1.20
Plus: credit to roll up put spreads: .35
Net credit remaining in position: $ .45
These prices will most likely not be the same when the market opens. However, as I review this trade after adjustment, I feel it will no longer be worth the risk to remain in the trade if the adjustment to roll out the calls remains so high.
If the market opens up tomorrow, this may be one of those weeks where it's best to just exit the position and move on. We do not want the position to go beyond our max loss of $130 if at all possible. If there is sufficient credit for a new trade entry for the same cycle, that will be the plan of action.
I will post a trade update tomorrow.
Stay keen on your risk management and trade carefully,