Friday's shortened trading session ended the week on a relatively quiet note, with very low post-Holiday volume.

Open Position Update:

SPX Weekly Iron Condor for December 1 Cycle

The Iron Condor was opened Friday; a summary is as follows:

SHORT December 1 2100 Call.

LONG December 1 2110 Call.

SHORT December 1 2035 Put.

LONG December 1 2025 Put.

Net Credit (all four legs): $1.30

Below is the risk graph of the current position as of the close Friday:

SPX December 1 Iron Condor

Below is the SPX 6 month chart showing the short strikes:

SPX 6 month chart

The volatility index (VIX) drifted up Friday morning into the early close, which contributed to the position being slightly under water despite being well centered. SPX closed at 2068 Friday, down 5 points after reaching yet another all-time intra day high of 2075.76. Below is the VIX one day, 5 minute chart:

VIX one day, 5 minute chart

The position is currently ($30). The risk graph shows an incorrect status; the actual debit to close the position is $1.60. Target gain remains at 7% of the margin. The position will remain open as long as SPX stays between the short strikes until target gain is reached. The position will be closed at either short strike, or if the pre-set max loss of 10% of margin is reached.

RUT December Iron Butterfly

This December Iron Butterfly was opened November 20, and adjusted once to the upside last week. The position summary is as follows:

Original Position:

SHORT RUT December 1170 Call.

LONG RUT December 1220 Call.

LONG RUT December 1170 Put.

LONG RUT December 1120 Put.

Net Credit (all four legs): $30.67

Extra LONG RUT December 1250 Call.

Net Debit: $.75

Adjustment made on November 24:

BOUGHT RUT December 1170 Call

SOLD RUT December 1220 Call.

SOLD RUT December 1190 Call.

BOUGHT RUT December 1240 Call.

Net Debit (all four legs): $8.88

Below is the risk graph of the current position as of the close Friday:

RUT December Iron Butterfly

RUT retreated more than the other indices Friday, closing down 17 points at 1173.22. Earlier in the morning RUT touched on the upside adjustment trigger price of 1190, but it was not convincing enough to warrant an adjustment, especially given the shortened, low-volume trading day. The position is currently slightly above breakeven, and target gain remains at 5% of the gross margin ($250). The adjustment trigger points remain the same, 1190 and 1160 at which point the threatened side would be rolled up/down 20 points.

SPY December Iron Condor

This monthly position was entered Monday, November 10. The position summary is:

SHORT SPY December 210 Call.

LONG SPY December 215 Call.

SHORT SPY December 195 Put.

LONG SPY December 190 Put.

Position entered for a net credit of $.89 (all four legs).

SPY closed Friday at $207.20, down just slightly from the previous close. The current position is shown below:

SPY December Iron Condor

The position is currently slightly above breakeven, despite being only 3 points from the short call strike of 210. The position is -17 delta, so will benefit from any pullback. The Iron Condor will remain open as long as SPY stays between the short strikes until target gain is reached. It will be closed, however, if either short strike is convincingly breached, or if the pre-set max loss of ($61) (15% of margin) is reached.

The six month chart is below, indicating the short strikes:

SPY 6 month chart

Next week brings a significant number of economic news reports, including a flurry of Fed speakers. The monthly Non Farms Payroll Report at the end of the week is the most significant report; and usually brings some volatility at least at the open. A recap is below:


9:45 am PMI Manufacturing Index

10:00 am ISM Manufacturing Index

12:15 pm Fed William Dudley speaks


8:15 am Fed Stanley Fischer speaks

10:00 am Construction Spending


8:15 am ADP Employment Report

8:30 am Productivity and Costs

10:00 am ISM Non-Manufacturing Index

10:00 am Pending Home Sales

10:30 am EIA Petroleum Status Report

12:30 pm Fed Charles Plosser speaks

2:00 pm Fed Lael Brainard speaks

2:00 pm Beige Book Report


8:30 am Jobless Claims

8:30 am Fed Loretta Mester speaks


8:30 am Monthly Employment Situation Report

8:30 am International Trade

10:00 am Factory Orders

Position updates will be posted as appropriate.

As always, stay keen on your risk management and trade carefully,

Dot Hazlin