January 2011 RUT

January RUT Iron Condor spread opened on 12/20 was a 710/720 – 830/840. RUT was trading around 780 (110 point spread).

January RUT

  • Buy 710 Puts @ 3.19
  • Sell 720 Puts @ 4.01
  • Sell 830 Calls @ 1.67
  • Buy 840 Calls @ .94

* Net Credit: $1.55 per share or $155 per contract (each contract is 100 shares)
* $1000 margin requirement per contract
* $155 / $1000 = 15.5% return on investment
* Total potential loss of $845 ($1000-$155) per contract

December 2010 RUT

December RUT Iron Condor spread opened on 11/22 was a 660/670 – 780/790. RUT was trading around 725 (110 point spread).

December RUT

  • Buy 660 Puts @ 3.93
  • Sell 670 Puts @ 5.11
  • Sell 780 Calls @ .86
  • Buy 790 Calls @ .49

* Net Credit: $1.55 per share or $155 per contract (each contract is 100 shares)
* $1000 margin requirement per contract
* $155 / $1000 = 15.5% return on investment
* Total potential loss of $845 ($1000-$155) per contract

I hoped the RLS wouldn’t open above 780 with RUT closing at 776.56 Thursday before expiry. It had showed no signs of being able to open above 780. The RLS settled at 777.01 so the options expire worthless, and we essentially experience max profit… well almost max profit, I did buy back the 660/670 put spread on 12/13 for a nickel so I could adjust the 780/790 leg if it became absolutely necessary.