October Iron Condor Price Ranges

by Tom Nunamaker on September 2, 2009

Many of our students trade RUT and NDX. It’s time for the October Iron Condors as we are 45 days to Oct expiration.

The market has been going sideways recently so I would anticipate the spring is about to unwind. Unfortunately you can’t predicate whether up or down. Therefore, PLEASE buy insurance calls and puts to protect yourself against increased market volatility.

9-3-2009-RUT-Price

NDX
Current price: $1594.28
High Probability Iron Condors (roughly 8 delta)
1375 – 1775
Low Probability Iron Condors (roughly 15 delta)
1450 – 1750

RUT
Current price: $555.83
High Probability Iron Condors (roughly 8 delta)
470 – 630
Low Probability Iron Condors (roughly 15 delta)
490 – 610

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{ 3 comments… read them below or add one }

Jerry TEXAS September 3, 2009 at 9:17 am

What is the strike do you recomend to buy the puts or calls, and what would be the ratio vs the calls and puts for each leg of the condor?

Thanks
Jerry TEXAS

Tom Nunamaker September 4, 2009 at 10:23 am

Hi Jerry… the strikes would be just outside of the ranges. I normally pick strikes based on the delta of the option. Delta is roughly the same as the percentage chance of that option expiring in-the-mony,so if you want a high probability iron condor, pick deltas for your short options that are under .10 and your probability of success starts out at 80% or higher. Low Probability Iron Condors typically start with a 70% probability of success (use 15 deltas for the short options).

We normally use the same number of put and call spreads in iron condors. The only reason you might not do this is if you have a directional bias.

lilikindsli October 4, 2009 at 10:45 pm

87pohA I want to say – thank you for this!

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