April Condor

Put a condor in place on S&P 500 April futures.   The call spread was at S1350 (sell-to-0pen) and S1370 (buy), while the put spread was at S1140 (sell-to-open) and S1100(buy).  The net credit on each set of four options before commissions was 6.15 points.   With S&P 500 futures each point is worth $250, on the futures as well as the options on the futures.

With the S&P 500 at 1290 there is a 4.6% upside margin  before the short call goes in-the-money, and 11.6% downside before the short call goes in-the-money.  The worst case loss would be 33.85 points per contract set.  Currently this position pretty close to delta neutral, and the plan is to close out, or roll this position in 30 to 45 days.


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