2 Comments

Excellent Article. I was off a dollar on the strikes for the SPY trade on the outright and the put leg of the Iron Condor. I suggest you add to your criteria for the outright by including a wasting component. Instead of just looking at the lower bound of the C.I., it may be helpful to include a decay analysis in the Time Value of the option. Try to look for options with less than 1% Time Value left for the option. This let's you assume a flat market with upside exposure and only lose the Time Value of the Outright and keep 100% of the Iron Condor and doesn't restrict you to the lower bound C.I.

Expand full comment
author

Thank you!

That is an excellent idea, regarding the time value. I haven't even considered that direction. But it does make sense

Expand full comment