A spy condor strategy.

Spy has excellent liquidity and small ask/bid spread for its options. It's price range is also easy to predicate than other equities, therefore a very good candidate for candor strategy. Fig.1 shows spy oscillated between 132-138 in the last several weeks, so let's choose the following calls and puts to build the candor (see Fig.2) . As shown in the summary, if the position is held into expiration, it has a maximum profits of 141$, and a maximum loss of 59$ (the total investment), reward/loss is not too bad.



However, as the market is so volatile, we can even further take advantage of the volatility, by simply exiting the condor partially to take profits early. How do we do it then?

1. Assume the market moves up sharply from here, and the sold put has a big profit, which can cover the maximum loss of the call spread part, e.g. 121$ (see Fig.3), then cover the put. By doing so, the neutral condor becomes a free bear call spread + a nake put (with paper loss). From here, you can either close the put, or wait for a market fall to re-enter a put short position to restore the condor. If condor restored, the same profit taking process can be repeated whenever there is profit on the shorted call/puts.



2. If the market moves downward, and leave a big profits for the shorted call, which can compensate the maximum loss of the put spread part, e.g. 138$ (see Fig.4), then cover the call. The follow-up action would be the same as in scenario 1.