Condor Options

Big retailers are seeing big selling in their stocks, and it’s putting pressure on our June/July RTH double calendar spread less than a week after we opened the trade. With RTH having dropped more than 3½ points already this week, and a long holiday weekend coming up, we thought it would be wise to reduce our risk by rolling half of our call-spread position at the 100 strike down to a put spread at 90, as follows:

+1 RTH June 100 call
-1 RTH July 100 call
for a net credit of $0.95.

+1 RTH July 90 put
-1 RTH June 90 put
for a net debit of $1.10.

This moves our break-evens down to 92.15 and 98.85 and reduces our delta from more than 26 to just over 11. Remember that we started off with two contracts per leg, so the one contract per leg in this trade represents half of our initial position—e.g., if we started off with 10 contracts per leg, we’d roll 5 contracts from the 100-strike call spread to the 90 put spread.