Condor Options

We’re entering an order to close our adjusted RTH calendar-spread position, as follows:

Day limit order
Sell to close 4 RTH July 95 puts
Buy to close 4 RTH June 95 puts
for a net credit of $1.75 or better.

Note that 4 contracts represents our entire position.

Analysis: We’re closing the position now to reduce our gamma risk as we move into expiration week. We think we have a reasonable chance of getting filled at $1.75, which would give us a loss of 1.41% on total capital risked. But if we don’t get that price in an hour or two—or if RTH goes into rally mode—we’ll adjust our price and put out another Alert.