1/2/08
Placed a FEB 08 Rut condor with 43 days till expiration:
sold -2 vertical RUT FEB 08 840/850 CALL @1.02 (mark 755.17)
sold -2 vertical RUT FEB 08 640/630 PUT @ .65
total credit for condor: 1.67
short call @ 840 with a .10 delta
short put @ 640 with a .07-08 delta
trouble/adjustment points at the .20 delta points: 690 - 820
1/07/08
btc +2 vertical RUT FEB 08 840/850 @.20 (mark 719.86)
initial credit received 1.02
realized credit from CALL side = .82
still holding 640/630 PUT side @ .65
placed a stop order at 2.00 to guard against loosing more than 100$ if RUT continues to slide...currently trading at .85
1/09/08
btc +2 vertical RUT FEB 08 640/630 PUT @1.95
originally sold @ .65
debit loss - 1.30
credit gain + .82
total loss = .48 for trade
-6% loss
10 day chart attached showing the accelerated 8% down gap of the RUT I was in this trade for 7 days and was able to mitigate my risk to only -5% down (about a $100 for the whole position) My adjustment point was 690 and I had my stop order in that got hit at the lows for the day. Market did bounce after but I am not upset on this trade as this move was extraordinary.
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