Today we closed our remaining June SPY Iron Condor (it has 21 DTE) and opened a Jul 30 IC. We currently have 9 open IC’s in the month of July. Profitability of the ladder has been improving and reached a new high today of $4,686. This is a 9% return on capital or 26% annualized. Capital required to carry the positions is $53,463 (equivalent to max loss of all the positions). The 26% annualized return has been steadily improving over since the low in late April. Although max loss is rarely incurred the risk/reward ratio needs to be monitored.
SPY volatility has reduced during the recent run up, decreasing the premium received when we open positions.
Open positions are in the table below. Colors break out the individual IC’s.