09-28-2019, 05:12 PM
"-Mechanically leaving at 33 DTE? It's obviously half of the time since you opened the trade. The logic of that eludes me some. All things being equal that should be around 50% of the time decay. That part makes sense. But IV% changes with the wind so it seems a little too mechanical. So I am asking you to defend that exit "rule"."
Low gamma positions display a flatter risk graph, reflecting less fluctuation in P&L.
High-gamma positions display a steeper risk graph, reflecting high fluctuation in P&L..
By closing at the halfway mark, you avoid that risk and enter a new trade with bigger credit due to time value being greater (all things being equal)
IRON CONDOR GAMMA RISK – COMPARING WEEKLY AND MONTHLY CONDORS
First up we have two iron condors with the short strikes set at delta 10. The weekly condor has a -4 gamma which is twice as high as the monthly condor at -2.
After a -2.0% move in the underlying, the weekly condors gamma has switched to positive and exploded out to 62, while the monthly delta has only moved to 20.
http://www.optionstradingiq.com/gamma-risk-explained/
Low gamma positions display a flatter risk graph, reflecting less fluctuation in P&L.
High-gamma positions display a steeper risk graph, reflecting high fluctuation in P&L..
By closing at the halfway mark, you avoid that risk and enter a new trade with bigger credit due to time value being greater (all things being equal)
IRON CONDOR GAMMA RISK – COMPARING WEEKLY AND MONTHLY CONDORS
First up we have two iron condors with the short strikes set at delta 10. The weekly condor has a -4 gamma which is twice as high as the monthly condor at -2.
After a -2.0% move in the underlying, the weekly condors gamma has switched to positive and exploded out to 62, while the monthly delta has only moved to 20.
http://www.optionstradingiq.com/gamma-risk-explained/