DS Condoragonals New Hybrid Condor

Sheridan Options Mentoring, Inc.www.SheridanMentoring.com

Income Trading in a Highly Volatile Market III:Income Trading in a Highly Volatile Market III:CondoragonalsCondoragonals are the new hybrid condor!are the new hybrid condor!

Dan SheridanDan Sheridan’’ss

March 19, 2009March 19, 2009


Income Trading in a Highly Volatile Market III:Income Trading in a Highly Volatile Market III:CondoragonalsCondoragonals are the new hybrid condor!are the new hybrid condor!

Dan SheridanDan Sheridan’’ss

March 19, 2009March 19, 2009


The views of third party speakers and their materials are their own and do not necessarily represent the views of Chicago Board Options Exchange, Incorporated (CBOE). Third party speakers are not affiliated with CBOE. This presentation should not be construed as an endorsement or an indication by CBOE of the value of any non-CBOE product or service described in this presentation. Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person must receive a copy of Characteristics and Risks of Standardized Options (ODD). Copies of the ODD are available from your broker, by calling 1-888-OPTIONS, or from The Options Clearing Corporation, One North Wacker Drive, Suite 500, Chicago, Illinois 60606. The information in this presentation is provided solely for general education and information purposes. Any strategies discussed, including examples using actual securities and price data, are strictly for illustrative and educational purposes. In order to simplify the computations, commissions and other transaction costs have not been included in the examples used in this presentation. Such costs will impact the outcome of the stock and options transactions and should be considered. Investors should consult their tax advisor about any potential tax consequences. No statement within the presentation should be construed as a recommendation to buy or sell a security or to provide investment advice.

CBOE is not affiliated with Sheridan Options Mentoring.Acknowledgement

Screen shots of OptionVue 5 Software courtesy of OptionVue Systems International. www.optionvue.com

DisclaimerDisclaimer

Page Page 44@ Copyright 2009. All rights reserved.

SPY Iron CondorSPY Iron CondorDate: 3/16/2009Date: 3/16/2009 Price: $77.17Price: $77.17

Options Price IV Trade87 Calls $0.40 33.8% +483 Calls $1.15 36.5% ‐470 Puts $1.45 43.9% ‐466 Puts $0.80 47.6% +4

APR(33)

Delta -11.8Gamma -9.1Theta 11.3Vega -18.4

Credit 560$




SPY Double DiagonalSPY Double DiagonalDate: 3/16/2009Date: 3/16/2009 Price: $77.17Price: $77.17

Delta 1.1Gamma -9.0Theta 12.8Vega 11.4

Options Price IV Trade Price IV Trade87 Calls $0.40 33.8% $1.10 34.3% +483 Calls $1.15 36.5% ‐4 $2.12 36.1%70 Puts $1.45 43.9% ‐4 $2.42 42.0%66 Puts $0.80 47.6% $1.60 45.4% +4

APR(33) MAY(61)

Debit 20$


SPY Double DiagonalSPY Double DiagonalDate: 3/16/2009Date: 3/16/2009 Price: $77.17Price: $77.17


SPY SPY ConDagonalConDagonalDate: 3/16/2009Date: 3/16/2009 Price: $77.17Price: $77.17


Options Price IV Trade Price IV Trade87 Calls $0.40 33.8% +2 $1.10 34.3% +283 Calls $1.15 36.5% ‐4 $2.12 36.1%70 Puts $1.45 43.9% ‐4 $2.42 42.0%66 Puts $0.80 47.6% +2 $1.60 45.4% +2

APR(33) MAY(61)

Credit 280$


SPY SPY ConDagonalConDagonalDate: 3/16/2009Date: 3/16/2009 Price: $77.17Price: $77.17


Discussion Points Discussion Points ConDagonalConDagonal

What is ConDagonal?

Why put on a ConDagonal

When to put on a ConDagonal

Pluses of ConDagonal

Minuses of ConDagonal

Do you really diversify Vega Risk?

What vehicles best for ConDagonal


Discussion Points ( cont)Discussion Points ( cont)

Should I put on every month?

How does this fit into my plan?

Adjusting considerations?

Do I have to be neutral vega?

How to execute?




Options Price IV Trade87 Calls $0.40 33.8% +483 Calls $1.20 36.5% ‐470 Puts $1.45 43.9% ‐466 Puts $0.80 47.6% +4

APR(33)

Credit 580$




SPY Double CalendarSPY Double CalendarDate: 3/16/2009Date: 3/16/2009 Price: $77.17Price: $77.17

Delta 5.1Gamma -3.3Theta 4.9Vega 14.0

Options Price IV Trade Price IV Trade81 Calls $1.70 37.2% ‐2 $2.85 37.3% +272 Puts $2.00 43.0% ‐2 $3.00 40.6% +2

APR(33) MAY(61)

Debit 430$


SPY Double CalendarSPY Double CalendarDate: 3/16/2009Date: 3/16/2009 Price: $77.17Price: $77.17


SPY Con CalendarSPY Con CalendarDate: 3/16/2009Date: 3/16/2009 Price: $77.17Price: $77.17


Options Price IV Trade Price IV Trade87 Calls $0.40 33.8% +4 $1.09 34.1%83 Calls $1.20 37.2% ‐4 $2.12 36.1%81 Calls $1.70 37.3% ‐2 $2.85 37.3% +272 Puts $2.00 43.0% ‐2 $3.00 40.6% +270 Puts $1.45 43.9% ‐4 $2.42 42.0%66 Puts $0.80 47.5% +4 $1.58 45.1%

APR(33) MAY(61)

Credit 150$


SPY Con CalendarSPY Con CalendarDate: 3/16/2009Date: 3/16/2009 Price: $77.17Price: $77.17


Con Calendar Discussion PointsCon Calendar Discussion Points

Why put on?

When to put on?

Pluses and Minuses

Commission considerations?

How to execute?

Best vehicles to use?

Adjustment considerations?

Neutral vega when entering?


Comparing The StrategiesComparing The Strategies


Breakeven + 84.83Breakeven - 68.76

Con CalendarDelta -11.8Gamma -9.1Theta 11.3Vega -18.4


Iron CondorDelta -5.4Gamma -9.0Theta 12.3Vega -3.5


Con Dagonal


Dan SheridanDan Sheridan

1-678-262-8898

[email protected]

Sheridan Options Mentoring, Inc.http://www.SheridanMentoring.com/

Phone Number:(877) The-CBOE, press “2”

Web Site: www.CBOE.com

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1-866-839-1100

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DS Condoragonals New Hybrid Condor

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