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Click for a PDF version of our January performance numbers.

With only 7 trading days and 10 calendar days (including Presidents Day) to go until expiration day the underlying S&P 500 Index remains firmly above both the short 2460 strike price and purple defensive posture line.

In the wake of our last trade which expired at a full profit on Friday, today the ZEGA trading team was back to work looking for a new position that satisfied our stringent rules for entry. This time, we found a February 22nd expiration short put spread with expiration of 2460 and 2410 on the S&P 500 Index.

With expiration day upon us Friday February 1st, the Iron Condor position appears to be poised to realize a full profit. Since we sell premium and generate credits, a full profit is realized when they expire worthless.

Yesterday with the pullback in equity markets, we were able to find a short put spread HIPOS trade that qualified our entry rules. For some of you this might be a new wrinkle for HIPOS as this created an Iron Condor position.

As markets move higher & fear subsides, volatility is shrinking & thus is helping somewhat on the prices of our short call spreads. This is one of the components, & a major one, of how options are priced.