I - Strategy done on 10-06-10

SOIC (Iron Condor - SO Set Up) :

- We bought 10 puts STRUCK AT 3700 Dec10 at 136.4 each, implied volatility at 23.55 % hence a debit of - 1364 euros
- We sold 10 puts STRUCK AT 3600 Dec10 at 100.7 each, implied volatility at 24.88% hence a credit of + 1007 euros

- We sold 10 puts STRUCK AT 3400 Dec10 at 53.6 each, implied volatility at 27.47 % hence a credit of + 536 euros
- We bought 10 puts STRUCK AT 3300 Dec10 at 39.9 implied volatility at 28.79% hence a debit of - 399 euros


This is a net debit of : - 1364 + 1007 + 536 - 399 =€ -220.


II - Pricing

From October 6th 2010 to December 18th 2010 :



III - Result
Loss= € - 220

Strategies Options