Trade: XSP 7DTE Iron Condor
| Field | Value |
|---|---|
| Instrument | XSP options (S&P 500 mini, $10 multiplier) |
| Structure | Iron condor — short 558P / long 553P, short 568C / long 573C |
| Width | 5 points each side |
| Expiration | 2026-07-17 (7DTE) |
| Total credit | $1.85 per condor |
| Max risk | $3.15 per condor (width − credit) |
| Contracts | 10 |
| Total credit | $1,850.00 |
| Total max risk | $3,150.00 |
| IV at entry | 13.8 (rank 65 — high IV regime) |
| Entry time | 10:18 AM ET (45 min after CPI release) |
| Profit target | 50% of max profit ($0.925 per condor) |
| Stop loss | 2× credit ($3.70 per condor) |
Reasoning
CPI came in at 2.7% YoY (vs. 2.8% expected), with Core CPI at 3.0% (vs. 3.1% expected). Both were a touch soft. The market initially sold off (ES −0.4% in the first 5 minutes) on the "soft CPI = growth scare" read, then reversed and rallied as the soft print was reframed as "disinflation continues, Fed has room."
Pre-CPI, XSP IV was bid at 15.2 (rank 78). At 10:18 AM, IV had come in to 13.8 (rank 65). The crush was real but not finished — typically post-CPI vol decay plays out over 2–3 days for a soft-print scenario.
The 558/553 short put is roughly 1.0% below spot. The 568/573 short call is roughly 1.7% above spot. The structure is asymmetric on purpose: the call side is wider because the post-CPI rally had further to run if yields dropped (and yields did drop, with the 10Y falling 7bps on the print).
Premium collected of $1.85 against a max risk of $3.15 is a 37% credit-to-width ratio — typical for 7DTE in a moderately elevated IV regime. The probability of profit (POP) at entry was 68% per the OptionsStrat calculator.
Intraday Management
- Day 1 (July 10): XSP closed at 565.3, just above the short call strike. Condor value at close: $1.20 (35% decay).
- Day 2 (July 11): XSP closed at 563.8. Condor value: $0.85 (54% decay). Took the 50% profit target and closed the position.
- Closed: $0.85 buyback, locking in $1.00 of profit per condor ($1.85 − $0.85) on $3.15 of risk = 31.7% return on risked capital in 2 days.
Outcome
| Metric | Value |
|---|---|
| Realized P&L | +$1,000.00 (10 × ($1.85 − $0.85) × 10 multiplier) |
| Holding time | 2 days |
| Net theta captured | $1.00 of the $1.85 collected (54%) |
| Remaining premium | $0.85 expired (both call side ITM for a brief 90-min window, settled OTM) |
A textbook post-event trade. The setup works because the vol crush is a known, measurable phenomenon after binary events; the IV-rank filter (>50) tells you the premium is worth selling; the asymmetric width on the call side gives you room for a continued rally without the short strike going ITM at expiration.
Lessons
- The asymmetric width (5-point call side vs 5-point put side, but different distances from spot) was the right call. A symmetric condor at 558/553 and 563/568 would have capped the call-side premium at $0.65 (because the 563 short call was right at the money pre-CPI, and the rally would have moved it ITM within hours). The wider 568/573 captured the post-CPI rally while keeping the structure defined-risk.
- The 50% profit target fired on day 2, which is faster than the typical 4–5 days for a 7DTE condor. The IV crush accelerated the decay. Faster decay means accepting smaller profit-per-day but capturing more of the crush.
- I sized to a 0.06% NLV max risk per condor, which is below the playbook's 0.10% cap for defined-risk multi-leg structures. The smaller size gave me room to add a second structure later in the week if the setup repeated.