Monthly Expiry

30-45 DTE offers the best balance of theta efficiency, manageable gamma, and time for adjustments. Closer to expiration, gamma increases (larger P&L swings) and there's less time to recover from adverse moves.

IV percentile shows where current IV stands in its 52-week range. High percentile (>50%) suggests options are expensive - favoring selling. Low percentile (<30%) suggests options are cheap - favoring buying or calendar strategies.

Taking profits at 50% captures most expected value while avoiding late-cycle gamma risk. The final 50% of profit takes longer to achieve and exposes you to more risk. Studies show 50% targets often outperform holding to expiration.

Options include: (1) Close for a loss before worse, (2) Roll the tested side to give more room, (3) Close the untested side to reduce exposure, (4) Wait if still within parameters. Have a plan before entering.

It depends on portfolio size and management capacity. A typical approach is 2-5 positions across different underlyings. Ensure total risk doesn't exceed your portfolio risk budget (typically 10-20% total).

Consider: (1) Is the original thesis still valid? (2) Can you get additional credit by rolling? (3) Are strikes still reasonable for next month? (4) Is there a better opportunity elsewhere? Roll if thesis is intact and terms are favorable.

Calendars are better when: (1) IV is low (you want long vega), (2) You expect the stock to stay very close to current price, (3) You want less gamma exposure than condors. Iron condors are better when IV is high and you want to capture premium.

Treat correlated positions as a single risk unit. If you have iron condors on DBS, OCBC, and UOB, assume they can all lose simultaneously. Reduce combined size to what you'd risk on a single position.

Calendar: Same strike, different expirations - profits from time decay if stock stays at strike. Diagonal: Different strikes, different expirations - combines time decay with directional bias. Use calendar for neutral, diagonal for directional.

Expected profit = (Credit × Probability of profit) - (Max loss × Probability of max loss). For 1 SD condor (~68% POP): Expected = (Credit × 0.68) - (Max loss × 0.32). This should be positive for a good trade.

Calculate theta/max loss ratio for each position and aggregate. Compare structures - iron condors, butterflies, calendars all have different theta efficiency. Rotate into structures with better efficiency. Track and optimize over time.

In contango (normal): Calendars work well. In backwardation: Consider reverse calendars or avoid calendars. Trade misalignments - if backwardation is overdone pre-event, calendars may profit from normalization. Always consider event timing.

Define: (1) Universe of underlyings, (2) Entry signals (DTE, IV, technical), (3) Structure selection rules, (4) Position sizing formula, (5) Exit rules (profit, loss, time), (6) Roll/adjustment rules. Backtest if data available. Track and refine.

Scenario analysis: (1) What if market drops 5% in a week? (2) What if IV spikes 50%? (3) What if correlation goes to 1? Calculate P&L under each scenario. Ensure worst-case is survivable. Consider tail hedges if needed.

Track total delta, gamma, theta, vega daily. Set limits (e.g., delta within ±10% of portfolio, gamma within acceptable P&L swing). Adjust individual positions to bring portfolio within limits. Consider hedging instruments for persistent imbalances.