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Category: Dr. Duke's Blog
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A few minutes before the market closed today, the RUT index stood at $529.61 and IV = $34.92%. Based on 9 days to June expiration, one standard deviation = $28. Therefore, our $570 calls are 1.4 std. dev. from the current index price and the $420 puts are 3.8 std. dev. away. Bottom line: our condor is in good shape. As time marches on, that $570 short strike is becoming more and more unattainable. Stay tuned.