Opened a 7DTE XSP iron condor — short 558P / long 553P, short 568C / long 573C — at 10:18 AM ET, 45 minutes after a soft CPI release. Total credit $1.85 per condor; max risk $3.15 per condor. 10 contracts; total credit $1,850, total max risk $3,150. XSP options carry a $10 multiplier. Profit target: 50% of max profit ($0.925 per condor). Stop loss: 2× credit ($3.70 per condor). The position closed on the 50% target: buyback at $0.85, locking in $1.00 per condor — +$1,000 realized in 2 days.

No P/L curve image was available in the source for this trade; the figure is omitted rather than invented.

Why This Structure

The iron condor on XSP at 7DTE was the right structure for the post-CPI window because:

• The view was range-bound with elevated IV. Pre-CPI IV at rank 78 was elevated; post-CPI crush was expected to play out over 2–3 days. Selling premium in a defined-risk structure lets the trade collect the rich premium while the IV crush accelerates the decay.
• The structure expresses the view with defined risk. The wings cap the loss at $3.15/condor regardless of how far XSP moves. A naked short strangle would have collected more premium but had unbounded risk.
• XSP is the right index at this notional. SPX 7DTE condors have a $100 multiplier; a single 5-point wing is $500 of risk. XSP's $10 multiplier gives a $50 wing, which fits the 0.10% NLV cap at the book's size.
• The asymmetric width matches the post-CPI direction. Putting more distance on the call side (1.7% above spot vs 1.0% below for the put side) gives the structure room for a continuation rally if the disinflation read pushes yields lower. A symmetric condor would have capped the call-side premium.

Premium of $1.85 against 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 at entry was 59% per the page header (68% per the OptionsStrat calculator cited in the reasoning section).

Thesis

• Why post-CPI? CPI came in at 2.7% YoY (vs 2.8% expected), with Core CPI at 3.0% (vs 3.1% expected) — a touch soft on both. 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." Binary-event vol crush is a known, repeatable phenomenon: the IV-rank filter (≥50) tells the desk the premium is rich enough to sell; the post-event window gives 2–3 days of accelerated theta decay as IV normalizes. 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 — post-CPI vol decay typically plays out over 2–3 days for a soft-print scenario.

• Why 7DTE? The theta curve peaks around 14–21 DTE for a 0.15-delta short strike, but post-event IV decay plays out over 2–3 days. A 7DTE condor captures most of the crush before the gamma-acceleration risk of the final 3 days. A 14DTE would have given up too much premium to time decay while waiting for the crush to finish.

• Why the 558/568 strikes? Roughly 1.0% below and 1.7% above spot, inside the 30-day 1σ expected move (about 2.5% one-way for XSP at IV 13.8) while keeping the credit-to-width ratio at the workable 30–40% threshold. A 0.5% OTM strike would have improved POP but cut the credit below 25% of width.

• Why 10 contracts? Max-loss cap is 0.06% NLV per condor (well below the 0.10% cap for defined-risk multi-leg structures); 10 condors × $3.15 max risk × 10 multiplier = $315/condor = $3,150 total max risk. Sizing is the defense against an unmodeled gap.

Risk

Management Plan

• Day 1 (entry through close): hold. Position is working; theta is the main driver. Watch for any sign of an overnight gap or a follow-through move from the post-CPI reaction.
• Day 2: if premium has decayed 40%+ and XSP is inside the body (between 558 and 568), take partial profits or close the full position at 50% of credit. The post-event vol crush typically peaks on day 2; further decay slows materially.
• Day 3–5: if still open, the trade is in the gamma-acceleration zone. Watch for any test of the short strikes; if either short strike is tested intraday, evaluate closing the threatened wing and letting the other side run, or rolling the threatened wing out in time for a net credit.
• Day 6–7 (final 24 hours): prefer the close. The theta curve flattens; only directional risk remains. Closing at any positive P&L is acceptable.

Position Payoff at Expiration

The P/L diagram for an iron condor is two stacked short verticals: a flat profit region (both wings untouched), a sloped-loss region on each wing (where one short strike is tested but the long wing still caps the loss), and a flat max-loss region on each wing (where the long wing has capped the loss).

Key levels: lower profit boundary — XSP above 558 at expiration (put side expires worthless). Upper profit boundary — XSP below 568 at expiration (call side expires worthless). Max profit zone — XSP between 558 and 568; full $1.85/condor × 10 = $1,850 realized. Lower breakeven — XSP at 556.15 (558 − $1.85 credit). Upper breakeven — XSP at 569.85 (568 + $1.85 credit). Max loss downside — XSP below 553; upside — XSP above 573; both capped at $3.15/condor × 10 = $3,150.

Verification

Leg fills were not separately disclosed in the source; the structure is recorded as entered at a net credit of $1.85/condor for 10 condors (total $1,850), and closed at a $0.85 buyback. Greeks were computed at entry spot 565.5 (10:18 AM ET print), 7 DTE, IV 13.8%, r 4.5%: delta ≈ 0.00 (delta-neutral at entry), gamma ≈ +0.001 (long at the body, flipping short as XSP moves away), theta +$0.06/day per condor (+$6/day across 10), vega −$0.04 per 1% IV per condor, rho ≈ 0. Per-condor = per-share × 10 (XSP multiplier).

Sourcing and methodology

• Event data — CPI 2.7% YoY vs 2.8% expected; Core CPI 3.0% vs 3.1% expected; pre-CPI XSP IV 15.2 (rank 78), 10:18 AM IV 13.8 (rank 65).
• Greeks — Black-Scholes at entry spot 565.5, 7 DTE, IV 13.8%, r 4.5%, no dividend yield.
• Payoff diagram — generated with OptionStrat (plain-text reference; the source page linked its interactive builder).

Position Update Log

Outcome: 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%); the remaining $0.85 of premium expired — the call side was ITM for a brief 90-minute window intraday and settled OTM.

Note: the source page's headline describes the close as "day 4," but the day-by-day management log records the 50% target being taken on July 11 — day 2. The log is used here as the trade record.

Lessons recorded in the source

The asymmetric distances from spot (1.0% below vs 1.7% above) were the right call: a symmetric condor at 558/553 and 563/568 would have capped the call-side premium at $0.65, and the post-CPI rally would have moved the 563 short call ITM within hours. The 50% profit target fired on day 2 — faster than the typical 4–5 days for a 7DTE condor — because the IV crush accelerated the decay. Sizing to 0.06% NLV max risk per condor (below the playbook's 0.10% cap for defined-risk multi-leg structures) kept the worst case small.

Disclosure

The desk may hold the positions, options, or underlyings mentioned in a trade-log entry at the time of publication; positions are disclosed in the trade-log entry itself. Nothing on this site is investment advice.

Disclaimer. This content is published for informational and educational purposes only. Nothing here is investment advice. Trading options involves substantial risk of loss and is not appropriate for every investor. Past performance, including the journal entries on this site, does not guarantee future results. You are solely responsible for your trading decisions.