Opened a second RSP ETF Jan 21 2028 220/230/280/285 long call condor (548 DTE) — an asymmetric, "short upper" structure with a $10-wide lower body and a $5-wide upper body. Net debit $3.175/share ($317.50/contract), identical to RSP #1, but the tightened upper wing turns a $317.50 max loss above $290 into a permanent $182.50 upside plateau above $287. Lower breakeven $223.18; no upper breakeven. The trade strictly dominates RSP #1 above $287. Filled at 12:55 PM ET, ~8 minutes after RSP #1. Spot $212.40 at entry (down $0.05 from the RSP #1 fill).
Why This Structure
This is the asymmetric sibling of RSP #1 (the 220/230/280/290 long call condor shipped earlier today). Same four-strike template, but the upper long wing moves in from 290 to 285 — a $5-wide upper body instead of $10-wide.
The effect: the upper wing costs more ($1.175 vs $1.075), but the upper body short collects more premium relative to the wing width. Net debit stays $3.175/share — the same as RSP #1 — but the payoff above $287 flips from a $317.50 max loss to a permanent $182.50 plateau. RSP #2 is strictly better than RSP #1 everywhere above $287.
The structure is: pay $3.175 to own the right to be paid $6.825 if RSP closes anywhere between $230 and $280 at expiry 18 months from now, with a $182.50 consolation plateau if RSP closes above $287. The only true risk is a close below $220 ($317.50 max loss).
The comparison against RSP #1 is deliberate and immediate. The two trades shipped within 8 minutes of each other, with the same debit, on the same underlying and expiry. This is not a different trade — it's the same trade with a cheaper upper wing.
Direct Comparison to RSP #1
| Metric | RSP #1 (220/230/280/290) | RSP #2 (220/230/280/285) |
|---|---|---|
| Upper long wing | 290C @ $1.075 | 285C @ $1.175 |
| Upper body width | $10 | $5 |
| Net debit | $3.175 | $3.175 (same) |
| Max profit | $682.50 | $682.50 (same) |
| Max loss (lower) | $317.50 below $220 | $317.50 below $220 (same) |
| Max loss (upper) | $317.50 above $290 | $182.50 profit plateau above $287 |
| Upper breakeven | $286.82 | None (permanent plateau) |
Thesis
- Why the tighter upper wing: If the breakout thesis (RSP above $290) is the only scenario where RSP #1 loses its full debit, and a runaway breakout to $290+ over 18 months is the least likely regime path, then paying $0.10/share more for the 285C wing to convert that loss into a $182.50 plateau is cheap insurance. The trade's only true risk becomes a close below $220 — a 3.7% decline from entry spot.
- Why same debit is the headline: The market is telling us something. The 285C wing at $1.175 is only $0.10 more than the 290C at $1.075, but it buys $5 of strike coverage. The upper body short 280C at $2.20 offsets most of the wing cost. The net result: identical debit, strictly better payoff above $287. When the vol surface hands you a free asymmetry, take it.
- Why open both, not just RSP #2: The two trades together express a bracketed view with a skew. RSP #1 covers the "flat tape" base case with a wide upper profit zone. RSP #2 covers the same base case but harvests the breakout tail. Together they're a $635 position with a combined max profit of $1,365 in the $230–$280 zone.
Risk
| Risk | Magnitude | Mitigation |
|---|---|---|
| RSP closes below $220 at expiry | Full $317.50 loss | Stop at $205 close; the long 220C loses intrinsic as the underlying drops |
| RSP closes between $220–$223.18 | Partial loss, scale $0–$317.50 | Hold; the 220C still has time value at expiry only if ITM |
| RSP closes between $223.18–$230 | Partial profit, scale $0–$682.50 | Hold for max profit at expiry |
| RSP closes between $230–$280 | $682.50 max profit (capped) | Take 50% at $341 close once the trade crosses 50% profit |
| RSP closes between $280–$285 | Partial profit, scale $0–$682.50 | Hold; the upper body still captures time premium |
| RSP closes above $285 | $182.50 plateau (permanent) | Hold to expiry; the plateau is the floor |
| Scenario 7: realized vol < 11% holds | Condor benefits (theta positive) | Favorable |
| Scenario 8: realized vol expands > 25% | Wings gain more than body loses — net positive | Acceptable |
| Scenario 9: low liquidity (TIER 3 ETF) | Bid/ask widths: 220C $4.00 (372%), 230C $2.80 (260%), 280C $2.40 (223%), 285C ~$0.95 (est.) | Use limit orders; wide spread already factored into debit |
Position Payoff at Expiration
The chart compares RSP #2 (220/230/280/285) against RSP #1 (220/230/280/290) at the Jan 21, 2028 expiration. Below $285, the two structures are identical — same debit, same max profit, same loss below $220. Above $287, RSP #2 settles at a permanent $182.50 profit plateau while RSP #1 decays to a $317.50 max loss at $290.
Key levels on the chart:
- Spot $212.40 — current underlying price.
- Lower long strike $220.00 — the floor; below this, the structure loses intrinsic value.
- Lower short strike $230.00 — lower profit boundary.
- Upper short strike $280.00 — upper profit boundary.
- Upper long strike $285.00 — the new ceiling; above this, the structure locks in the $182.50 plateau.
- Lower breakeven $223.18 — long strike + net debit. There is no upper breakeven.
- Max profit $682.50 — closes at expiration with RSP between $230 and $280.
- Max loss $317.50 — closes at expiration with RSP below $220 only.
- Upside plateau $182.50 — closes at expiration with RSP above $287.
Trade Details
| Field | Value |
|---|---|
| Instrument | RSP ETF options (Jan 21 2028 LEAP) |
| Underlying | RSP (Invesco S&P 500 Equal Weight ETF) |
| Structure | Long Call Condor, short upper wing — 4 legs (long the wings, short the body) |
| Strikes | Long 220C / Short 230C / Short 280C / Long 285C (all calls) |
| Leg 1 | BTO +1× RSP 220C Jan 21, 2028 at $18.50 (OptionStrat basis; live chain mid $18.50) |
| Leg 2 | STO -1× RSP 230C Jan 21, 2028 at $14.30 (OptionStrat basis; live chain mid $14.30) |
| Leg 3 | STO -1× RSP 280C Jan 21, 2028 at $2.20 (OptionStrat basis; live chain mid $2.20) |
| Leg 4 | BTO +1× RSP 285C Jan 21, 2028 at $1.175 (OptionStrat basis; live chain mid $1.175) |
| Width | $10.00 lower body + $5.00 upper body |
| Expiration | 2028-01-21 (548 DTE at entry) |
| Settlement | AM-settled (standard monthly LEAP, last trade day Thursday 1/20) |
| Net debit at fill | $3.175/share = $317.50/contract (OptionStrat basis; live chain mid $3.18) |
| Contracts | 1 long call condor |
| Total debit | $317.50 (1 × $317.50) |
| Max profit zone | RSP between $230 and $280 at Jan 21, 2028 AM settlement |
| Max profit | $682.50 at expiration |
| Max loss | $317.50 (= net debit, below $220 only) |
| Lower breakeven | $223.18 (long strike $220 + net debit $3.175) |
| Upper breakeven | None — permanent $182.50 plateau above $287 |
| IV at entry | ~22% across strikes (live chain: 220C 22.8%, 230C 21.7%, 280C 19.2%, 285C 18.0% est.) |
| Realized vol (30d) | ~11.7% annualized |
| Net delta (structure) | Near zero (balanced 4-leg) |
| Entry time | Jul 22 2026, 12:55 PM ET (8 minutes after RSP #1) |
| Management rule | 50% of max profit ($341 to close) OR close at 90 DTE |
| Stop loss | 2× debit ($635/contract cost to close) OR RSP closes below $205 |
Greeks Snapshot (Black-Scholes)
| Greek | Per-contract value | Interpretation |
|---|---|---|
| Delta (Δ) | +0.00 | Near-zero net delta. Long 220C ≈ +0.83, short 230C ≈ −0.79, long 285C ≈ +0.10, short 280C ≈ −0.11. The legs roughly cancel — a delta-neutral structure. |
| Gamma (Γ) | −0.008 | Mild short gamma from the body dominates long gamma from the wings. |
| Theta (Θ) | +$0.10/day | Net positive theta. The body short calls decay faster than the wing long calls. |
| Vega (ν) | +$0.45 per 1% IV | Mild long vega. An IV expansion benefits the structure more than the body's IV crush hurts it. |
| Rho (ρ) | +$0.20 per 1% rate | Mild long rates. |
Numbers computed at entry spot $212.40, 548 DTE, IV surface anchored at entry IV, r=4.5%, no dividend yield. Per-contract = per-share × 100.
Expected Move (1 Standard Deviation)
The 548-day 1σ move is ±$57.25 (±26.95% from spot). The lower breakeven at $223.18 is $10.78 above spot (+5.08%) — roughly 0.19σ above spot. The upper breakeven is undefined (plateau replaces it); the 290 level of RSP #1's upper breakeven sits roughly 1.30σ above spot.
| Window | ±1σ Move | % of Spot |
|---|---|---|
| 1 day | $2.45 | 1.15% |
| 1 week | $6.47 | 3.05% |
| 30 days | $13.39 | 6.31% |
| 90 days | $23.20 | 10.92% |
| 1 year | $46.72 | 22.00% |
| 548 days (full DTE) | $57.25 | 26.95% |
Intraday Setup (entry)
- Pre-market context: Same regime as RSP #1 — RSP closed Jul 21 at $212.76, 30-day realized vol ~11.7% annualized. The 548-DTE LEAP chain was wide across all four strikes. Spot at 12:55 PM ET was $212.40, down $0.05 from the RSP #1 fill.
- Entry signal: The vol surface priced the 285C wing at only $1.175 vs $1.075 for the 290C — a $0.10/share difference buying $5 of additional upper coverage. The asymmetric structure emerged from the live chain, not from the trade plan. When the upper wing is this cheap relative to the body premium, the short-upper condor strictly dominates the symmetric version.
- Execution: Limit order at $3.175 debit (OptionStrat basis). Filled 12:55 PM ET. Estimated actual fill $3.20–$3.25 debit. Recorded basis $3.175.
- Position size check: $317.50 max loss = 0.106% of $300k book. Combined with RSP #1, the pair risks $635 total (0.212% of book) for a combined max profit of $1,365.
Management Plan
- Open through Q4 2026 (~100 DTE remaining): Hold. The asymmetric wing costs nothing extra vs RSP #1, so the hold logic is identical.
- Q4 2026 → Q3 2027 (~100–300 DTE): If RSP closes above $287, the trade is on the $182.50 plateau — consider holding to expiry for the guaranteed floor rather than closing early. If RSP closes below $215 for two consecutive months, close for ~75% of debit.
- Q4 2027 (last 90 DTE): Take 50% of max profit ($341/contract) if in the profit zone. If on the upside plateau, hold to expiry.
- Stop loss: 2× debit ($635/contract cost to close) OR RSP closes below $205.
Position Update Log
| Date | RSP Price | Position Value | P&L | Notes |
|---|---|---|---|---|
| 2026-07-22 (entry) | $212.40 | $317.50 | — | Opened. 1 long call condor (short upper) @ $3.175 debit. IV ~22%. |
Outcome
| Metric | Value |
|---|---|
| Realized P&L | Open trade — to be filled at expiration or earlier management action |
| Holding time | 548 DTE target (Jul 22 2026 → Jan 21 2028) |
| Net theta captured | TBD — captured at close. |
| Remaining premium | TBD — the long 285C wing has value at expiry if RSP closes above $287. |
| Hit target? | Open — take 50% if profit ≥ $341/contract; hold plateau if above $287. |
Lessons
- What worked: The asymmetric structure was discovered in the live chain, not pre-planned — the 285C wing's $0.10/share cost delta vs the 290C made the short-upper condor a strictly better trade. Same debit, no upper max loss. The 8-minute gap between the two fills let the desk compare live quotes across both structures before committing.
- What I'd do differently: Open the asymmetric version first. The symmetric RSP #1 was the plan; RSP #2 was the improvement. In hindsight the tighter upper wing should have been the default given the flat-tape regime (a breakout above $290 was the least likely path). The pair is fine as a bracket, but the sequencing was backwards.
- Vol surface behavior: The upper wing's cheapness ($1.175 for 285C vs $2.20 for the 280C short) reflects the vol skew — upside calls on RSP LEAPs are priced for low tail risk. When the skew gives you a $5-wide upper body for $0.10/share, the structure menu should prefer the tighter wing.
- For the playbook: Add "short upper condor" as a named variant. The symmetric long call condor's upper max loss is a real cost in a melt-up regime. The asymmetric version eliminates it for pennies when the wing is cheap. The playbook's structure menu should check the upper wing width before defaulting to symmetric.
Cross-references
- RSP #1 — Jan 21 '28 220/230/280/290 long call condor (this journal, same day). The two trades shipped 8 minutes apart with the same debit; the comparison is built into the P/L chart above.
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.
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