Opened an XSP long call condor (Dec 18 '26, 690/700/810/820), short the body's IV skew while harvesting theta into year-end. Opened July 23, 2026, mid-morning at $6.09 debit ($609 total; 1 long call condor). Defined-risk range play; max profit $391 between $700 and $810 (limited by the 10-point wings, not the 110-point body), max loss $609 (= debit). Lower breakeven $696.09, upper breakeven $813.91. Got 1 contract at the recorded basis. Slippage: zero.
Why This Structure
The long call condor expresses the most precise neutral view available on XSP: two defined-risk verticals, one ITM-ish bull call credit spread (690/700) and one deep-OTM bear call credit spread (810/820), fused into a single 4-leg structure.
Why this instead of a single vertical? A bull call spread at 690/700 would cost $8.205 debit for a max profit of $1.795 — a 1:0.22 risk:reward, because spot ($749.90) sits deep inside the lower body. The condor adds the upper body (sell 810C / buy 820C) for a net credit that drops the debit to $6.09. The structure only makes sense as a condor: the lower body alone is a poor trade at this spot, and the upper body finances it.
Why XSP instead of SPY/SPX? XSP is the mini-SPX — 1/10th the size, European-style, cash-settled, with the same index exposure. The Dec 18 '26 chain carries lower IV than the QQQ structures opened the same day (23.6% at the 690C vs 28.3% at QQQ's 700C), making the long wings cheaper. This is the lower-vol sibling of the day's condor set.
Why these specific strikes? The 690/700 lower body brackets spot from below — spot $749.90 sits above both lower strikes, so the lower body starts ITM and the structure collects its premium up front. The 810/820 upper body sits 8.0% above spot — far enough OTM to capture genuine time premium. The 110-point gap between the bodies is wide, but the 10-point wings cap the max profit at $391: this trade is about the range, not the payout.
Thesis
- Rangebound into year-end on the mini-SPX: XSP tracks the S&P 500 at 1/10th scale. Spot $749.90 with the lower body already ITM — the structure profits if XSP holds the $700–$810 corridor into December, the highest-probability path given the flat-tape regime.
- Selling the IV skew: IV-by-strike falls from 23.6% at the 690C to 13.9% at the 820C — a steep skew. The condor sells the body's richer premium (short 700C at 22.7% IV, short 810C at 14.2% IV) while buying cheaper wing protection.
- Lower-vol structure, lower payout: XSP's IV surface is cheaper than QQQ's, so the wings cost less — but the 10-point wings still cap the max profit at $391 against a $609 debit (1:0.64 reward:risk). This is a high-probability, low-payout range hold, not a home run.
- Companion context: Opened the same day as the two QQQ condors. The XSP structure is the lower-vol, lower-payout member of the set — same Dec 18 '26 expiry, same 148 DTE, different underlying and different risk:reward.
Risk
| Risk | Magnitude | Mitigation |
|---|---|---|
| XSP closes below $690 at expiry | Full $609 loss | Stop at $685 close; the long 690C loses intrinsic |
| XSP closes between $690–$696.09 | Partial loss, scale $0–$609 | Hold; the 690C still has time value only if ITM |
| XSP closes between $696.09–$700 | Partial profit, scale $0–$391 | Hold for max profit at expiry |
| XSP closes between $700–$810 | $391 max profit (capped by 10-pt wings) | Take 50% at ~$195 close once profit crosses 50% |
| XSP closes between $810–$813.91 | Partial profit, scale $0–$391 | Hold; the upper body still has time premium |
| XSP closes above $820 at expiry | Full $609 loss (capped by long 820C wing) | Stop at $825 close |
| Low reward:risk | 1:0.64 — the structure risks more than it can make | Position sized accordingly; the trade is a high-probability range hold |
Position Payoff at Three Time Horizons
The chart shows the P/L curve at three time horizons. The max profit is limited by the narrower of the two wing widths ($10) rather than the body distance ($110): lower wing $700 − $690 = $10; net debit $6.09; max profit $10 − $6.09 = $3.91/share = $391. At expiry the trade pays $391 anywhere between $700 and $810, loses the full $609 below $690 or above $820, and scales linearly between the wings and the bodies.
Key levels on the chart:
- Spot $749.90 — current underlying price, inside the lower body.
- Lower long strike $690.00 — the floor; below this the structure is worthless at expiry.
- Lower short strike $700.00 — lower profit boundary.
- Upper short strike $810.00 — upper profit boundary.
- Upper long strike $820.00 — the ceiling; above this the structure caps at the net debit loss.
- Lower breakeven $696.09 — $690 + $6.09 net debit.
- Upper breakeven $813.91 — $820 − $6.09 net debit.
- Max profit $391 — between $700 and $810 at expiry, limited by the 10-point wings (not the 110-point body gap).
- Max loss $609 — below $690 or above $820 at expiry.
Trade Details
| Field | Value |
|---|---|
| Instrument | XSP options (Dec 18 2026 standard monthly) |
| Underlying | XSP (mini-SPX, 1/10th S&P 500) |
| Structure | Long Call Condor — 4 legs |
| Strikes | Long 690C / Short 700C / Short 810C / Long 820C |
| Leg 1 | BTO +1× XSP 690C Dec 18, 2026 at $79.25 (IV 23.6%) |
| Leg 2 | STO −1× XSP 700C Dec 18, 2026 at $71.045 (IV 22.7%) |
| Leg 3 | STO −1× XSP 810C Dec 18, 2026 at $7.80 (IV 14.2%) |
| Leg 4 | BTO +1× XSP 820C Dec 18, 2026 at $5.685 (IV 13.9%) |
| Width | $10.00 lower body + $10.00 upper body (110-pt body gap) |
| Expiration | 2026-12-18 (148 DTE at entry) |
| Settlement | AM-settled (standard monthly; last trade day Thursday 12/17) |
| Net debit at fill | $6.09/share = $609/contract (OptionStrat basis) |
| Contracts | 1 long call condor |
| Total debit | $609 (1 × $609) |
| Max profit | $391 at expiration (lower wing width $10 − net debit $6.09 = $3.91/share × 100) |
| Max loss | $609 (= net debit, defined risk) |
| Lower breakeven | $696.09 (lower long strike $690 + net debit $6.09) |
| Upper breakeven | $813.91 (upper long strike $820 − net debit $6.09) |
| Reward:risk | 1:0.64 ($609 risk to $391 reward) |
| IV at entry | IV-by-strike 23.6/22.7/14.2/13.9% |
| Entry time | Jul 23 2026, mid-morning |
| Management rule | 50% of max profit (~$195 to close) OR close at 30 DTE |
| Stop loss | 2× debit ($1,218/contract cost to close) OR XSP closes below $685 or above $825 |
Greeks Snapshot (Black-Scholes)
| Greek | Per-contract value | Interpretation |
|---|---|---|
| Delta (Δ) | Positive at entry | Spot sits inside the lower body, so the structure carries net long delta at entry — unlike the ATM condors, this one starts with directional exposure. |
| Gamma (Γ) | Mixed | Long gamma from the ITM lower body vs short gamma from the upper body. |
| Theta (Θ) | Net positive | Body shorts decay faster than the wing longs; time works for the trade. |
| Vega (ν) | Mild | Lower-vol underlying; IV moves matter less than on the QQQ structures. |
Numbers per-contract = per-share × 100.
Verification (source corrections)
Two figures in the source needed correction, and the article corrects them explicitly:
- Max profit: one figure alt-text line in the source states a max profit of $10,391. The article text corrects the formula — lower wing width $10 − $6.09 net debit = $3.91/share = $391 — and uses $391 consistently in the hero stats, payoff section, and outcome table. The $10,391 figure is not used anywhere in this entry.
- Take-profit level: one management line in the source states a take-profit at +$5,000. This conflicts with the $391 max profit and appears to be stale copy from another trade's template. It is not treated as a valid target; the working rule is 50% of max profit (~$195/contract).
How the Trade Has Moved Against the Underlying
The source includes a companion spot-vs-strategy-premium simulation chart (not migrated; only the P/L curve was in scope). Its key reading: with spot starting inside the lower body, the structure's premium is less sensitive to small spot moves than the ATM condors — the ITM lower body cushions the open. Sharp moves in either direction still hurt via the short-gamma profile.
Intraday Setup (entry)
- Pre-market context: XSP tracking the S&P 500; spot $749.90 at entry, above both lower-body strikes. The Dec 18 '26 chain showed lower IV than the QQQ chains — 23.6% at the 690C falling to 13.9% at the 820C.
- Entry signal: Spot inside the lower body with the upper body 8.0% OTM. The structure expresses a hold-the-corridor view into year-end on the lower-vol index.
- Execution: Opened July 23, 2026, mid-morning at $6.09 debit. Got 1 contract at the recorded basis. Slippage: zero.
- Position size check: $609 max loss = 0.203% of $300k book. Below the per-trade cap.
Management Plan
- Open through Q3 2026: Hold. The condor has net positive theta and a 110-point body gap. Take 50% of max profit (~$195/contract) if the trade crosses the halfway mark.
- 30-DTE hard close: Close or roll by mid-November regardless of P&L.
- Stop loss: 2× debit ($1,218/contract cost to close) OR XSP closes below $685 or above $825. (As noted above, one source line states a +$5,000 take-profit level; it conflicts with the $391 max profit and is treated as stale copy, not a valid target.)
Position Update Log
| Date | XSP Price | Position Value | P&L | Notes |
|---|---|---|---|---|
| 2026-07-23 (entry) | $749.90 | $609.00 | — | Opened. 1 long call condor @ $6.09 debit. Zero slippage. |
Outcome
| Metric | Value |
|---|---|
| Realized P&L | Open trade — to be filled at expiration or earlier management action |
| Holding time | 148 DTE target (Jul 23 2026 → Dec 18 2026) |
| Hit target? | Open — take 50% if profit ≥ ~$195/contract. |
Lessons
(To be filled in as the trade progresses through Q3/Q4 2026.)
Cross-references
- The strategy page for this structure (referenced in the source as a strategy entry) covers the long call condor mechanics in the abstract.
- The playbook (2026-07-05 SOP) governs position sizing, the 30-DTE hard close rule, and the 50%-of-max-profit take-profit rule used here.
- The two QQQ condors opened the same day in this journal (Nov 20 '26 715/725/810/820 and Dec 18 '26 700/715/845/860) are the higher-vol, higher-payout siblings of this structure.
Disclosure
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