AAPL iron condor, priced on the real chain

Four legs, one idea: you are selling the market's estimate of how far AAPL can travel. The short strikes ($315 / $370) define the range you're renting out; the long wings ($310 / $375) cap what a violent move can cost you.

Both spreads cannot lose. AAPL finishes on one side of the market, so at most one vertical goes in the money — which is why max loss is the width of ONE spread minus the credit, $380, not double it. Max profit is the $120 credit, earned by doing nothing.

Breakevens land at $313.8 and $371.2. Outside that band the position loses; between it, it wins. That band is 16.8% wide relative to spot, against 26% implied vol over 33 days.

Return on risk is $120 against $380 — roughly 32% if it works. You need a high hit rate to justify that ratio, which is exactly what the 71% probability is telling you.

The risk shape is a plateau with two cliffs. Anywhere between $313.8 and $371.2 you make money; past the long wings you lose a fixed $380. Between short and long strike the P/L slides linearly — that is where most condors are actually managed, not at expiry.

The killer is a trend, not a spike. A slow grind through the short call over three weeks costs the same as a gap and gives you more chances to talk yourself out of closing.

Liquidity is a risk, not a convenience. The moment you most want out of a short-premium position is the moment the spread is widest, and the exit price you modelled at mid will not be available.

The reference covered-call underlying, and the reason is boring in the best way: a low-20s vol that realizes close to where it implies, a dividend that makes the ex-date calendar matter, and enough open interest at round strikes that you can roll a position for years without ever touching a bad fill. The premium is not exciting; it is repeatable, which is what a covered-call underlying is for.

AAPL's Oct 30 strikes are $5 apart near the money (1.47% of spot). Coarse enough that the strike you want frequently does not exist, and the nearest rung is a different trade. 25k contracts of open interest on Oct 30 is workable around the money and thin in the wings — width costs more here than the ladder suggests. 23 strikes on that expiry — 92% of the board — carry prints that agree with their own implied volatility and hold up across the ladder, and those are the strikes priced here. Penny-wide almost everywhere. If a spread will not fill near mid on Apple, the price is wrong, not the market.

Skew is ordinary — the 25-delta put implies 2.2% more vol than the 25-delta call, about what an equity surface looks like when nothing unusual is being priced. Neither side of the chain is being singled out, which is the condition under which a symmetric structure like a condor is actually symmetric. The term structure is flat inside 1.5% between the two captured expiries, so there is no calendar edge to harvest and no event visibly priced into one month over the other.

At 26% ATM implied vol, the Oct 30 options are pricing a one-standard-deviation move of $26.25 over 33 days — roughly −7.7% to +7.7%, or $314.82 to $367.32. The structure above sells the part of that distribution the market thinks it will not reach. Whether that is a good trade is entirely a question of whether 7.7% is too much or too little for AAPL over 33 days — the delta table cannot answer that, and neither can we.

The mistake this name punishes hardest: Writing calls into a September product cycle at the same delta you used in July. The distribution changes; the delta table does not tell you that.