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 ($285 / $330) define the range you're renting out; the long wings ($280 / $335) 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, $353, not double it. Max profit is the $147 credit, earned by doing nothing.

Breakevens land at $283.53 and $331.47. Outside that band the position loses; between it, it wins. That band is 15.5% wide relative to spot, against 27% implied vol over 27 days.

Return on risk is $147 against $353 — roughly 42% if it works. You need a high hit rate to justify that ratio, which is exactly what the 69% probability is telling you.

The risk shape is a plateau with two cliffs. Anywhere between $283.53 and $331.47 you make money; past the long wings you lose a fixed $353. 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 Aug 28 strikes are $5 apart near the money (1.62% of spot). Coarse enough that the strike you want frequently does not exist, and the nearest rung is a different trade. 32k contracts of open interest on Aug 28 is workable around the money and thin in the wings — width costs more here than the ladder suggests. 18 strikes on that expiry — 41% 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 inverted: the 25-delta CALL implies 1.7% more vol than the put. That is the market pricing upside risk above downside risk — a squeeze, a takeover rumour, or a crowded short. Selling calls into an inverted skew pays better than usual and is riskier than usual for exactly the same reason. 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 27% ATM implied vol, the Aug 28 options are pricing a one-standard-deviation move of $22.60 over 27 days — roughly −7.3% to +7.3%, or $286.31 to $331.51. 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 7.3% is too much or too little for AAPL over 27 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.