Iron Condor Service – Strategy + Performance

BetterBeta Trading's Iron Condor newsletter service is designed for retail options traders who are looking to generate trading income independent of market direction.

  • Each week, we open 2 iron condors - one in the Russell 2000 (RUT) index and one in the S&P 500 (SPX) index - generally 7-9 days before expiration.
  • Both indexes feature European-style options which means they are cash-settled and do not have early assignment or dividend risks.
  • We use five point spreads, requiring $500 each in margin.
  • The average credit received for an iron condor is $150, resulting in a maximum risk of $350 on a five point spread (500-150).
  • The iron condor strategy is uncorrelated to both indexes. Over the past 3 years of monthly returns, the correlation between the indexes and the BetterBeta signals is -0.02.
  • Strike selection for iron condors and vertical spreads (for hedging) is systematic and non-discretionary.
 
 
When the markets do trend and our short calls or puts are in jeopardy, we systematically determine when to close the position ahead of expiration. Unlike a traditional monthly iron condor strategy, our hold time is short enough that we do not roll or adjust the original iron condor positions.
In approximately 70% of the trades in 2014-2016, the positions were allowed to expire worthless for the full credit. In the other 30%, long verticals or early position closes mitigated the losses from the iron condor and smoothed the equity curve.
 

Weekly Trade Performance

The following trades are from the weekly SPX/RUT Iron Condor newsletter, launched December 7, 2016 (replacing the monthly RUT-only newsletter). Note that all returns in the table below should be multiplied by 100 to calculate the dollar amount (e.g., a 2.7 return is $270).

     Total Returns10.13
Positive Months80%
IndexExpirationStrikesQty.Entry PriceClose PriceP/L
September 2017-7.82
SPX15Sep2430/2435P, 2485/2490C11.43.5-2.1
RUT15Sep1370/1375P, 1420/1425C11.33.6-2.3
SPX8Sep2445/2450P, 2490/2495C11.301.3
RUT8Sep1385/1390P, 1425/1430C11.3301.33
SPX1Sep2405/2410P, 2465/2470C11.84.4-2.6
RUT1Sep1345/1350P, 1395/1400C11.555-3.45
August 20173.13
SPX25Aug2380/2385P, 2460/2465C11.401.4
RUT25Aug1320/1325P, 1380/1385C11.401.4
SPX18Aug2375/2380P, 2470/2475C11.7501.75
RUT18Aug1335/1340P, 1395/1400C11.3301.33
SPX11Aug2440/2445P, 2490/2495C11.32.5-1.2
RUT11Aug1375/1380P, 1425/1430C11.43.5-2.1
SPX4Aug2435/2440P, 2485/2490C11.4501.45
RUT4Aug1405/1410P, 1450/1455C11.452.35-0.9
July 20174.1
SPX28Jul2450/2455P, 2495/2500C11.3501.35
RUT28Jul1415/1420P, 1455/1460C11.401.4
SPX21Jul2425/2430P, 2470/2475C11.43-1.6
RUT21Jul1400/1405P, 1445/1450C11.2501.25
SPX14Jul2370/2375P, 2435/2440C11.83.55-1.75
RUT14Jul1365/1370P, 1425/1430C11.61.50.1
SPX7Jul2380/2385P, 2445/2450C11.6501.65
RUT7Jul1385/1390P, 1435/1440C11.701.7
June 20174.55
SPX30Jun2400/2405P, 2455/2460C11.401.4
RUT30Jun1375/1380P, 1430/1435C11.401.4
SPX23Jun2400/2405P, 2450/2455C11.752.17-0.42
RUT23Jun1380/1385P, 1435/1440C11.401.4
SPX16Jun2400/2405P, 2455/2460C11.301.3
RUT16Jun1385/1390P, 1440/1445C11.301.3
SPX9Jun2395/2400P, 2450/2455C11.2501.25
RUT9Jun1365/1370P, 1420/1425C11.254-2.75
SPX2Jun2385/2390P, 2430/2435C11.352-0.65
RUT2Jun1355/1360P, 1405/1410C11.351.030.32
May 20171.86
SPX26May2315/2320P, 2395/2400C11.43.6-2.2
RUT26May1320/1325P, 1390/1395C11.301.3
SPX19May2260/2365P, 2410/2415C11.12.5-1.4
RUT19May1355/1360P, 1405/1410C11.42.5-1.1
SPX12May2255/2360P, 2410/2415C11.501.5
RUT12May1355/1360P, 1415/1420C11.2501.25
SPX5May2255/2360P, 2405/2410C11.2501.25
RUT5May1380/1385P, 1430/1435C11.2601.26
April 20174.55
SPX28Apr2295/2300P, 2390/2395C11.301.3
RUT28Apr1340/1345P, 1410/1415C11.33.8-2.5
SPX21Apr2300/2305P, 2370/2375C11.4501.45
RUT21Apr1320/1325P, 1385/1390C11.2501.25
SPX13Apr2320/2325P, 2380/2385C11.4501.45
RUT13Apr1330/1335P, 1390/1395C11.2501.25
SPX7Apr2335/2340P, 2385/2390C11.201.2
RUT7Apr1345/1350P, 1405/1410C11.252.1-0.85
March 2017-6.39
SPX31Mar2295/2300P, 2385/2390C11.22-0.8
RUT31Mar1300/1305P, 1380/1385C11.3501.35
SPX24Mar2355/2360P, 2405/2410C11.25-3.8
RUT24Mar1355/1360P, 1410/1415C11.355-3.65
SPX Hedge24Mar2350/2355P1352
RUT Hedge24Mar1350/1355P12.950.36-2.59
SPX17Mar2325/2330P, 2390/2395C11.501.5
RUT17Mar1325/1330P, 1395/1400C11.2501.25
SPX10Mar2355/2360P, 2415/2420C11.2501.25
RUT10Mar1360/1365P, 1415/1420C11.352.95-1.6
SPX hedge3Mar2395/2400C22.10-4.2
SPX3Mar2325/2330P, 2390/2395C21.4502.9
RUT3Marno position
February 20171.55
SPX24Feb2315/2320P, 2375/2380C21.302.6
RUT24Febno position
SPX Hedge17Feb2320/2325C1352
RUT Hedge17Feb1390/1395C12.252.8
SPX17Feb2265/2270P, 2315/2320C11.35-3.7
RUT17Feb1325/1330P, 1385/1390C11.55-3.5
SPX Hedge10Feb2305/2310C13.951.1
SPX10Feb2235/2240P, 2300/2305C11.255-3.75
RUT10Feb1325/1330P, 1390/1395C11.401.4
SPX3Feb2265/2270P, 2325/2330C21.302.6
RUT3Febno position
January 20172.42
SPX Hedge27Jan2295/2300C12.81.3-1.5
SPX27Jan2225/2230P, 2285/2290C11.45-3.6
RUT27Jan1320/1325P, 1385/1390C11.501.5
SPX20Jan2245/2250P, 2300/2305C11.30.450.85
RUT20Jan1340/1345P, 1395/1400C11.61.73-0.13
SPX13Jan2230/2235P, 2290/2295C21.302.6
RUT13Janno position
SPX6Jan2210/2215P, 2280/2285C11.301.3
RUT6Jan1320/1325P, 1390/1395C11.401.4
December 20162.18
SPX30Dec2235/2240P, 2290/2295C11.51.170.33
RUT30Dec
no position - lack of strikes
SPX23Dec2210/2215P,2290/2295C11.301.3
RUT23Dec1315/1320P, 1390/1395C11.3501.35
SPX Hedge16Dec2275/2280C120-2
SPX16Dec2205/2210P, 2270/2275C11.201.2
RUT16Decno position
Sum10.13
 
 

Historical Performance Summary

The following charts and table shows the performance of the weekly index iron condor trade signals from January 2014 to November 17, 2016. During the first half of 2014, the RUT had limited weekly strikes and we did not have as many RUT iron condors as SPX iron condors. The trade frequency in 2015 and 2016 is more representative of the signals going forward.

Please note that this is a walk-forward test, not a historical trade log (for a historical trade log, please see the weekly performance above, beginning December 7, 2016). As with all performance reports, past performance is no guarantee of future results. All returns cited are non-compounded, dollar denominated. You can read more about our transition from a monthly RUT-only newsletter to a weekly SPX and RUT service here.

ic_weeklies
 
ic_weeklies_monthly
ic_weeklies_monthly_frequency
 
QuarterNet Returns ($)Iron Condor TradesHedge Trades   
Q1 2014778153Positive Months24
Q2 201445175Negative Months11
Q3 20141418277Winning Percentage69%
Q4 20141226175
Q1 2015-969167Profit Factor3.13
Q2 20152514240
Q3 2015558267Correlation to RUT0.05
Q4 201534247Correlation to SPX-0.09
Q1 2016355269
Q2 2016926266
Q3 20162528264
Q4 2016908124
Total10,321
 

Monthly Trade Performance

Although we no longer offer the monthly RUT-only iron condor signals, you can review the full trade log for the retired monthly service.

 
 

New to Credit Spreads? The Iron Condor Strategy Explained

We utilize an options trade structure called an Iron Condor, which sounds more ominous than it really is. An iron condor is constructed by selling an out-of-the-money (OTM) call spread and an OTM put spread of the same expiration cycle. As the seller, you collect a credit when you open the trade and your max risk is the width of the spread minus the credit you receive.

Let's look at a hypothetical example:
As an iron condor options trader, you look at your chart of the Russell 2000 (RUT) index and see that it is trading at 800. You decide to sell the 720/710 put spread for $170 and the 880/890 call spread for $160. You collect a total of $330 by selling both spreads. Your maximum risk is $670 – the width of the spreads ($1000) minus the credit you collect ($330).

While the structure of the trades is relatively simple, there are other aspects of crafting a profitable iron condor trade, such as selecting an appropriate underlying (index, etf or single stock), position sizing, correlations, volatility, strike and month selection, adjustments and trade closing.
RUT Iron Condor Example Chart
 

Become a Premium Member

Part of trading success is finding a strategy that works for your timeline, risk tolerance and trading style. That's why we offer a free, no-risk 15 day trial. Simply sign up and see for yourself how BetterBeta Trading's Iron Condor newsletter service can improve your trading and deliver profits to your bottom line.

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Disclaimer: The future performance of our Iron Condor newsletter service may vary from the above actual results. Markets change and our strategy will adjust accordingly to achieve greatest profitability within our risk parameters. The recommended asset allocation model for our iron condor strategy may result in lower returns on a percentage basis relative to the capital allocated to the strategy. Feel free to contact us with any questions you may have about the strategy.