Market Measures

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Iron Condors as Mini Strangles

Market Measures

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How similar are strangles and iron condors in terms of performance? We tested the following to find out some similarities between the two strategies.

  • SPY
  • 2005 - Present
  • 45 Days to Expiration
  • Short 20 delta puts and calls
  • Compared Correlations in P/L for Strangles and Varying Width Iron Condors:
    • 1, 2, 5, 10 Wide

We find that the more narrow the wings, the less correlated the performances (P/Ls) of the iron condors are to the strangles without wings. However, narrow wings on the iron condor also mean less volatility of your position relative to the strangle. With wider wings, you more closely match the performance (P/L) and the volatility of the strangle.

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