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Iron Condors | Varying Profit Targets

Market Measures

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One of the unique things you will hear from us is the importance of managing winners and to provide you with meaningful data we ran a study on managing winners for iron condors at different percentage levels and today we are presenting the results. All premium sellers, especially, directionally neutral traders, can benefit from the info here.

The December 4, 2015 Market Measures, examined the best percentage levels for managing winners when selling strangles. We revisit some of that here and present data from a new study on the best percentage levels for managing winners when selling iron condors.

A study was conducted using the SPY (S&P 500 ETF) from 2005 to present (1325 occurrences) and shorting $3 wide iron condors with a 20 delta. We managed winners at 10 percentage point increments (10%, 20%, 30%, 40%, 50% and 60%) as compared with holding the trades to expiration. All results included commissions of $1.50 per leg.

A table of the results of the study of managing winners at 10 percentage point increments (10%, 20%, 30%, 40%, 50% and 60%) was displayed. The table included the management level, average duration, average P/L per day and the win ratio from each level. A graph of the P/L per day versus the profit target on the iron condors was displayed.

Another table was displayed comparing managing short iron condors and short strangles at different management levels (30%, 40%, 50%, 60% and 70%). The table included the average duration and average P/L per day on both.

Watch this segment of “Market Measures” with Tom Sosnoff and Tony Battista for the valuable takeaways and to learn the best management levels for Iron Condors and how that compares to Strangles.

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