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Iron Fly Performance

Market Measures

Options involve risk and are not suitable for all investors. Please read Characteristics and Risks of Standardized Options before deciding to invest in options.

An Iron Fly is a defined risk strategy consisting of a short straddle and a long strangle. The structure is very similar to an Iron Condor except it uses ATM short options. In this piece, the research team explores the historical performance of the strategy.

The Study:
  • SPY
  • 2005 - 2018
  • 45 DTE
  • Compared:
    • $5 Wide Iron Fly
    • 20 Delta $5 Wide Iron Condor
  • Held to Expiration

Iron Flies have a much higher potential Return on Capital when compared to Iron Condors, but without proper management they exhibit a success rate less than 50%. One way we can improve the consistency of the strategy performance is by incorporating a management component. When managed at 21 days, the Iron Fly sees a drastic increase in the win rate and a consistent return on capital.

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