Reverse Iron Condor

Volatility

Buy put spread + buy call spread.

Performance across all datasets

SymbolReturn %SharpeMax DD %Win %Avg/trade %Trades
SPY+2476.4%0.38+600.0%+36.8%+130.3%19
QQQ+5262.7%0.57+365.9%+47.4%+277.0%19
IWM+8022.6%0.71+527.5%+47.4%+422.2%19
DIA-580.2%-0.23+700.0%+26.3%-30.5%19
Avg+3795.4%0.36+548.3%+39.5%—19
Cumulative P&L % — all symbols
Detail:
Cumulative P&L % — SPY

Risk Profile

Max Profit
Spread width - debit
Max Loss
Net debit
Breakeven
Both sides
Outlook
Long volatility

Parameters

ParameterDefaultDescription
wing_width5-10%Distance between strikes

Methodology

Debit-defined-risk long-volatility structure that profits from larger moves either direction.

Implementation

# Long put spread + long call spread