Short Put Condor

Volatility

Inverse of long put condor.

Performance across all datasets

SymbolReturn %SharpeMax DD %Win %Avg/trade %Trades
SPY-1873.5%-3.24+1770.3%+0.0%-98.6%19
QQQ-1817.6%-2.56+1661.4%+0.0%-95.7%19
IWM-1933.5%-2.38+1872.0%+0.0%-101.8%19
DIA-1684.7%-2.45+1628.0%+0.0%-88.7%19
Avg-1827.3%-2.66+1732.9%+0.0%—19
Cumulative P&L % — all symbols
Detail:
Cumulative P&L % — SPY

Risk Profile

Max Profit
Net credit
Max Loss
In center zone
Breakeven
Around condor body
Outlook
Breakout / long vol

Parameters

ParameterDefaultDescription
inner_width5%Distance between short strikes

Methodology

Credit setup with gains from movement away from center.

Implementation

# -P(K4)+P(K3)+P(K2)-P(K1)