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BTC98,420+1.27%
ETH3,812-1.10%
NVDA952.30+1.36%
AAPL178.42-1.19%
TSLA168.90+2.62%
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GC2,342.50+0.36%
CL82.15+1.17%
SOL178.50+3.36%
DXY104.82+0.14%
TF
tf/options
489
tf/options•Posted by u/options_queen•

My Iron Condor strategy results on SPY: 14 months of data

Sold Iron Condors on SPY every week for 14 months. $75K capital. Here are the raw numbers.

Setup: Wings at 16-delta, 30 DTE, $5 wide. Managed at 50% of credit or 21 DTE.

Results:

  • 58 trades closed
  • Win rate: 71%
  • Avg win: +$285, avg loss: -$520
  • Total P&L: +$8,940 or 11.9% annualized
  • Max drawdown: -$3,200 (4-loss streak in October)

It's not spectacular but it's consistent. The only problem is that strongly directional months (like the November rally) hurt me.

6 Comments

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macro_man·edited

11.9% for the risk you're taking isn't great. A bond ETF does 5% with no stress. Is the risk/reward ratio really justified?

112
options_queenOP·edited

Max drawdown of -$3,200 on $75K is -4.3%. That's much better than SPY which had -8% over the same period. Risk-adjusted return is decent.

78
algo_trader_42·edited

I agree the Sharpe must be low here. Have you calculated your Sortino ratio?

34
trader_mike·edited

Have you tried widening the strikes during high IV weeks like CPI or FOMC weeks? It can boost premium without increasing risk too much.

67
newbie_investor·edited

Thanks for the transparency. It's rare to see real numbers. What platform do you use to track all this?

45
options_queenOP·edited

A personal Google Sheets spreadsheet. Tried TradeStation and OptionNet but nothing beat a well-made sheet for my use case.

28