Iron condor strategy

Checked October 2026

An iron condor sells a put below the market and a call above it, and buys a further put and call so the loss has a cap. Backtoast ran Cboe's monthly version on the S&P 500, which sells the 20-delta options and buys the 5-delta wings. It made 2.0% a year over 47 trades and failed. A positive return is not a pass.

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Iron condor strategy

It's a bet that the index stays inside a range for a month. A 20-delta option has roughly a one-in-five chance of finishing in the money, so most months the condor keeps its credit, but the wings sit far enough out that one bad month can give back several months of it.

Cboe's rule opens the condor on the third Friday of each month with options expiring the next month and holds all four legs to expiry. It sizes each one so the worst case is about 10% of the account.

The iron butterfly strategy sells both options at one strike for a bigger credit and a narrower range, and the 0DTE iron condor runs the same shape on options that expire the day they're opened.

Where it comes from

Cboe publishes the rule as its CNDR index on the S&P 500. In a 2016 study for Cboe, Black and Szado found CNDR had the lowest volatility of six option-selling indexes from 1986 to 2015, and 10 months worse than −6% against 15 for the S&P 500. The run used SPY in place of SPX, from late 2021 to the end of 2025.

The run is Backtoast's, from 29 October 2026, after costs.