Wing Comparison in the 80 Day RUT Iron Condor

In the last post, 80 DTE RUT IC - 2013 / 2014 Performance, we looked at some of the statistics for the 80 DTE RUT "no touch" Iron Condor (IC).  We noticed that the trade has not performed as well in the last year and a half as it did in the prior six year period (through 2012).

Another way to look at the performance of this IC, is to review the performance of its put credit spreads and call credit spreads independently.   The heat graphs below show the performance of the different delta versions of the strategy, with the performance of the call credit spreads shown separately from the performance of the put credit spreads for the same expiration.

With the no touch 8 delta version, the call spreads lost 11 times since 2007, while the put spreads lost 6 times.  The percentages are 13% and 7% respectively.  We can also compare the sum of all the losing percentages for the call spreads and put spreads separately.  For the 8 delta version, the sum of the negative returns for the calls was -287% versus -302% for the puts.  Even though the puts lost less often, the magnitude of those losing trades was larger.  The average loss for the losing call spreads was -26%, while the average loss for the losing put spreads was -50%.

For the 12 delta version, the calls lost 15 times, while the puts lost 10 times.  18% and 12% respectively.  The sum of the negative returns for the calls was -568% versus -430% for the puts.  The calls contributed more to the total loses than the puts, and the call loses occurred more frequently.  The average loss for the losing call spreads was -38%, while the average loss for the losing put spreads was -43%.

For the 16 delta version, the calls lost 17 times, while the puts lost 11 times.  20% and 13% respectively.  The sum of the negative returns for the calls was -862% versus -613% for the puts.  Again, the calls contributed more to the total loses than the puts, and the call loses occurred more frequently. The average loss for the losing call spreads was -51%, while the average loss for the losing put spreads was -56%.

For the 20 delta version, the calls lost 22 times, while the puts lost 12 times.  26% and 14% respectively.  The sum of the negative returns for the calls was -1137% versus -738% for the puts.  The calls again contributed more to the total loses than the puts, and the call loses occurred more frequently.  The average loss for the losing call spreads was -52%, while the average loss for the losing put spreads was -62%.

The call spreads lost nearly twice as often as the put spreads, but the magnitude of the average loss for each put side loss was larger.  The total losses on the call side were larger than the total losses on the put side though, except for the 8 delta variation.  It's worth noticing where most of the losses have been occurring in these trades in the last year and a half...the call spreads.  These are all important points to consider while we continue to dig into iron condors on the RUT.