Wing Comparison in the 24 Day RUT Iron Condor

In the last post, 24 Day RUT Iron Condor - 2013 / 2014 Performance, we looked at some of the statistics for the 24 days-to-expiration (DTE) RUT "no touch" Iron Condor (IC).  We noticed that all variations of this trade performed worse in the last year and a half than they did in the prior six year period (through 2012).  The market has changed in the last year and a half, with trade performance deviating from past observations.

In this post we will review the performance of the 24 DTE RUT "no touch" IC's put credit spreads and call credit spreads independently.   The heat graphs below show the performance of the different delta variations 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 date.

With the "no touch" 8 delta version, the call spreads lost 17 times since 2007, while the put spreads also lost 13 times.  The percentages are 20% and 15% 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 -203% versus -204% for the puts...about equal.  The total magnitude of the losing put trades was 1% greater.  The average loss for the losing call spreads was -12%, while the average loss for the losing put spreads was -16%.  The big losses on the put side occurred in the spring of 2008, the fall of 2008 and the late summer of 2011.

For the 12 delta version, the calls lost 17 times, while the puts lost 14 times.  20% and 16% respectively.  The sum of the negative returns for the calls was -320% versus -280% 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 -19%, while the average loss for the losing put spreads was -20%...almost equal.

For the 16 delta version, the calls lost 20 times, while the puts lost 15 times.  23% and 17% respectively.  The sum of the negative returns for the calls was -445% versus -362% 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 -22%, while the average loss for the losing put spreads was -24%.

For the 20 delta version, the calls lost 23 times, while the puts lost 18 times.  26% and 21% respectively.  The sum of the negative returns for the calls was -616% versus -479% 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 -27%, while the average loss for the losing put spreads was -27%...equal!

The call spreads lost more often than the put spreads.  The magnitude of the average loss for each put side loss was larger than the average loss for each call side loss...except for the 20 delta variation where they were equal.  The total losses on the call side were larger than the total losses on the put side (except for the 8 delta variation where they were about the same), and this difference grew larger as the size of the short delta increased.  Again, most of the losses in these trades in the last year and a half have occurred on the call side.