Wing Comparison in the 38 Day RUT Iron Condor

In the last post, 38 Day RUT Iron Condor - 2013 / 2014 Performance, we looked at some of the statistics for the 38 days-to-expiration (DTE) RUT "no touch" Iron Condor (IC).  We noticed that the 8 and 12 delta variations of this trade have performed better in the last year and a half than they did in the prior six year period (through 2012).  The opposite is the case for the 16 and 20 delta variations.  We have been in a different market for the last year and a half with trade performance deviating from past observations.

In this post we will review the performance of the 38 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 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 7 times.  The percentages are 13% and 8% 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 -199% versus -185% for the puts.  The puts lost less often, and the total magnitude of those losing put trades was smaller.  The average loss for the losing call spreads was -18%, while the average loss for the losing put spreads was -26%.  The big losses on the put side occurred in fall of 2008 and the late summer of 2011.

For the 12 delta version, the calls lost 16 times, while the puts lost 10 times.  18% and 11% respectively.  The sum of the negative returns for the calls was -403% versus -252% 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 -25%, while the average loss for the losing put spreads was -25%...identical!

For the 16 delta version, the calls lost 21 times, while the puts lost 12 times.  24% and 14% respectively.  The sum of the negative returns for the calls was -636% versus -355% 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 -30%, while the average loss for the losing put spreads was -30%...again, identical!

For the 20 delta version, the calls lost 26 times, while the puts lost 14 times.  30% and 16% respectively.  The sum of the negative returns for the calls was -873% versus -484% 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 -34%, while the average loss for the losing put spreads was -35%...almost identical!

The call spreads lost more often than the put spreads, but the magnitude of the average loss for each put side and call side loss was nearly identical for the 12, 16, and 20 delta variations.  The average loss for the 8 delta variation was greater for the put side.  The total losses on the call side were larger than the total losses on the put side, 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.