Wing Comparison in the 52 Day RUT Iron Condor

In the last post, 52 Day RUT Iron Condor - 2013 / 2014 Performance, we looked at some of the statistics for the 52 days-to-expiration (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).  The pattern should be getting pretty clear now...we have been in a different market for the last year and a half.

In this post we will review the performance of the 52 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 8 times.  The percentages are 13% and 9% 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 -273% for the puts.  The puts lost less often, but the total magnitude of those losing put trades was larger.  The average loss for the losing call spreads was -18%, while the average loss for the losing put spreads was -34%...almost twice as large!  The big losses on the put side occurred in fall of 2008, when the financial crisis really hit.

For the 12 delta version, the calls lost 16 times, while the puts lost 12 times.  19% and 14% respectively.  The sum of the negative returns for the calls was -469% versus -387% 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 -29%, while the average loss for the losing put spreads was -32%.

For the 16 delta version, the calls lost 17 times, while the puts lost 12 times.  20% and 14% respectively.  The sum of the negative returns for the calls was -736% versus -568% 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 -43%, while the average loss for the losing put spreads was -47%.

For the 20 delta version, the calls lost 20 times, while the puts lost 14 times.  23% and 16% respectively.  The sum of the negative returns for the calls was -991% 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 -50%, while the average loss for the losing put spreads was -53%.

The call spreads lost more often than the put spreads, but the magnitude of the average loss for each put side loss was larger for all delta variations.  The total losses on the call side were larger than the total losses on the put side, except for the 8 delta variation.  The smaller credit for 8 delta shorts, played a role here.  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.