Wing Comparison in the 66 Day RUT Iron Condor

In the last post, 66 Day RUT Iron Condor - 2013 / 2014 Performance, we looked at some of the statistics for the 66 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).

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 12 times since 2007, while the put spreads lost 5 times.  The percentages are 14% and 6% 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 -508% versus -242% 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 -42%, while the average loss for the losing put spreads was -48%.

For the 12 delta version, the calls lost 17 times, while the puts lost 5 times.  20% and 6% respectively.  The sum of the negative returns for the calls was -676% versus -297% 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 -40%, while the average loss for the losing put spreads was -59%.

For the 16 delta version, the calls lost 19 times, while the puts lost 10 times.  22% and 12% respectively.  The sum of the negative returns for the calls was -829% versus -372% 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 -44%, while the average loss for the losing put spreads was -37%.

For the 20 delta version, the calls lost 20 times, while the puts lost 11 times.  23% and 13% respectively.  The sum of the negative returns for the calls was -1156% versus -533% 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 -58%, while the average loss for the losing put spreads was -48%.

The call spreads lost nearly twice as often as the put spreads.  The magnitude of the average loss for each put side loss was smaller for the 16 and 20 delta variations and larger for the 8 and 12 delta variations.  The total losses on the call side were significantly larger than the total losses on the put side though.  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.  Only trading put credit spreads would have been a good choice during the last few years.  These are all important points to consider while we continue to dig into iron condors on the RUT.