Delta Neutral Iron Condor - Summary Statistics

In the next several posts, I am going to compare the results from the three different "no touch" Iron Condor (IC) trades that I have shown over the last few months.

In this post, we will look at the summary statistics for just the RUT and SPX delta neutral ICs.  The image below shows the summary statistics of the RUT delta neutral IC version for all of the days-to-expiration (DTE) and all of the short strike deltas shown on this blog.  The Sharpe Ratio and Sortino ratios are the best for the 66 DTE, 16 and 20 delta variations.

The next image shows the summary statistics for the SPX delta neutral IC version for all of the DTE, and all of the short strike deltas shown on this blog.  The Sharpe Ratio and Sortino ratios are the best for the 38 DTE, 12 and 16 delta variations.

The details associated with the prior two images can be found at the links below:

• Delta Neutral Iron Condor - RUT - 38 DTE
• Delta Neutral Iron Condor - RUT - 52 DTE
• Delta Neutral Iron Condor - RUT - 66 DTE
• Delta Neutral Iron Condor - RUT - 80 DTE

• Delta Neutral Iron Condor - SPX - 38 DTE
• Delta Neutral Iron Condor - SPX - 52 DTE
• Delta Neutral Iron Condor - SPX - 66 DTE
• Delta Neutral Iron Condor - SPX - 80 DTE

In the next post I will review the summary statistics for the extra long put, "no touch" IC trades.

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