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The names of the Strategy Variations listed above are composed of two parts: 1) the Iron Condor starting structure code, and 2) the dynamic exit code.
The three Iron Condor starting structures were composed of 20 point wide credit spreads with short strikes at the specified delta mentioned above, and defined using the following codes:
- Standard (STD): 10 put credit spreads, and 10 call credit spreads.
- Delta Neutral (DN): 10 put credit spreads, and from 5 to 10 call credit spreads - the number is adjusted at trade initiation to create a delta neutral Iron Condor.
- Extra Long Put (EL): 10 put credit spreads, 10 call credit spreads, and 1 extra long put.
- ML40% - this is a Margin Loss % Exit. Trades using this exit strategy either exit at 8 DTE OR if the trade has a loss greater than 40% of the margin requirement for the trade. (ML40% = Max Loss 40%)
- BSP - this is a Price Movement Exit. Trades using this exit strategy either exit at 8 DTEOR if the price of the underlying (RUT) moves below the strike of the short put. (BSP = Below Short Put).
- 0.6:0.6 - This is an Initial Credit % Loss/Profit Exit. Trades using this exit strategy either exit at 8 DTE OR if the trade has a loss of 60% of its initial credit OR if the trade has a profit of 60% of its initial credit. This can also be viewed as a Risk:Reward ratio; risking 60% of the credit to make 60% of the credit. A 0.7:0.9 variation would mean that the strategy is risking 70% to make 90%...taking a loss at 70% of the initial credit or taking a profit at 90% of the initial credit or exiting at 8 DTE if neither of the prior two criteria were satisfied.
For example, the code DN-0.8:0.9 refers to a delta neutral Iron Condor starting structure that is risking 80% of the initial credit to make 90% of the initial credit. This IC could be exited at 8 DTE OR if the trade has a loss of 80% of its initial credit OR if the trade has a profit of 90% of its initial credit.
