Iron Condor Losing Trades - Summary

In the last six posts, we looked at the start dates for all of the losing "no touch" iron condor (IC) trades in the RUT and SPX during our seven year backtest range.  You can find these six posts at the following links:

• Iron Condor Losing Trades - 24 DTE
• Iron Condor Losing Trades - 31 DTE
• Iron Condor Losing Trades - 38 DTE
• Iron Condor Losing Trades - 52 DTE
• Iron Condor Losing Trades - 66 DTE
• Iron Condor Losing Trades - 80 DTE

In this post we will look at the expiration dates for all of these same losing "no touch" IC trades.  By looking at the expiration dates, we can include all six of the different days-to-expiration (DTE) versions of the "no touch" strategy in a single table.  This will help us see if different DTE for a given expiration date would have resulted in greater/fewer losing trades.

The four tables below represent all of the losing trades for the RUT and SPX "no touch" IC trades in our backtests.  In these tables, I split the trades that were losers on the call side from trades that were losers on the put side. 

In all four tables, each row represents a unique option expiration, with the blue columns associated with the RUT trades and the green columns associated with the SPX trades.  Each of the sub-columns for the RUT and SPX list one of the six DTE windows in our backtests (80, 66, 52, 38, 31, 24).  These sub-columns contain cells that are either blank or contain a number from 1 to 4.  These numbers tell us how many of the four delta variations (8 delta, 12 delta, 16 delta, 20 delta) for a specific DTE window were losers.  

Recall that in most cases in our losing trade analysis, if only one delta variation for a given DTE was a loser, it was typically the 20 delta variation.  If there were two losers, they were typically the 16 and 20 delta variations.  If there were three losers, they were typically the 12, 16, and 20 delta variations.  For example, when you see a 2 in a cell in the tables below, that is most likely telling you that the 16 and 20 delta variations were losers.

Now let's dive into the tables.  The first set of two tables below, looks only at the losing RUT and SPX "no touch" IC trades that lost as a result of a large call side (call credit spread) loss.  The first table covers the expirations from 02/17/2007 through 09/18/2010.  The second table covers the expirations from 10/16/2010 through 04/19/2014.

There are some interesting patterns that are visible in the data.  For example, for the 09/19/2009 expiration, both the RUT and SPX trades lost with most of their delta variations at 80 and 60 DTE, but the other DTE versions of the trades at this expiration were all winners across all delta variations.

For the 07/16/2011 expiration, both the RUT and SPX trades lost with most of their delta variations at 38, 31, and 24 DTE, but the other DTE versions of the trades at this expiration were all winners across all delta variations.  There were also occasions where there was no overlap between the RUT and SPX, but in general, a losing expiration for the RUT corresponded to a losing expiration for the SPX.

The second set of two tables, looks only at the losing RUT and SPX "no touch" IC trades that lost as a result of a large put side (put credit spread) loss.  The first table covers the expirations from 02/17/2007 through 09/18/2010.  The second table covers the expirations from 10/16/2010 through 04/19/2014.

Similar patterns are visible with the put side tables as with the call side tables.  With the very bullish market during the last couple of years, the loss density on the call side is far greater than on the put side.  During this two year period, there were very few IC DTE versions that experienced losses as a result of outsized put spread losses.  It is also interesting to note that with several expirations, it did not matter when you started the trade...the expiration still resulted in losses across a range of  DTE start dates.

The data used to generate these tables is included in the embedded spreadsheet below.  You can browse the data in the embedded spreadsheet or download it from the link below.

You can download this spreadsheet from the blog page at this link: "No Touch" Iron Condor Losing Trades Spreadsheet.

Iron Condor Losing Trades - 24 DTE

In this post, we will look at the losing trades from the backtests for the RUT and SPX "no touch" iron condors (IC) at 24 days to expiration (DTE).  The chart below overlays the start dates of the losing 24 DTE RUT trades with the RUT index.  The start dates of these trades are shown as a bar graph overlay, with the four colors corresponding to a different delta variation of this strategy.  The red bar segment corresponds to the start date of the 20 delta variation, blue with the 16 delta variation, green with the 12 delta variation, and orange with the 8 delta variation.  Recall that the delta number mentioned, is the delta of the short strikes (calls and puts) in the IC.  For all of the "no touch" IC trades, the RUT had a wing width of 20 points while the SPX had a wing width of 25 points.

In the first four prior RUT "no touch" IC versions (80 DTE, 66 DTE, 52 DTE, 38 DTE), the losing 8 delta trades always coincided with losing 12 delta trades, the 12 delta trades with the 16 delta trades, and lastly the losing 16 delta trades coincided with the losing 20 delta trades.  With this 24 DTE trade (and the 31 DTE trade), we see this pattern break down.  There were four trades during this test range where this pattern is violated.

Each row in the table below is analogous to a bar in the chart above.  This table lists the start, end, and expiration dates for the losing trades.  After these three date columns there are four groups of three columns, with each group representing one of the four delta variations of this RUT "no touch" 24 DTE IC (8 delta, 12 delta, 16 delta, 20 delta).  Each of these four groups shows the percent return of the call credit spread (CCS), percent return of the put credit spread (PCS), and the total percent return.  With this information we can see which side of the IC caused a trade to lose, and by how much.

The next chart, similar to the RUT chart above, overlays the start dates of the losing 24 DTE SPX trades with the SPX index.  Just like the last posts, there are several SPX trades that do not follow the same delta pattern of losing trade start dates as the RUT "no touch" IC trades.

Similar to the RUT table above, the table below provides more detail for each of the bars shown in the chart above.  Each row in the table is analogous to a bar in the chart above.  With this information we can see which side of the IC caused a trade to lose, and by how much.

It might be valuable to review the market conditions on the start dates corresponding to these losing trades, as well as the market conditions during the period between the start and end dates.  These conditions might give us a clue as to when and how to adjust these trades.

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Iron Condor Losing Trades - 31 DTE

In this post, we will look at the losing trades from the backtests for the RUT and SPX "no touch" iron condors (IC) at 31 days to expiration (DTE).  The chart below overlays the start dates of the losing 31 DTE RUT trades with the RUT index.  The start dates of these trades are shown as a bar graph overlay, with the four colors corresponding to a different delta variation of this strategy.  The red bar segment corresponds to the start date of the 20 delta variation, blue with the 16 delta variation, green with the 12 delta variation, and orange with the 8 delta variation.  Recall that the delta number mentioned, is the delta of the short strikes (calls and puts) in the IC.  For all of the "no touch" IC trades, the RUT had a wing width of 20 points while the SPX had a wing width of 25 points.

In the four prior RUT "no touch" IC versions (80 DTE, 66 DTE, 52 DTE, 38 DTE), the losing 8 delta trades always coincided with losing 12 delta trades, the 12 delta trades with the 16 delta trades, and lastly the losing 16 delta trades coincided with the losing 20 delta trades.  With this 31 DTE trade, we start to see this pattern break down.  There were two trades in the first half of 2010 where this pattern is violated.

Each row in the table below is analogous to a bar in the chart above.  This table lists the start, end, and expiration dates for the losing trades.  After these three date columns there are four groups of three columns, with each group representing one of the four delta variations of this RUT "no touch" 31 DTE IC (8 delta, 12 delta, 16 delta, 20 delta).  Each of these four groups shows the percent return of the call credit spread (CCS), percent return of the put credit spread (PCS), and the total percent return.  With this information we can see which side of the IC caused a trade to lose, and by how much.

The next chart, similar to the RUT chart above, overlays the start dates of the losing 31 DTE SPX trades with the SPX index.  Just like the last posts, there are several SPX trades that do not follow the same delta pattern of losing trade start dates as the RUT "no touch" IC trades.

Similar to the RUT table above, the table below provides more detail for each of the bars shown in the chart above.  Each row in the table is analogous to a bar in the chart above.  With this information we can see which side of the IC caused a trade to lose, and by how much.

It might be valuable to review the market conditions on the start dates corresponding to these losing trades, as well as the market conditions during the period between the start and end dates.  These conditions might give us a clue as to when and how to adjust these trades.

If you don't want to miss my new blog posts, follow my blog either by email or by RSS feed.  Both options are free, and are available on the top of the right hand navigation column under the headings "Follow By Email" and "Subscribe To RSS Feed".  I follow blogs by RSS using Feedly, but any RSS reader will do.