Performance

The chart above displays the performance of the Condor Options newsletter Iron Condor strategy since inception. For comparison, we also show the performance of the S&P 500. The tables below show monthly returns and some key performance metrics since inception.

Trade history since inception (PDF) 

Prices listed above are those received and confirmed by the participating auto-trading brokers.  Trade results account for slippage, but not for broker commissions, exchange fees, or interest on cash.

Monthly Returns, %

 

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Condor Options SPX
2007           0.10 0.09 0.06 0.11 0.03 0.04 0.07 0.62 -0.01
2008 -0.24 0.00 0.04 0.04 0.05 0.06 -0.02 0.06 0.05 -0.25 0.07 0.03 -0.18 -0.39
2009 0.04 0.09 -0.05 0.01 0.03 0.06 0.07 0.00 -0.09 0.06 0.02 0.10 0.36 0.23
2010 0.07 0.01 -0.04 0.05 -0.08 0.09 -0.04 -0.01 -0.07 0.04 0.02 -0.00 0.02 0.13
2011 0.06 -0.11 -0.00 0.13 0.02 0.00 -0.12 -0.13 -0.05 0.07 0.07 0.12 0.03 -0.00
2012 0.01 0.05 0.06 0.07 0.05 -0.08 0.10 0.04 -0.07 -0.01 -0.06 0.06 0.21 0.13
2013 0.02 0.00 0.03 0.04 -0.11 -0.05 0.06 0.00 0.06 0.03 0.00 0.05 0.13 0.28

 

Performance Statistics

 

  Condor Options SPX
Annualized Return 0.15 0.03
Annualized Std Dev 0.25 0.17
Annualized Sharpe (Rf=1%) 0.58 0.12

Return percentages for each trade are calculated as the ratio of the net credit (debit) on the trade to the capital at risk. For example, assume an iron condor with strikes at 50/52/60/62 and opened for a credit of $0.90. The position performs well, and a few days before expiration we close it out for a debit of $0.10. To calculate the return on the trade, we need to calculate two elements: capital at risk and net credit/debit.

Capital at risk: for a symmetrically constructed iron condor spread, the capital at risk is given by the distance between the short and long strikes on either the put or call side, minus the credit received to open the trade. In our example, the strike distance is $2.00, and the opening credit is $0.90, so our capital at risk is $1.10. $1.10 is the most that we can lose on the trade, i.e. that’s exactly what we’re risking. Net credit/debit: opening credit minus any debits incurred in adjusting or closing the trade. In our example, that’s $0.90 – $0.10 = $0.80. 

To calculate the return on the trade, divide the net credit by the capital risked: 0.80/1.10 = 0.72, or 72%