Daily Iron Condor — SPY
SPY · Net-Credit · Non-Directional · Mon–Thu Daily
Total Realized P&L
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Win Rate
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Condor Cycles
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Closed round-trips
Profit Factor
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Gross win / gross loss
Avg Hold Time
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Minutes per leg
Max Drawdown
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Cumulative low
📋 Strategy Overview
A neutral, premium-selling strategy with two short OTM spreads — a bull put spread and a bear call spread — bracketing the ATM price. Four option legs are opened each weekday morning (Mon–Thu) and closed at 14:20 ET the same day. The iron condor profits when SPY stays between the two short strikes at exit.
The strategy is delta-neutral at entry. Primary failure modes are: (1) entering in a high-IV environment (straddle >1.50%), or (2) SPY carrying prior-day outsized momentum through the short strikes.
Long putBUY TO OPENATM − 15 (e.g. $545 at SPY=$560)PAY
Short putSELL TO OPENATM − 10 (e.g. $550)COLLECT
Short callSELL TO OPENATM + 10 (e.g. $570)COLLECT
Long callBUY TO OPENATM + 15 (e.g. $575)PAY
Net Credit = (shortPut + shortCall) − (longPut + longCall)
Strike Construction
atm = round(spy_price)
lp_str = atm - SHORT_SPREAD - WING_WIDTH # e.g. 545 at SPY=560
sp_str = atm - SHORT_SPREAD # e.g. 550
sc_str = atm + SHORT_SPREAD # e.g. 570
lc_str = atm + SHORT_SPREAD + WING_WIDTH # e.g. 575
lp_str = atm - SHORT_SPREAD - WING_WIDTH # e.g. 545 at SPY=560
sp_str = atm - SHORT_SPREAD # e.g. 550
sc_str = atm + SHORT_SPREAD # e.g. 570
lc_str = atm + SHORT_SPREAD + WING_WIDTH # e.g. 575
ℹ️ Friday is skipped — no new positions are opened on Fridays. The script holds positions intraday only (open 9:40 ET, close 14:20 ET the same day).
⚙️ Parameters
Ticker
SPY
Qty / Leg
40
Short Spread
$10
Wing Width
$5
Profit Target
+90%
Stop Loss
−80%
Max profit per trade: net_credit × 100 × 40
Max loss per trade: (5 − net_credit) × 100 × 40
🕐 Schedule
| Event | When | Days |
|---|---|---|
| Entry open | 9:40 ET | Mon–Thu |
| Entry cutoff | 12:00 ET | Mon–Thu |
| Exit | 14:20 ET | Mon–Thu |
| Auto-exit (profit) | Any time | Mon–Thu |
| Auto-exit (stop) | Any time | Mon–Thu |
| Heartbeat | Every 5 min | Always |
Options expiry is always the next Friday (nearest weekly expiry).
🚦 Auto-Exit Rules
Profit Target
+90% of max profit
Stop Loss
−80% of max profit
Monitor Interval
Every 5 min
🔍 Trade Filters
All filters are evaluated from live option prices at entry time. SPY's filters are calibrated for its lower volatility regime vs QQQ — notably a wider MAX_STRADDLE_PCT (1.50%) and lower MAX_PREV_DAY_MOVE threshold.
| # | Filter | Value | Rationale |
|---|---|---|---|
| 1 | MIN_CREDIT_RATIO | 0.05 | Net credit must be ≥ 5% of wing width ($0.25 on a $5 wing) — condor short strikes are OTM so premium is lower than the butterfly |
| 2 | MIN_CREDIT_ABS | $0.25 | Absolute minimum credit per share — below this level the risk/reward is unfavourable |
| 3 | MIN_STRADDLE_PCT | 0.10% | Skip if the ATM straddle is < 0.10% of SPY — IV so low that OTM option strikes have near-zero premium |
| 4 | MAX_STRADDLE_PCT | 1.50% | Skip if the ATM straddle is > 1.50% of SPY — market pricing in a move likely to breach the ±$10 short strikes (wider than QQQ's 1.00%) |
| 5 | MAX_GAP_PCT | 1.0% | Skip if the overnight gap exceeds 1% — gap opens place SPY off-centre relative to the ±$10 profit zone |
| 6 | MAX_PREV_DAY_MOVE | 0.45× wing ($2.25) | Skip if the prior session's intraday range exceeded 45% of the wing width — SPY threshold is lower than QQQ's because SPY is less volatile in dollar terms |
| 7 | LOW_IV_HIGH_RVOL | straddle < 0.15% and avg5 > $3.00 | Skip IV-calm days where the 5-day average realised move has been >$3.00 — avoids selling extremely cheap premium into a realised-vol regime that can carry |
SPY vs QQQ Filter Comparison
| Filter | SPY | QQQ | Reason for Difference |
|---|---|---|---|
MAX_STRADDLE_PCT | 1.50% | 1.00% | QQQ has higher structural volatility; stricter cap on QQQ |
MAX_PREV_DAY_MOVE | 0.45× wing | 1.50× wing | QQQ's larger dollar moves require a higher absolute threshold to avoid over-filtering |
LOW_IV_HIGH_RVOL avg5 | >$3.00 | >$4.50 | SPY's smaller dollar range; $3.00 is a significant day for SPY |
LOW_IV_HIGH_RVOL straddle | <0.15% | <0.80% | SPY must be extremely calm to trigger; QQQ has a wider IV-calm band |
🔄 Iron Condor vs Iron Butterfly
| Aspect | Iron Condor (SPY) | Iron Butterfly (SPY) |
|---|---|---|
| Short strikes | ATM ± $10 | Both at ATM |
| Profit zone | Wider (ATM ± $10 ± credit) | Very narrow (ATM ± credit) |
| Max credit | Lower (OTM premium) | Higher (ATM straddle premium) |
| Win probability | Higher | Lower |
| MIN_CREDIT_RATIO | 0.05 | 0.20 |
| MAX_STRADDLE_PCT | 1.50% | 1.20% |
ℹ️ On very-low-IV days the iron butterfly (
daily_iron_butterfly_spy.py) may collect more premium for a concentrated pinning opportunity. On moderate-IV days this condor provides a wider safety margin.
⚠️ Risk Profile
Max Profit
net_credit × 100 × 40
Max Loss
(5 − credit) × 100 × 40
Upper Breakeven
ATM + $10 + credit
Lower Breakeven
ATM − $10 − credit
Short Spread
$10
Wing Width
$5
Primary Failure Modes
⚠️ High-IV environment: Entering when the ATM straddle is >1.50% of SPY indicates the market expects a move >$8 — the ±$10 short strikes offer little protection.
⚠️ Prior-day outsized momentum: If SPY moved >45% of the wing width in the prior session, momentum-driven continuation can carry SPY through a short strike before the 14:20 ET exit.
ℹ️ Max loss bounded by the wing: (5 − credit) × $4,000 per condor cycle. Intraday-only — no overnight exposure.
💰 Live P&L by SPY Option Symbol
Realized P&L breakdown per OCC symbol — all closed round-trip SPY option legs since deployment.
Realized P&L by Symbol
| OCC Symbol | P&L | Trades | Assessment |
|---|---|---|---|
| Load roundtrips_report_nikkip2_spy.csv to populate | |||
Performance Breakdown
Winners (—)—%
Losers (—)—%
Profit Factor
—
Avg Hold
— min
📂 Open SPY Option Positions
Active SPY option legs currently held in the Np2 account with unrealized P&L.
| OCC Symbol | Type | Qty | Entry $ | Capital at Risk | Unrealized P&L |
|---|---|---|---|---|---|
| Load roundtrips_report_nikkip2_spy.csv to populate | |||||
⚠️ Risk Assessment
Max Drawdown
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Max Capital at Risk
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Max Potential Loss
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Max Position Notional
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Min Position Notional
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Avg Position Notional
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Gross Win
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Gross Loss
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Avg Win
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Avg Loss
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Account Snapshot (SPY options scope — Np2)
| Metric | Value |
|---|---|
| Load roundtrips_report_nikkip2_spy.csv to populate | |
📋 Recent SPY Round-Trip Trades
Last 20 completed round-trip option legs from roundtrips_report_nikkip2_spy.csv.
| OCC Symbol | Type | Close Type | Open Date | Close Date | Qty | Entry $ | Exit $ | Capital at Risk | Max Loss | P&L | Hold |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Load roundtrips_report_nikkip2_spy.csv to populate | |||||||||||
📁 Project Structure
Core Scripts
| File | Purpose |
|---|---|
daily_iron_condor_spy.py | Main trading script — opens/closes SPY condors daily Mon–Thu |
backtests/daily_iron_condor_spy_backtest.py | Historical backtest |
.envNP2 | API keys (not committed to git) |
Generated Outputs
| File | Purpose |
|---|---|
condor_spy_trades_log.csv | Appended strategy trade log |
roundtrips_report_nikkip2_spy.csv | Round-trip P&L report (from download script) |
Running the Script
# Run under screen on the server
screen -S daily-iron-condor-spy -d -m bash -c \
'source .venv/bin/activate && python3 daily_iron_condor_spy.py >> logs/daily_iron_condor_spy.log 2>&1'
# Check status
screen -ls | grep daily-iron-condor-spy
tail -f logs/daily_iron_condor_spy.log
screen -S daily-iron-condor-spy -d -m bash -c \
'source .venv/bin/activate && python3 daily_iron_condor_spy.py >> logs/daily_iron_condor_spy.log 2>&1'
# Check status
screen -ls | grep daily-iron-condor-spy
tail -f logs/daily_iron_condor_spy.log
📋 Summary
Np2 · SPY Daily Iron Condor
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Realized P&L · SPY options only · Paper Trading · Updated on demand
Account
Np2
Trades Closed
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Win Rate
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Profit Factor
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Unrealized
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Deployment
Paper / Alpaca