tastytrade LIVE - September 19, 2019 - Iron Condors as Mini Strangles

 
Share
 

Manage episode 242475621 series 1436058
By tastytrade, Inc.. Discovered by Player FM and our community — copyright is owned by the publisher, not Player FM, and audio is streamed directly from their servers. Hit the Subscribe button to track updates in Player FM, or paste the feed URL into other podcast apps.
How similar are strangles and iron condors in terms of performance? We tested the following to find out some similarities between the two strategies. ###Study * SPY * 2005 - Present * 45 Days to Expiration * Short 20 delta puts and calls * Compared Correlations in P/L for Strangles and Varying Width Iron Condors: * 1, 2, 5, 10 Wide We find that the more narrow the wings, the less correlated the performances (P/Ls) of the iron condors are to the strangles without wings. However, narrow wings on the iron condor also mean less volatility of your position relative to the strangle. With wider wings, you more closely match the performance (P/L) and the volatility of the strangle.

604 episodes