Not yet listed. Not yet listed. Options cannot be backtested until we hold historical option prices, and nothing is listed without a test.
Every options strategy on this site is a bet about how much the index will move. The condor and the strangle bet it will stay inside a range that is some distance away. The straddle bets it will barely move at all. At twenty past nine it sells a call and a put at the index's current level, and from that moment every point the index moves in either direction eats into what it collected.
In exchange it collects more than anything else here, often several times what a strangle does. That premium is the market's estimate of how far the index will move today, paid up front. The strategy's claim is that most days the estimate is a little too high. Some days it is far too low.
Why it leaves early, both ways
A straddle is never held to the end. Its target is a third to a half of the premium, booked as soon as the day's decay delivers it, and its stop is close: on the conservative version, a premium expansion of thirty percent ends the trade, which on a straddle happens after a modest move. Both are small next to the full premium on purpose. The strategy is not trying to collect the whole fee. It is trying to collect a slice of it on a quiet day and be out before a loud one does any damage.
Then there are the days it refuses to trade. Expiry day, when option prices move fastest for a given index move, is skipped on the conservative and balanced versions. So is the day before a scheduled event, because a policy announcement at eleven is not a quiet day. The aggressive version trades through both, which is why it is called that.
It does not try to keep the premium. It tries to keep a slice of it, on the days the market has already decided to be dull.
What makes it the most demanding strategy here
Two things. The loss has no ceiling on either side, like a strangle, but with no distance to cross first: the strangle's strikes give the index room to wander before anything is lost, and the straddle's give it none. And the margin a broker blocks for two sold options at the money is the largest of anything on this site, and it rises when the market gets nervous, which is exactly when the position is already losing.
Straddle sellers manage this by adjusting constantly: hedging with the index, rolling the losing side, adding wings to cap it. Each is a judgement call made under pressure, and a rule-based strategy exists precisely to take judgement under pressure out of the trade. The robot has an early target and an early stop and lets them decide. If you find yourself wanting to intervene while it runs, that is useful information about whether this is the strategy for you.
Who should be reading this
Someone who already sells options, understands what a gap does to a sold position, and has the margin to spare. Nobody else. The iron condor is on this site so that there is a defined-risk place to start, and the honest advice is to start there and come back to this once a year of condors has shown you what the index does on the days you did not expect.
If you take one thing away
The straddle collects the largest premium by giving the index no room, and leaves early in both directions because it cannot afford to wait. It is for experienced option sellers, and it is unlisted until we can test it.
Think a stricter filter or wider stop fixes weekly short straddle? Open the rule sheet, change the numbers, and run your own test.
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