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Neutral OutlookDefined RiskIntermediate LevelNeutral

Iron Condor

Sell an OTM Call Spread and an OTM Put Spread simultaneously to collect double premium in a range-bound market with strictly defined risk.

Ideal IV Regime
High IV (Ideal for Selling)
Capital Required
Medium (₹45k - ₹85k)
Holding Duration
2 to 4 Weeks
Breakeven Formula
Lower BE = Short Put - Total Credit; Upper BE = Short Call + Total Credit

Interactive Payoff Curve & Greeks Simulation

Visualize the theoretical profit & loss at expiry vs T+0 immediate day curves. Drag the simulation slider to stress-test your trade.

Interactive Payoff EngineRef: NIFTY 50 (@ 24,500)

Option Payoff Curve & Greeks

Lots:
Inspected Price
24,500
At Spot Price
P&L at Expiry
+3,750
Settlement Day Return
P&L Today (T+0)
+3,750
Immediate Move Est.
Breakeven Point(s)
₹24,050 | ₹24,950
Zero P&L Level
₹02,925-2,925BE: 24050BE: 24950Spot 2450023600242002480025400
Expiry P&L
T+0 Line (Today)
Breakeven
Drag slider below to stress test price moves
Simulation Slider: ₹23,600Selected: ₹24,50025,400

Net Option Greeks (Sensitivity Profile)

Values per 1 Lot standard unit
Net Delta (Δ)Direction
0.00 (Delta Neutral)
₹ move per ₹1 underlying change
Net Theta (Θ)Time Decay
+₹850/day (High positive theta income)
Daily decay erosion / accumulation
Net Vega (ν)Volatility
-₹620 (Profits from IV crush)
P&L impact per 1% IV shift
Net Gamma (Γ)Curvature
-0.002
Rate of delta acceleration

Multi-Leg Position Structure (4 Legs)

ActionInstrument / StrikeTypeExpiryApprox DeltaEst. PremiumQty Ratio
BUY23,900 PE (Long Wing)PUTMonthly Expiry-0.10₹351x
SELL24,200 PE (Short Put)PUTMonthly Expiry-0.25₹1101x
SELL24,800 CE (Short Call)CALLMonthly Expiry+0.25₹1101x
BUY25,100 CE (Long Wing)CALLMonthly Expiry+0.10₹351x
Quantitative Mechanics

How the Structure Works

Delta-neutral with positive Theta (+θ). You profit from the passage of time and the collapse of Implied Volatility.

The Iron Condor is the undisputed king of non-directional options trading. You sell both an OTM Put Spread (bullish credit) and an OTM Call Spread (bearish credit) around a consolidating market. As long as the underlying stays inside your wide profit cage (24,200 to 24,800), all 4 options expire worthless, yielding maximum profit.

Strike Selection Criteria

Institutional Strike Selection Rules

1Sell 20-25 Delta Call & Put; Buy 10-Delta Wings 300 pts further out with 30-45 DTE.
Execution Playbook

Phased Execution Blueprint

Follow this structured sequence to eliminate emotional hesitation during order entry, lifecycle management, and final exit.

Phase 1: Market ScanStep 01

Range-Bound Filter

Confirm ADX < 20 and IV Percentile > 50.

Checklist:
ADX < 20
IV Rank > 50
Support/Resistance established
Phase 2: ExecutionStep 02

4-Leg Basket Order

Execute all 4 legs simultaneously.

Checklist:
Total credit ≥ 30% of wing width
Check margin

Interactive Margin & Position Size Calculator

Calculate exact lot sizing based on the 1-2% risk rule to preserve capital against Black Swan events.

Position Sizing & Margin Engine

Options Position Size & Max Risk Calculator

Total net liquid equity in your brokerage account

%

Recommended: 1.0% - 2.0% for disciplined longevity

Wing width max loss or defined mental/system SL

Max Risk Budget
4,500
1.5% of portfolio
Recommended Position Size
1 Lots (25 Qty)
Mathematically sized
Total Trade Max Loss
3,500
1.17% of total capital
Est. Margin Required
35,000
12% margin utilization
SEBI & NSE Risk Management Guideline:Never allocate more than 30% of total liquid capital to a single options expiration cycle, even with defined-risk spreads. Keep a minimum of 40% free cash buffer to accommodate sudden IV spikes, margin surges, or rolling adjustment requirements.
Capital Preservation

Rigorous Risk Rules & Adjustment Protocols

Non-negotiable parameters for stop-loss triggers, portfolio caps, and firefighting adjustments when market tests your strikes.

Stop-Loss Rule
Exit or adjust if underlying touches either short strike, or when trade loss reaches 1.5x initial credit collected.
Max Risk Budget
1.5% portfolio capital
Profit-Taking Trigger
Close mechanically when 50% to 60% of total credit is captured.
Adjustment & Firefighting Protocols
  • Roll Untested Side: If market rallies toward short call, roll the put spread up closer to price to collect extra credit.
  • Convert to Iron Butterfly: Roll untested spread all the way to tested strike.
Margin & Capital Guideline:

SEBI requires margin for only ONE side of the spread (~₹50,000 per lot).

Real Trade Case Study

NIFTY Iron Condor (24200/23900 PE & 24800/25100 CE) Trade Walkthrough

July 2024Full Win
Setup Context & Rationale

Nifty traded sideways between 24,300 and 24,700 for 3 weeks.

Legs Executed & Fill Prices

Sold 24200 PE & 24800 CE / Bought 23900 PE & 25100 CE (Net Credit = ₹150 = ₹3,750 on 25 qty)

Key Post-Trade Takeaways
  • Closed early at 50% profit; avoided late expiry week volatility.
Trade Accounting
Capital Allocated:
₹55,000 margin
Maximum Risk Allowed:
₹3,750 (300 pt width - ₹150 credit = 150 pts)
Realized Net P&L:
+₹2,800 (Closed at 65% profit after 16 days)

Common Mistakes to Avoid

Holding through earnings releases

Why it happens: Gap moves breach wings instantly.

Solution: Only trade index or non-earnings stocks.

Institutional Pro Tips

Taking profit at 50% max profit increases the historical win rate from 68% to over 84%.
Knowledge Base

Iron Condor FAQs

How much capital do I need for an Iron Condor in Nifty?

Approximately ₹45,000 to ₹60,000 per lot with full SEBI hedged margin relief.

Alternative & Complementary Strategies

SEBI Regulatory Risk Warning:Trading in derivatives (Futures & Options) carries substantial risk of loss and is not suitable for all investors. A SEBI study revealed that 89% of individual traders in the equity F&O segment incurred net losses averaging ₹50,000 annually. Content provided here is strictly for educational, analytical, and quantitative learning purposes, and does not constitute investment advice or solicitation under SEBI (Investment Advisers) Regulations.