Iron condor
An iron condor sells an out-of-the-money put spread and an out-of-the-money call spread on the same expiry. It collects a credit that is kept if the underlying settles between the short strikes, with a maximum loss capped by the long wings: a defined-risk short volatility position.
Senzoukria · Glossary · Updated September 2026
At a glance
- Legs
- Long put, short put, short call, long call (four strikes, one expiry)
- Max gain
- Net credit received
- Max loss
- Width of one spread − credit
Worked example
Underlying at 100, 30 days, 20% implied volatility, zero rates. Sell the 95 put for 0.57 and buy the 90 put for 0.07; sell the 105 call for 0.64 and buy the 110 call for 0.12. The net credit is 1.02. The position keeps it if the underlying ends between 95 and 105, breaks even at 93.98 and 106.02, and loses at most 5 − 1.02 = 3.98 below 90 or above 110.
| Underlying at expiry | P&L |
|---|---|
| Below 90 | −3.98 (max loss) |
| 93.98 | 0 |
| 95 to 105 | +1.02 (max gain) |
| 106.02 | 0 |
| Above 110 | −3.98 (max loss) |
Greeks
At inception the example condor has negative gamma, −0.065, and negative vega, −0.106 per volatility point, with positive theta: it benefits from time passing quietly and from falling implied volatility. The exposure is a strangle's with the tails cut off. As the underlying approaches a short strike, that side's delta grows and the position behaves like a directional credit spread.
What defined risk does and does not mean
- The maximum loss is known at entry, which limits the damage of a tail move compared with a naked strangle.
- The ratio of maximum loss to credit, here almost 4 to 1, means one loss can erase several gains; the outcome depends on how often the short strikes are breached.
- American-style legs can be assigned early, and settlement near a short strike creates pin risk on physically settled products.
- Wing strikes sit in the steep part of the put skew, so their prices depend on the smile, not only on at-the-money volatility.
In Senzoukria
An iron condor prints as four legs of equal size on one expiry. Senzoukria's Option Flow can tag such prints MULTI when they share a size and print within 25 milliseconds; its strike ladder and concentration grid show matching activity on out-of-the-money puts and calls. In the GEX module, sold wings add to the open interest of those strikes, but the chain does not say whether the open interest belongs to condor sellers or to buyers of the same strikes.
Related
In the same section
- Isolated vs cross margin
- Introducing broker
- IV rank vs IV percentile
- Intrinsic value
- Kelly criterion
- Intrabar delta
- Keychain credentials
- Intrabar ambiguity
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Frequently asked questions
- Is an iron condor a neutral strategy?
- It is roughly delta neutral at entry, but it is not risk neutral: it is short volatility. It gains when the underlying stays in a range and implied volatility falls, and loses when a move or a volatility spike occurs.
- How does an iron condor differ from an iron butterfly?
- An iron butterfly sells the put and the call at the same, usually at-the-money, strike and buys wings on both sides. It collects more premium and has a narrower profit zone, peaking at the centre strike, while the condor has a flat profit zone between two short strikes.