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neutral strategies
Iron Condors
Analyzing the risk profile of iron condors
Skewing Delta
On the last page we saw how skewing the width of the strikes on one side of the iron condor could help us accommodate our market assumptions. Another, more blatant way of accomplishing this is to skew the delta of our wings. In other words, sell one wing closer to the share price, and the other wing farther
Bullish Iron Condors
In the example above, we sold a $3-wide put spread the and a $3-wide call spread much farther OTM. The result is an iron condor with a profit zone that extends far above the current share price. In exchange, the risk to the downside is much closer.
Bearish Iron Condors
Alternatively, we could sell an ATM call spread, and a far OTM put spread instead. This would give us a bearish iron condor, with plenty of room for profit to the downside, and a closer risk zone on the upside.