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Iron Condor Scanner
The iron condor is a very popular option strategy that is easy to learn but hard to master. It has a limited loss on both sides and high time decay, allowing users to increase their profit ratio and close the trade early. It is built from selling call and put credit spreads OTM and collecting the premium as long as the stock is in the profit range. The concept is easy to understand and implement, and many edges are easy to implement, such as IV rank, probability of profit, and so on.
However, this strategy can become more complex to generate profits in different market conditions. Such nuances can be earnings season, unbalanced iron-condors, skews, closing trades early, and so on.

Our iron condor scanner compares hundreds of millions of possible combinations to find the optimal trade. We use various unique filters to control our market outlook to direct the scanner to what is considered 'best' trade (as different market conditions will require different implementation). In this article, we will describe the unique filters we can use to look for the best iron condor, and in the second section, we will show some example use cases.


Iron Condor 'Shapes'


The 'shape' of the iron condor refers to the Profit and Loss profile it has when charting on a graph. You can control those 'shapes' using the filter in our scanner to help you find the trades you are looking for faster.

Balanced iron condor


Also called symmetrical iron condor. This iron condor has the same maximum loss at both wings. This means that the distance between strikes on the calls side is equal to the distance on the puts side. This is a very fast scan, and easy to analyze manually. However, it doesn't provide the best statistical edge.

Riskless Up 


Also known as Jade Lizard. It is a bullish iron condor where the premium collected is more than the call side's strike distance. This means that you will not lose even if the stock rises (but you will earn less). The benefit is: that it is a bullish strategy, that if you are wrong, you will lose less than other strategies. The disadvantage is that if the stock is very strong, you will not earn as much.

Riskless Down


It is a bearish iron condor where the premium collected is more than the puts side's strike distance. This means that you will not lose even if the stock falls (but you will earn less). The benefit is: that it is a bearish strategy, that if you are wrong, you will lose less than other strategies. The disadvantage is that if the stock is very weak, you will not earn as much.

Unbalanced


 Also known as Asymmetrical, This is an optimal iron condor. To build it, we check all possible combinations and return the iron condor with the highest expected value. The benefit is that this is the IC with the highest statistical edge, but it takes the longest to run, and it is hard to analyze manually. We wrote more about it in our blog, including examples: Optimal Iron Condors


Iron Condor Filters:

Iron condors have more than 24 unique filters plus all the other filtres grandfathered in from stock and options filtering. You can see the description of all the filters in-app. In this section, we want to focus on some of the more essential filters that help us determine what Iron condors we find:
  • Iron Condor Shape Filter: This filter allows you to control the IC's shape, as described above.
  • Expected Value: This is a measure of the statistical edge and one of SamurAI's unique features. Please check this article to learn more. 
  • Profit Ratio: This is the trade's return. It is the maximum profit divided by the maximum loss.
  • Probability of the max profit/max loss: This is the statistical/mathematical interpretation of the current option pricing. Read more here.
  • Trade's delta: You can control the delta of the entire IC. If the delta is positive, the IC is bullish. If delta is negative - the IC is bearish. If the delta is around 0 - the IC is natural.
  • Profit range to ATR: This is a unique measure that divides the strategy's breakeven points by the ATR (Average True Range). It is a technical measure that allows you to compare different trades on different assets and account for the different volatilities. It standardizes the breakeven point by volatility. Read more in our blog.
  • Short / Long put / call delta: You can control the individual legs of the IC. This allows you more control of the scanner and will enable you to compare more predictable trades. Check out this article for more information and use-cases.


Iron Condor Use-Cases

As mentioned above, iron condors are very useful and provide good versatility, but there are nuances to master. To help you get started, we have created some examples of different use-cases for iron condors. You can use them as-is to use them as a template to begin your scan:
  • High probability iron condors: You can look for IC that have a high probability of expiring with profit, even with the maximum profit. You can set the probability of profit filter to above 70% and the Expected value to positive. There are many more filters you can use to increase your likelihood of profit. Checkout this predefined scan to help you get started: https://new.optionsamurai.com/scan/edit/1214
  • Earnings play iron condors: Since IV is elevated before earnings, you collect the IC's maximum premium before this event. The fact that the max loss is capped helps with loss management if you are wrong. You can use this scan to help you get started: https://new.optionsamurai.com/scan/view/1224, and we've also added a link below to a blog post to help you get started.
  • Iron condor that has a profit on +-1 standard deviation move: If you are looking for more of a statistical edge, you can use our scenario engine to filter trades according to a what-if scenario you build. This article explains how to build this scan to help you get started.
  • Riskless up iron condors: These are bullish iron condors that will profit if the stock stays the same or rises a bit, but if the stock is very strong will not earn as much. In return, the time decay is high, and you will lose less if you are wrong. Check out this scan to get started: https://new.optionsamurai.com/scan/edit/14317 
  • Riskless down iron condors: As mentioned above, riskless down iron condors are bearish IC that enjoy high time decay and limit your loss if you are wrong. The downside is that if the stock is very weak, you will earn less. You can use this predefined to get started: https://new.optionsamurai.com/scan/edit/14318.
  • Iron Condor with 20 delta sold legs: You can use the SamurAI scanner to find iron condors with fixed-delta legs and maximum profit ratio. This will help you find consistent trades across different tickers. You can use this scan to help you get started: https://new.optionsamurai.com/scan/edit/14321


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