OEX Condor Backtesting Spreadsheet

[optionator]

I have generated a basic excel spreadsheet for OEX Iron Condors credit trades that generates deep OTM condor ranges. The spreadsheet calculates Condor range based on 4.5X ATR, 20 day & 100 day historical volatility. The condor range assumes initiating the trade the Monday after expiry based on Expiry Friday's close. Over the two year time period analyzed, you would have lost once out of 24 trades.

If anyone is interested in the spreadsheet, please provide your e-mail and I will send it to you.

 

[haimhh]

speradsheet

I have generated a basic excel spreadsheet for OEX Iron Condors credit trades that generates deep OTM condor ranges. The spreadsheet calculates Condor range based on 4.5X ATR, 20 day & 100 day historical volatility. The condor range assumes initiating the trade the Monday after expiry based on Expiry Friday's close. Over the two year time period analyzed, you would have lost once out of 24 trades.

If anyone is interested in the spreadsheet, please provide your e-mail and I will send it to you.

i interested in the spreadsheet ,and my e-mail [email protected]

thank
haim

 

[Windlesham1]

I thought I was a fairly smart cookie with strategies,but I think the only way to trade is sadly,to take the higher risk approach of legging in. I used to do iron butterflies/condors on ftse as a way to limit margin risk,but the wings are costly. Price Headley is a credit spread seller,as I think most of us are-every time I buy stand alone options they wilt and die like the flowers that constantly make their way into the house!
My current positions are-naked short otm ftse puts,and Mar/Jun deep itm put calendar spread which now looks ugly.I am always pleased to see options traders thinking about strategies-I shall have a spring in my step this morning,knowing I am part of the elite traders-the best of the best, the Jedai knights of.................................... I'll get me coat

 

[optionator]

I tried sending the spreadsheet to the e-mail address provided but it kicked back to me. Please check the e-mail address.

i interested in the spreadsheet ,and my e-mail [email protected]

thank
haim

 

[haimhh]

Spreadsheet

Hi.
Can you try to send the Spreadsheet to [email protected] instead?

I tried sending the spreadsheet to the e-mail address provided but it kicked back to me. Please check the e-mail address.

 

[belinea03]

If I understand correctly you're being direction with an OTM Condor. What's the results using OTM verticals?

 

[optionator]

If I understand correctly you're being direction with an OTM Condor. What's the results using OTM verticals?

Essentially that is how I initiate my condor by legging into it be writing vertical credit spreads. For instance, I will sell a call credit spread, then sell a put credit spread.

 

[belinea03]

Ok, the intent is to leg into an Iron Condor. Did you backtest using the standard long Condor and compare the results to that of your Iron Condor? The results should be interesting.

 

[maximon]

spreadsheet

I have generated a basic excel spreadsheet for OEX Iron Condors credit trades that generates deep OTM condor ranges. The spreadsheet calculates Condor range based on 4.5X ATR, 20 day & 100 day historical volatility. The condor range assumes initiating the trade the Monday after expiry based on Expiry Friday's close. Over the two year time period analyzed, you would have lost once out of 24 trades.

If anyone is interested in the spreadsheet, please provide your e-mail and I will send it to you.

Please send me the spreadsheet. [email protected] Thanks

 

[HB4775]

I have generated a basic excel spreadsheet for OEX Iron Condors credit trades that generates deep OTM condor ranges. The spreadsheet calculates Condor range based on 4.5X ATR, 20 day & 100 day historical volatility. The condor range assumes initiating the trade the Monday after expiry based on Expiry Friday's close. Over the two year time period analyzed, you would have lost once out of 24 trades.

If anyone is interested in the spreadsheet, please provide your e-mail and I will send it to you.

Can you send me the spreadsheet: [email protected]. Thanks.

 

[mrx333]

I would be interested in your spreadsheet, too. Please send to [email protected]

Thanks!

 

[YAWBARIMA]

I have generated a basic excel spreadsheet for OEX Iron Condors credit trades that generates deep OTM condor ranges. The spreadsheet calculates Condor range based on 4.5X ATR, 20 day & 100 day historical volatility. The condor range assumes initiating the trade the Monday after expiry based on Expiry Friday's close. Over the two year time period analyzed, you would have lost once out of 24 trades.

If anyone is interested in the spreadsheet, please provide your e-mail and I will send it to you.

[email protected]

THANKS FOR THE OFFER & HAPPY TRADING.

 

[zhk]

I have generated a basic excel spreadsheet for OEX Iron Condors credit trades that generates deep OTM condor ranges. The spreadsheet calculates Condor range based on 4.5X ATR, 20 day & 100 day historical volatility. The condor range assumes initiating the trade the Monday after expiry based on Expiry Friday's close. Over the two year time period analyzed, you would have lost once out of 24 trades.

If anyone is interested in the spreadsheet, please provide your e-mail and I will send it to you.

Could you please send me the Spreadsheet @ [email protected] Thnaks
Zee

 

[ychiung]

Can I have the spreadsheet?

Hi I'm interested in the spreadsheet. Can you send me one so I can have a look? Thanks.

 

[ychiung]

Is anyone trading the OEX Iron Condor for the July Expiration? I did the 590/595 and 555/550 and it seems like a losing trade? The index closed 559.91 and has 3 weeks left.

 

[optionator]

oex condor spreadsheet

Is anyone trading the OEX Iron Condor for the July Expiration? I did the 590/595 and 555/550 and it seems like a losing trade? The index closed 559.91 and has 3 weeks left.

The spreadsheet can be found on http://www.optionsrez.com under "Free Stuff"

As far as your question concerning the July OEX Iron Condor, I've sold a put credit spread on the 550/545 options. i'm waiting for the OEX to swing up so that I can sell a 595/600 call credit spread.

The calculated range for July expiration (per the spreadsheet) is 595 - 550.

 

[Windlesham1]

How can you trade puts 2% out of the money? We are in a seriously low vol. period,so selling premium has greater risk. May the force be with you and all other option traders,but I have looked at US indices for scalping and couldn't find zip. I also have a huge concern over the massive margin required to write SPX options-I can see it prevents small players selling anything except spreads with obvious margin requirements. FTSE is rubbish but perhaps our lower margin is compensation.

 

[ychiung]

I know it sounds crazy to trade puts/calls that is about 3% from the underlying. Well, the trade was suggested by an advisor who claims to have better than 90% accuracy since 2001. It's pretty common to see low volume during the summer but so is the volatility! The US indices seem to be going sideways as far as I can see. Up, down, up, down! Given the low volatility, I may not get as much premiums but I dont lose as much either. The options market are incredibly efficient in reflecting this trend. Okay, at this stage, is it worthwhile to earn like 2% of the amount risked or take a little more risk and get 10+% per month? optionator, just wondering how much premium did you get for the 550/545 spread?

 

[Windlesham1]

ychiung-vol=volatility, volume is of secondary importance,but it's as well to reflect on the idea that low volume=high volatility-markets fly around when there are less players-the futures market in particular can be moved by anyone with million quid,in quiet periods. Anyone trading that close to the money is liable to get burned sooner or later-there are no free lunches.

 

[bulldozer]

Wind,
Good post!
I wonder how many condors trades were closed out prematurely by their brokers cause positions went on margin-call. Trading so close to mrkt levels! run HIGH risk of being closed out early and at a loss. Has anybody experienced this problem?

Bull