About Condor Strategies
Condors are similar in design to an iron condor (4 legs, same expiration, and strikes equidistant apart) but the strategy is more in line with that of a butterfly.
Long condors are bought for a debit and short condors are sold for a credit.
Short condor position (both call and put) has the outside strikes sold and the inside strikes purchased. A long condor position (both call and put) has the outside strikes purchased and the inside strikes sold.
At expiration, a condor will have its maximum value equivalent to the distance between the consecutive strike prices, when the underlying is at or anywhere between the inside strike prices. The condor will be worthless if the underlying settles above the highest strike or below the lowest strike.
Short Iron Condors
A short iron condor is a multiple leg position that combines a bull put credit spread and a bear call credit spread where all strikes are equal distance and have the same expiration.
This position results in a net credit and max profit is realized if the underlying stock settles at or between the two short inside strikes at expiration.
Max risk is realized if the underlying settles below the lower long put or above the upper long call. This strategy has both limited profit and limited risk potential.
Example:
- Long 1 50 P @ .01
- Short 1 70 P @ .06
- Short 1 90 C @ .03
- Long 1 110 C @ .01
For the example above, you receive .05 for the 70/50 bull put spread and receive .02 for the 90/110 bear call spread.
Net credit on this iron condor is .07
Max profit is equal to the credit received .07
Max loss is equal to the difference between the spread's strike prices (strike differential) less the credit received. Here the max loss is 19.93 (20 - .07)
Max Profit
Max profit is incurred when the stock price is equal to or between the two short options at expiration. Max profit is equal to the net credit received (.07)
Max Loss
Max loss takes place if the underlying stock expires below the lower long put or above the higher long call. Take the strike differential minus the credit received (20 - .07 = 19.93)
Break Even Calculations
The upper BE is equal to the lower short call plus the net credit (90.07) and the lower BE is equal to the higher short put minus the net credit (69.93)
Both the profit and risk in this strategy are limited.
Risk/Reward% = (spread differential - net credit) / net credit
Fields displayed on the Short Iron Condor strategies include:
- Price~ - the last price of the underlying symbol
- Leg1 Strike - the strike price of the leg1 option
- Leg1 Ask - the ask price of the leg1 option
- Leg2 Strike - the strike price of the leg2 option
- Leg2 Bid - the bid price of the leg2 option
- Leg 3 Strike - the strike price of the leg3 option
- Leg3 Bid - the bid price of the leg3 option
- Leg4 Strike - the strike price of the leg4 option
- Leg4 Ask - the ask price of the leg4 option
- BE+ - the upper limit necessary for the strategy to break even. The upper BE is equal to the lower long call plus the net debit.
- BE- - the lower limit necessary for the strategy to break even. The lower BE is equal to the long put minus the net debit.
- Max Profit - the potential maximum profit of this strategy. Max profit is incurred when the stock price settles below the lower short put or above the higher short call.
- Max Loss - the maximum loss that the strategy may return. Max loss takes place if the stock price is equal to or between the two short options at expiration.
- Imp Vol - The average implied volatility (IV) of the nearest monthly options contract. IV is a forward looking prediction of the likelihood of price change of the underlying asset, with a higher IV signifying that the market expects significant price movement, and a lower IV signifying the market expects the underlying asset price to remain within the current trading range. Implied volatility is calculated using the Binomial model.
- Break Even Probability - the likelihood of the strategy breaking even. (See calculation below)
Probability Calculation
We take the underlying stock price, the break even point (target price), the days to expiration, and the 52-week historical volatility, and then use those figures in this formula. Depending on the strategy, we use the above or below probability (i.e., the probability the price crosses the break even point).
Pabove = N(d)
Pbelow = 1 - N(d)
where
N(d)= x if d > 0
= (1-x) if d < 0
and
d = 1n(b/l) / v√t,
y = 1/(1 + 0.2316419|d|),
z = 0.3989423e - (d*d)/2,
x = 1 - z(1.330274y⁵ - 1.821256y⁴ + 1.781478y³ - 0.356538y² + 0.3193815y)
and
b = break even point
l = last price
v = 52-week historical volatility
t = days to expiration
e = 2.71828
Long Iron Condor
A long iron condor is a multiple leg position that combines a bear put debit spread and a bull call debit spread where all strikes are equal distance and have the same expiration.
This position results in a net debit and max profit is realized if the underlying stock settles below the lower short put or above the higher short call at expiration.
Max risk is realized if the underlying settles at or in between the two inside long call and put options. This strategy has both limited profit and limited risk potential.
Example:
- Short 1 160 P @ 7.55
- Long 1 165 P @ 10.25
- Long 1 170 C @ 8.00
- Short 1 175 C @ 6.15
For the example above, you pay 2.7 for the 165/160 bear put spread and pay 1.85 for the 170/175 bull call spread.
Net debit for this iron condor is 4.55
Max profit is equal to the difference between the spread's strike prices (strike differential) less the debit paid. Here the max profit is .45 (5 - 4.55)
Max loss is equal to the net debit (4.55)
Max Profit
Max profit is incurred when the stock price settles below the lower short put or above the higher short call. Take the strike differential minus the net debit (5 - 4.55)
Max Loss
Max loss takes place if the stock price is equal to or between the two short options at expiration. Max loss is the net debit (4.55)
Break Even Calculations
The upper BE is equal to the lower long call plus the net debit (174.55) and the lower BE is equal to the long put minus the net debit (160.45)
Both the profit and risk in this strategy is limited.
Payout% = (spread differential - net debit) / net debit
Fields displayed on the Long Iron Condor strategies include:
- Price~ - the last price of the underlying symbol
- Leg1 Strike - the strike price of the leg1 option
- Leg1 Bid - the bid price of the leg1 option
- Leg2 Strike - the strike price of the leg2 option
- Leg2 Ask - the ask price of the leg2 option
- Leg 3 Strike - the strike price of the leg3 option
- Leg3 Ask - the ask price of the leg3 option
- Leg4 Strike - the strike price of the leg4 option
- Leg4 Bid - the bid price of the leg4 option
- BE+ - the upper limit necessary for the strategy to break even. The upper BE is equal to the lower long call plus the net debit.
- BE- - the lower limit necessary for the strategy to break even. The lower BE is equal to the long put minus the net debit.
- Max Profit - the potential maximum profit of this strategy. Max profit is incurred when the stock price settles below the lower short put or above the higher short call.
- Max Loss - the maximum loss that the strategy may return. Max loss takes place if the stock price is equal to or between the two short options at expiration.
- Imp Vol - The average implied volatility (IV) of the nearest monthly options contract. IV is a forward looking prediction of the likelihood of price change of the underlying asset, with a higher IV signifying that the market expects significant price movement, and a lower IV signifying the market expects the underlying asset price to remain within the current trading range. Implied volatility is calculated using the Binomial model.
- Break Even Probability - the likelihood of the strategy breaking even. (See calculation below)
Probability Calculation
We take the underlying stock price, the break even point (target price), the days to expiration, and the 52-week historical volatility, and then use those figures in this formula. Depending on the strategy, we use the above or below probability (i.e., the probability the price crosses the break even point).
Pabove = N(d)
Pbelow = 1 - N(d)
where
N(d)= x if d > 0
= (1-x) if d < 0
and
d = 1n(b/l) / v√t,
y = 1/(1 + 0.2316419|d|),
z = 0.3989423e - (d*d)/2,
x = 1 - z(1.330274y⁵ - 1.821256y⁴ + 1.781478y³ - 0.356538y² + 0.3193815y)
and
b = break even point
l = last price
v = 52-week historical volatility
t = days to expiration
e = 2.71828
Long Call Condor Example
A long call condor spread is a consecutive bull call spread and a bear call spread combined, where you buy a call, sell a higher call below the underlying, sell a higher call above the underlying and buy a higher call. Each of the calls are equidistant. The long call condor strategy succeeds if the underlying security is trading between the two short call strikes at expiration.
- Long 1 September 90 Call
- Short 1 September 95 Call
- Short 1 September 100 Call
- Long 1 September 105 Call
Long Put Condor Example
A long put condor is a consecutive bull put spread and a bear put spread combined, where you buy a put, sell a higher put below the underlying, sell a higher put above the underlying and buy a higher put. Each of the puts are equidistant. The long put condor strategy succeeds if the underlying security is trading between the two short put strikes at expiration.
- Long 1 September 95 Put
- Short 1 September 100 Put
- Short 1 September 105 Put
- Long 1 September 110 Put
Short Call Condor Example
A short call condor is a consecutive bear call spread and a bull call spread combined, where you sell a call, buy a higher call below the underlying, buy a higher call above the underlying and sell a higher call. Each of the calls are equidistant. The short call condor strategy succeeds if the underlying security is trading above the outer short call strikes at expiration.
- Short 1 September 90 Call
- Long 1 September 95 Call
- Long 1 September 100 Call
- Short 1 September 105 Call
Short Put Condor Example
A short put condor is a consecutive bear put spread and bull put spread combined, where you sell a put, buy a higher put below the underlying, buy a higher put above the underlying and sell a higher put. Each of the calls are equidistant. The short put condor strategy succeeds if the underlying security is trading above the outer short put strikes at expiration.
- Short 1 September 95 Put
- Long 1 September 100 Put
- Long 1 September 105 Put
- Short 1 September 110 Put
Maximum Profit
Long Call or Long Put Condor
The maximum profit for long call or long put condor is the difference between the strike prices less the debit paid. This is achieved if the underlying is between the two inside strikes (between 95 and 100 for below example):
Long Call Condor Example
Long 1 September 90 Call @ $8.00
Short 1 September 95 Call @ $5.00
Short 1 September 100 Call @ $2.00
Long 1 September 105 Call @ $1.00
Net Debit is $2.00. Net Debit = (Leg 1 Ask - Leg 2 Bid - Leg 3 Bid + Leg 4 Ask)
Distance between strikes is $5.00.
Max profit is $3.00 ($5.00 – $2.00).
The same calculation applies for puts.
Short Call or Short Put Condor
The maximum profit for a short call or short put condor is the credit received. Max profit is achieved if the underlying is trading below the lowest strike or above the highest strike at expiration.
Short Put Condor Example
Short 1 September 90 Put @ $1.00
Long 1 September 95 Put @ $2.00
Long 1 September 100 Put @ $5.00
Short 1 September 105 Put @ $8.00
Net Credit is $2.00. Net Credit = ( -Leg 1 Bid + Leg 2 Ask + Leg 3 Ask - Leg 4 Bid)
If the underlying is trading below $90 or over $105 at expiration, the entire credit is taken as the spread’s value is $0.00.
Maximum Risk
Long Call or Long Put Condor
The maximum risk for the long call or long put condor is limited to the premium paid (debit). In the above example for long or short call the net debit is $2.00. That is the most that can be lost on the spread. This is the same amount for the seller of the spread (net credit).
Short Call or Short Put Condor
The maximum risk for the short call condor or short put condor is the difference between the strike prices less the debit paid. This is achieved if the underlying is between the two inside strikes. This is the max profit for the long call or long put condor.
Break Even Calculations
Two break even prices:
- Lower break even = lowest strike price + net debit (long condor) or net credit (short condor)
- Upper break even = Highest strike price – net debit (long condor) or net credit (short condor)
Long Call Condor Example
Long 1 September 90 Call @ $8.00
Short 1 September 95 Call @ $5.00
Short 1 September 100 Call @ $2.00
Long 1 September 105 Call @ $1.00
- Lower break even = $92.00 ($90 + $2)
- Upper break even= $103.00 ($105 – $2)
Short Put Condor Example
Short 1 September 90 Put @ $1.00
Long 1 September 95 Put @ $2.00
Long 1 September 100 Put @ $5.00
Short 1 September 105 Put @ $8.00
- Lower break even = $92.00 ($90 + $2)
- Upper break even= $103.00 ($105 – $2)
Probability
Long Call or Long Put Condor:
- Break Even Probability: Probability of the underlying trading inside of the two breakeven points at expiration.
- Max Risk Probability: Probability of the underlying expiring below the lowest strike price or above the highest strike price.
Short Call or Short Put Condor:
- Break Even Probability: Probability of the underling trading outside of the breakeven points at expiration.
- Max Risk Probability: Probability of the underlying expiring below the lowest strike price or above the highest strike price.
The screener results are initially sorted by descending "Probability."
Options information is delayed a minimum of 15 minutes, and is updated at least once every 15-minutes through-out the day. The screener displays probability calculations based on the delayed stock price at the time the strategy is updated. The new day's options data will start populating the screener at approximately 8:55a CT. Strikes that have not traded today are excluded from the results.
Views
The page contains the following columns:
- Price~ - the last price of the underlying symbol
- Leg1 Strike - the strike price of the leg1 option
(depending on the strategy, Bid/Ask columns are displayed)
- Leg1 Ask - the ask price of the leg1 option
- Leg1 Bid - the bid price of the leg1 option
- Leg2 Strike - the strike price of the leg2 option
- Leg2 Ask - the ask price of the leg2 option
- Leg2 Bid - the bid price of the leg2 option
- Leg 3 Strike - the strike price of the leg3 option
- Leg3 Ask - the ask price of the leg3 option
- Leg3 Bid - the bid price of the leg3 option
- Leg4 Strike - the strike price of the leg4 option
- Leg4 Ask - the ask price of the leg4 option
- Leg4 Bid - the bid price of the leg4 option
- BE+ - the upper limit necessary for the strategy to break even.
- BE- - the lower limit necessary for the strategy to break even.
- (for Long Call and Long Put) Net Debit - (Leg1 Ask - Leg2 Bid - Leg3 Bid + Leg4 Ask)
- Max Profit - the potential maximum profit of this strategy.
- Max Loss - the potential maximum loss of this strategy.
- Imp Vol - The average implied volatility (IV) of the nearest monthly options contract. IV is a forward looking prediction of the likelihood of price change of the underlying asset, with a higher IV signifying that the market expects significant price movement, and a lower IV signifying the market expects the underlying asset price to remain within the current trading range. Implied volatility is calculated using the Binomial model.
- Break Even Probability - the likelihood of the strategy breaking even. (See calculation above)
Options information is delayed a minimum of 15 minutes, and is updated at least once every 15-minutes through-out the day. The screener displays probability calculations based on the delayed stock price at the time the strategy is updated. The new day's options data will start populating the screener at approximately 8:55a CT.
Data Updates
For pages showing Intraday views, we use the current session's data with new price data appear on the page as indicated by a "flash". Stocks: 15 minute delay (Cboe BZX data for U.S. equities is real-time), ET. Volume reflects consolidated markets. Futures and Forex: 10 or 15 minute delay, CT.
The list of symbols included on the page is updated every 10 minutes throughout the trading day. However, new stocks are not automatically added to or re-ranked on the page until the site performs its 10-minute update.
For reference, we include the date and timestamp of when the list was last updated at the top right of the page.
Page Sort
Pages are initially sorted in a specific order (depending on the data presented). You can re-sort the page by clicking on any of the column headings in the table.
Views
Most data tables can be analyzed using "Views." A View simply presents the symbols on the page with a different set of columns. Site members can also display the page using Custom Views.
Each View has a "Links" column on the far right to access a symbol's Quote Overview, Chart, Options Quotes (when available), Barchart Opinion, and Technical Analysis page. Standard Views found throughout the site include:
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- Moving Averages View: Symbol, Name, Last Price, 20-Day Moving Average, % From 20-Day Moving Average, 50-Day Moving Average, % From 50-Day Moving Average, 100-Day Moving Average, % From 100-Day Moving Average, 200-Day Moving Average, % From 200-Day Moving Average.
- Fundamental View: Available only on equity pages, shows Symbol, Name, Market Cap, P/E Ratio (trailing 12 months). Earnings Per Share (trailing 12 months), Net Income, Beta, Annual Dividend, Dividend Yield, and Latest Earnings Date.
Note: For all markets except U.S. equities, fundamental data is not licensed for downloading. Your .csv file will show "N/L" for "not licensed" when downloading from a Canadian, UK, Australian, or European stocks page. - Mini-Chart View: Available for Barchart Plus and Premier Members, this view displays 12 small charts per page for the symbols shown in the data table. You may change the bar type and time frame for the Mini-Charts as you scroll through the page. The default settings for Mini-Charts are found in your Site Preferences, under "Overview Charts".
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View Symbol More Data (+)
Unique to Barchart.com, data tables contain an option that allows you to see more data for the symbol without leaving the page. Click the "+" icon in the first column (on the left) to view more data for the selected symbol. Scroll through widgets of the different content available for the symbol. Click on any of the widgets to go to the full page. The "More Data" widgets are also available from the Links column of the right side of the data table.
Flipcharts
Also unique to Barchart, Flipcharts allow you to scroll through all the symbols on the table in a chart view. While viewing Flipcharts, you can apply a custom chart template, further customizing the way you can analyze the symbols. Flipcharts are a free tool available to Site Members.
Note: Flipcharts, unlike the full-page chart or Dashboard, does not stream updated data to the chart.
Download
Download is a free tool available to Site Members. This tool will download a .csv file for the View being displayed. For dynamically-generated tables (such as a Stock or ETF Screener) where you see more than 1000 rows of data, the download will be limited to only the first 1000 records on the table. For other static pages (such as the Russell 3000 Components list) all rows will be downloaded.
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