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.
Long Call Condor Example
A long call condor is a consecutive bull call spread and a bear call spread combined.
- 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.
- 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.
- 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 long put condor is a consecutive bull put spread and a bear put spread combined.
- 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.
Main features of the Screener include:
- Ability to add various filters, with hundreds of different combinations.
- Save a Screener: When you've defined filters that you want to use again, save the screener.
- Load a Saved Screener: Select a previously saved set of Screener filters to view today's results.
- View the Results using Flipcharts: Page through charts of the underlying symbols on the results page.
- Download the Results: Download up to 1000 results to a .csv file. The Download will also pull all of the data fields present on the View you use.
- Automatic Screener Emails: When you save a screener, you can opt to receive the top 10, 25, or 50 results via email along with an optional .csv file of the top 1000 results. Emails can be sent at Market Open (9:00am CT), Mid-Day (12:00pm CT), End-of-Day (4:45pm CT), and Overnight (3:00am CT) Monday through Friday.
Note: When selecting the Filter View for your Screener email, a filter must identify a specific search value in order for it to be included in the email.
Filters
Barchart Premier subscribers can add or modify different filters on the screener to find calls on the most favorable stock options.
Reordering Filters
Once filters are added, you may drag and drop them in the SET FILTERS tab to reorder the way they appear on the RESULTS tab (when using the Filters View). Each filter you add has the "Order" icon which is used to reposition it.
Deleting Filters
To remove a filter from your screener, click the checkbox to the left of the filter name, then click the red "Delete" button at the top of the column. You may also select all filters for deletion by clicking the checkbox at the top of the column, which selects ALL filters for deletion. You will be asked to confirm your decision to delete.
So you can focus on the best options, the screener starts by applying these default filters. Filter settings should be adjusted to match your trading requirements.
- Days to Expiration (monthly expirations only) is between 0 and 60 days.
- Security Type is only Stocks.
- Options Volume Leg 1, 2, 3, 4: for US market, must be greater than or equal to 100. For Canadian market, must be greater than or equal to 1.
- Open Interest Leg 1, 2, 3, 4: for US market, must be greater than or equal to 500. For Canadian market, must be greater than or equal to 5.
- Ask Price Leg 2 and Leg 3 is greater than 0.05.
- Bid Price Leg 1 and Leg 4 is greater than 0.05.
- Moneyness Leg 2 and Leg 3 is between -10% to 0%.
In addition, the option must not be a "restricted" option (the option cannot be based on a split stock).
Note: Non-standard or "restricted" options (options quotes marked with an asterisk * after the strike price, and found on an individual symbol's options page) are automatically removed from the screener. A "restricted option" is typically created after spin-offs or mergers, and is not tradeable.
Views
The Results page contains three standard views. You may switch the view using the links at the top of the screener results table. The Main View shows the Volume and Open Interest for each option, while the Dividend & Earnings View can be used to highlight strategies with upcoming dividends and earnings. The Filter view shows you the data contained in the field(s) you've added to the screener.
A checkbox is provided on all Views to "Show Strategy Description" in the view. The Strategy Description can be helpful in breaking down how the options strategy was built. Example of a Long Put Condor description:
LPC_03/15/24_9.00_1.00
where:
- LPC = strategy
- 03/15/24 = expiration date
- 9.00 = Leg 1 strike
- 1.00 = Strike Differential (difference between each leg: Leg1, Leg2, Leg3 and Leg4)
Main View
- Stock Symbol - the underlying equity. Clicking on the symbol will take you to the current quote page.
- Stock Last Price - the last price of the underlying symbol
- Net Debit - (Leg1 Ask - Leg2 Bid - Leg3 Bid + Leg4 Ask)
- 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 Profit% - the potential maximum profit of this strategy expressed as a percent
- 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.
- BE+ - the upper limit necessary for the strategy to break even.( Leg4 Strike - Net Debit)
- BE- - the lower limit necessary for the strategy to break even. (Leg1 Strike + Net Debit)
- Avg IV - the average implied volatility of the calls and puts immediately above and below the underlying price.
- Probability - the likelihood of the strategy breaking even. (See calculation below)
- Exp Date - the expiration date of the option
- Leg1 Strike - the strike price of the leg1 option
- 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 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
Dividend & Earnings View
- Dividend - the dividend the equity pays on the Ex-Dividend Date. On the morning of the Dividend Ex-Date, the stock's price is lowered by the amount of the dividend that was just paid.
- Dividend Ex-Date - the first day on which the stock trades without the dividend. If you wish to receive the dividend, you must own the stock by the close of market on the day before the Dividend Ex-Date. Many times, a covered call is exercised early so the buyer can own the stock and collect the dividend. This typically happens to ITM options the day before the Dividend Ex-Date.
- Earnings Date - The date on which a company is expected to release their next earnings report. The prices are more volatile, which tends to inflate the prices of the near-the-money strikes. During a contract period when there is an earnings report due, the earnings announcement can dramatically shift the range in which the stock has been trading.
