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Agreed re. McMillan's book - Chapter 5 on systems and strategies (especially the intermarket spreads) is full of great insight. He's overdue for another update - last edition came out in '04.

Agreed re. commissions. Take the example of a small retail trader selling monthly IC's on the SPY: he sells a 2-point IC (135/133 P, 145/147 C) and collects $50, thereby risking $150 before commissions. If he has the normal listed commissions at TOS/TD Ameritrade, he is paying 9.95 plus...

Sounds like you're definitely doing your homework. It's reassuring to learn that your backtesting confirms what many Iron Condor traders have discovered through trial and error - initial premium is a primary success factor. I have heard of iron condor traders who take a more mechanical...

Thanks for the context. When deciding whether to sell an iron condor, there are a wide range of possible factors that traders assess. Looking at the deltas of your short strikes are certainly important, as those serve as proxies for probabilities at the time you put the trade on. There...

DBH21, can you provide some more details on what you are looking to do? You mentioned back testing iron condors in an earlier post - are you looking for a quantitative way to select, enter, manage or exit these trades? It may be easier to first determine what problem you are trying to solve...

Caveman is correct - your risk/reward ratio won't be favorable. I highly suggest paper trading this strategy before you commit real capital. Also, you mentioned upward movement of the underlying which implies that you may be selling OTM call spreads. The premiums for these weekly calls will...

Aside from finding a favorable implied vol to historical vol ratio for options selling, keep an eye on your theta decay - options with a 25 delta decay at a different rate than ATM options. You may find that you can put on these trades and close them well before expiration and keep 75%+ of...

McMillan on Options - provides some great trading examples based on various market conditions that involve both buying and selling options. Highly recommended. Also recommend Benklifa's Iron Condor book (obviously limited to IC's).

When you sell (to open) an Iron Condor, your max profit is the initial credit that you receive. Your max loss is the width of the spreads, minus the initial credit received. As an example, if you sold a RUT iron condor (870/880 call spread, 770/760 put spread) for 3.50, your max profit would...