The Ugly side of Iron Condors

I trade only the RUT
I use sigma as first choice (>1.2), then I look at R/R (>8%)
puts have a higher R/R than calls so I start with the put side
2 months, 3 months ahead.
if possible I sell a call spread and accept a lower R/R (5%)
I close when 80% of the profitpotential has been reached and
when I see possibilities to sell a spread with expiration later
or I sell when it gets too close to the short strike.
 
Quote from silver217:

I trade only the RUT
I use sigma as first choice (>1.2), then I look at R/R (>8%)
puts have a higher R/R than calls so I start with the put side
2 months, 3 months ahead.
if possible I sell a call spread and accept a lower R/R (5%)
I close when 80% of the profitpotential has been reached and
when I see possibilities to sell a spread with expiration later
or I sell when it gets too close to the short strike.
More...

Mmm, that sounds familiar to me! :p

Which period do you consider for the sigma?
 
sigma = std.dev = (short strike - index) / ( index * volatility * SQRT(days to exp. / 365))

I use calendar days (365) although I saw some "guru" use trading days

RUT aug put 740 has a sigma of -1.62
(RUT = 840.04 RVX = 21.13)
 
Quote from silver217:

sigma = std.dev = (short strike - index) / ( index * volatility * SQRT(days to exp. / 365))

I use calendar days (365) although I saw some "guru" use trading days

RUT aug put 740 has a sigma of -1.62
(RUT = 840.04 RVX = 21.13)
More...

Thanks for your time and your sample. It was my mistake.

I thought that you were talking about selling puts (or calls) when the std.dev of the index was above |1.2| respect to his mean (of "n" days).
 
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