# 21 DTE SPX Iron Condor: A Bullish-Leaning Condor With an IV Percentile Cap

> A 21 DTE SPX iron condor (25-delta put, 15-delta call, 10 wide) won 92% of the time in its backtest from May 2025. The setup, the IV cap and the regime caveat.

- URL: https://optionomega.com/blog/21-dte-spx-iron-condor/
- Published: 2026-09-19
- Author: Dan Sheridan (Options mentor and former CBOE market maker)
- Featuring: Jason (Three Peaks Trading) (Options trader who shares trade ideas as Three Peaks Trading on X)
- Topics: SPX, Iron Condor, Volatility, Backtesting, Interview
- Video: [The Option Trading Show- 21 DTE SPX Condor](https://www.youtube.com/watch?v=qN7baGI1fAk)

## Key points

- Jason (Three Peaks Trading) trades a 21 DTE SPX iron condor: a 25-delta short put, a 15-delta short call and 10-point wings, collecting about $3.25 per condor.
- With a 70% profit target and an IV percentile cap, the backtest won 92% of the time from about May 2025 to the September 2026 show, averaging about 14 to 15 days in the trade.
- In the Analyze tab, the highest premium capture rate came when IV percentile was in the 20–40% range, the opposite of the usual "sell high IV" rule. Matt called slicing it that way curve fitting.
- The result is a regime backtest: at the time of the show it had worked since about May 2025, but run back to the start of SPX daily expirations it did not hold up.

A 21 DTE SPX iron condor with a slight bullish lean had won 92% of the time in its backtest from about May 2025 to the September 2026 show. It sells a 25-delta put and a 15-delta call, uses 10-point wings, takes profit at 70% of the credit, and stays out when implied volatility is high.

On this episode of The Option Trading Show, Dan Sheridan and Matt were joined by Jason of Three Peaks Trading, who had been trading the condor live and automated all summer. Jason raised the big caveat himself, and he and Matt recorded an extra segment after the show to spell it out: this is a regime trade.

## The setup

Jason first traded a 10-day version, then moved out to 21 days to give the trade more time. He had not optimized the 21-day duration itself. The 70% profit target came out of an optimization, and he kept it.

| Setting | Value |
| --- | --- |
| Underlying | SPX |
| Days to expiration at entry | 21 |
| Short put | 25 delta |
| Short call | 15 delta |
| Wing width | 10 points on each side |
| Typical credit | about $3.25 per condor (about $325 on one contract) |
| Profit target | 70% of credit |
| Volatility filter | IV percentile cap (originally a VIX cap of about 19–20) |
| Backtest frequency | daily entries |
| Win rate | 92% (backtest, about May 2025 to September 2026) |

Dan estimated the position is only about two deltas long per contract, because the 10-point wings offset most of the lean. Margin is under $700 per condor. By the math discussed on the show, a winner makes about $200 and a full loss is around $675.

Why the bullish lean? Selling the closer put collects more premium, and Jason's view is that since the tariff bottom, corrections have been sharp but haven't tended to last more than about 21 days. In his view, that has given the trade time to recover and hit the profit target.

## Why 21 days, in Dan's view

Dan thinks 21 days is the best duration for this kind of trade, and he contrasted it with tastytrade's 42-day approach. His reasons:

- **Turnover.** If you open at 42 days and close at 21, inventory turns slowly. Opening at 21 days, this backtest averaged about 14 to 15 days in the trade.
- **It usually avoids expiration week.** Taking 70% of the credit with about 15 days in the trade on average means it's usually out before expiration week. Dan called it "like a thief in the night."
- **It is simple.** Dan said he plans to automate it himself because he can see the simplicity, though he added it's not as if "gold is discovered."

## The IV filter: capped, not juiced

The most counterintuitive part of the trade is its volatility filter. Many retail traders want high IV or a high IV percentile before selling condors. Jason caps it instead. He originally used a VIX cap of about 19 or 20, then switched to an IV percentile cap, which behaved similarly.

His reasoning: when VIX is above 20, he would rather trade butterflies or something directional than iron condors. Dan agreed. During the COVID crash, he noted, you could have sold IV at 20, 30, 40 and kept going, and been out of money long before it stopped rising. As Dan put it, IV is high for a reason.

Matt pulled up the regime performance by IV percentile view in the [Analyze tab](https://optionomega.com/blog/analyze-tab-monte-carlo-mae-mfe/). Out of 57 trades in that view, the trade never lost in the low-to-middle IV percentile buckets, and the highest premium capture rate came in the 20–40% range. Matt was clear that slicing the data this way after the fact is curve fitting. He showed it to make a point, not as a setting to copy. For more on IV percentile, see the [IV percentile episode](https://optionomega.com/blog/iv-percentile-options-trading/).

## Managing the risk

Even though the backtest enters every day, Jason does not stack unlimited positions.

- **Position cap.** He caps the strategy at about five open condors. In his example of 2% of the account per trade, that limits the whole strategy to about 10% of the account.
- **Exiting early when it suits him.** He had three condors on live at recording. One was up about 45% with SPX near its 7,590 short strike going into a weekend, so he was considering closing it before the 70% target.
- **Shifting the deltas if the trend changes.** Dan thinks the 21-day condor could work the whole year if the deltas are shifted. In a sustained downtrend, he would flip the lean: a higher-delta call and a lower-delta put.

Matt added two points on how to read a backtest like this:

1. **Backtesting every day, even if you trade less.** Daily entries give a larger sample. Trading only some days (for example Monday and Friday) can control size, but it adds more randomness to the results, since you may happen to pick winning or losing days.
2. **A time exit trades some winners for smoother losses.** Matt showed a version that exits about two weeks in. It hit the profit target only about 35–40% of the time and exited early the rest, yet still won most of the time, and it smoothed out some of the full losers.

He also stress-tested the idea with an aggressive variant: IV percentile max of 55, 5% allocation per trade, and 50-wide wings. He called it "yolo territory" and said he was not advocating it. Its reward-to-risk stayed roughly the same as the original, around 1 to 3.5. His point: this has simply been a good environment for this type of trade.

## The caveat: this is a regime trade

Jason raised the concern himself: the backtest covers less than two years. After the show, Matt and Jason kept talking and recorded an extra segment to make the point clearly.

Run back to the start of SPX daily expirations, Matt said, "This is not a good backtest." Run from the start of 2025, it did poorly to okay at first, and it only took off after Liberation Day. The volatility filter kept it out of the market until about the end of May 2025. Since then, Matt said, the stability has been "wild."

Jason's explanations for the regime:

- **Dips get bought.** His view is that the administration watches the stock market closely, so corrections have stayed mild and have not lasted more than about three to four weeks.
- **Dispersion is high.** This summer, single stocks moved sharply while the index stayed in a range, roughly 7,500 to 7,700 on SPX. Dispersion hit about a three-year high and correlation dropped, which kept index volatility suppressed.

Jason said the regime may not last. He plans to watch the VIX and IV percentile regime views to decide whether to keep trading it. As long as VIX stays roughly between 15 and 20, he intends to keep "milking it."

## Fed day notes from the show

Before the condor, the group traded notes on the latest FOMC day. Jason held a bearish-leaning reverse iron condor as a hedge and took a small profit early; held to the close, it would have been a max winner, going from about 15 to 50. Dan tracked the 0DTE straddle at the statement release: it went from about $49 to about $42 in three minutes, with at-the-money call IV dropping from about 49 to 43 and put IV from about 51 to 45. SPX then fell more than 100 points from about 7,610 before rebounding; the net move from the statement to the close was only about 50 points. For more on that structure, see [reverse iron condors and spread premium targeting](https://optionomega.com/blog/0dte-iron-condor-spread-premium-targeting/).

## Key takeaways

1. **The structure:** 21 DTE SPX iron condor, 25-delta put, 15-delta call, 10-point wings, about $3.25 credit, 70% profit target.
2. **The backtest:** a 92% win rate with about 14 to 15 days in the trade on average, from about May 2025 to the September 2026 show.
3. **Jason caps IV instead of chasing it.** In this backtest, calmer IV percentile readings did better than high ones, though Matt called that slice curve fitting.
4. **Jason caps total exposure.** He limits open positions so the whole strategy risks about 10% of his account.
5. **It's a regime backtest.** Over the full history since SPX daily expirations, it did not hold up.

## Test it yourself

The backtest from the show is linked in the Option Omega Discord under the show channel. You can load it in the [backtester](https://optionomega.com/features/backtesting/), run an optimization on the deltas, profit target and IV percentile cap, check the regime views in the Analyze tab, and compare results across periods before deciding whether to [automate](https://optionomega.com/features/trading/) anything. [Start a free trial](https://optionomega.com/pricing/) or [join the Discord](https://discord.gg/s5HG3ECUE4).

*Watch the full video: [The Option Trading Show- 21 DTE SPX Condor](https://www.youtube.com/watch?v=qN7baGI1fAk).*

*Backtest results are hypothetical and do not guarantee future performance. Options trading involves substantial risk.*