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.
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Volatility
10 posts tagged Volatility.
IV Percentile Filter: How IVP Doubled a 0DTE Iron Condor's Capture Rate
Option Omega added IV percentile, IV rank and HV filters. In a quick backtest, a 20–80 IVP range roughly doubled a 0DTE SPX condor's capture rate.
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Iron Condors Explained: Strikes, Deltas, Width and Where Trades Go Wrong
Dan Sheridan builds a 22-day SPX iron condor and explains how strikes, deltas, width and duration shape risk, and the delta levels he watches for trouble.
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Tom Sosnoff on 0DTE, Automation and Where Retail Options Trading Is Headed
Tom Sosnoff tells Dan Sheridan why he barely trades 0DTE, why 30+ days is his wheelhouse, and how he thinks about automation and position size.
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Big ERN on 15 Years of Selling SPX Options: Sizing, Stops and 0DTE
Karsten Jeske (Big ERN) has sold S&P 500 options since 2011. How he sizes for a once-in-40-year event, why he dropped VIX hedges, and how 0DTE smoothed returns.
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How a Professional Trader Uses Backtesting: Tomas Byron on Premium Data
Tomas Byron uses Option Omega backtests as a data source, not a strategy finder. Here is his method, plus his views on volatility premium and calendars.
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High VIX SPX Options Trades: Calendars, Put Spreads and Butterflies
With VIX near 27, Dan Sheridan models three 21-day SPX trades (a calendar, a 20-delta put spread and a 70/65 broken wing butterfly) and how he manages each.
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Covered Calls on MSFT: $41,000 vs a $1,300 Poor Man's Covered Call
Dan Sheridan compares a $41,000 Microsoft covered call with three long diagonals costing $4,300, $1,300 and about $1,500, modeled in Option Omega.
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SPX Reverse Iron Butterfly Backtest With a VIX Drop and RSI Filter
Is 0DTE dead? Part 2 backtests the McRib, a long SPX reverse iron butterfly that only enters after VIX drops overnight and intraday with RSI between 40 and 70.
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NVDA Earnings Options Backtest: Put Spreads and a Poor Man's Jade Lizard
Troy McNeil and Dan Sheridan backtest four NVDA earnings trades, entered at 3:46 PM and closed at 9:32 AM the next day, to see how IV crush helps short premium.
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