Iron condor with rolls
This weekly NIFTY iron condor is held from the start of each expiry cycle to expiry day and managed by rolling, not by stops. It sells roughly 16-delta calls and puts with 200-point wings. When one short option doubles in price, the other side is bought back and re-sold closer, at a strike with a similar premium. Repeated rolls can turn the condor into an iron fly, after which a further move closes the trade.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
In this test the condor earned when NIFTY stayed put: cycles in which it moved less than 1% made +₹33,636 over 20 trades with a 75% win rate. Cycles in which NIFTY fell more than 1% lost ₹6,026 over 18, as the put side was tested and rolls left little room. Entries with NIFTY above its 20-day average made ₹46,164 over 24 cycles, while those in a downtrend lost ₹14,120 over 29. Unexpectedly, calm evenings with India VIX below 11.5 lost ₹12,785 over 15 cycles: 16-delta strikes sit close in points when volatility is low, so ordinary moves trigger rolls. Normal VIX made ₹29,389 over 24 cycles.
About this strategy
- At 09:20 on the first trading day of each weekly cycle with at least 3 calendar days to the Tuesday expiry, sell the call and put nearest 0.16 delta and buy wings 200 points further out on each side.
- Every minute, check whether a short option (the tested side) has reached twice its reference premium, which is its entry price or its price at the last roll.
- If so, close the other short and its wing, then sell that side again at the strike whose premium is closest to the tested short's current premium, never beyond the tested strike, with a new wing 200 points further out.
- Allow at most three rolls. When the rolled short reaches the tested strike, the position is an iron fly and no more rolls are made.
- At the iron-fly stage, close everything if the index moves more than one strike step further in the tested direction.
- Otherwise hold to expiry day and close at 15:15. There is no fixed stop or target; a new condor starts next cycle.
Why traders use it
Rolling the untested side towards the market collects fresh premium that offsets the loss on the side under pressure, instead of closing the trade for a loss. Matching the new premium to the tested leg keeps the two sides balanced. The wings keep risk defined at every stage, and converting to an iron fly is a recognised last step: maximum premium collected, with a clear exit if the move keeps going. It appeals to traders who prefer adjusting to stopping out.
The year in plain words
On NIFTY weekly options from 1 Oct 2025 to 30 Sep 2026 with default settings, 53 condors were closed, 55% of them winners, for ₹32,045 before costs and a profit factor of 1.42. Wins averaged ₹3,735 and losses ₹3,177, with the largest single loss held to ₹6,438 by the wings. 39 cycles reached expiry and 14 ended when an iron fly was breached. March lost ₹18,613 and January ₹12,066, while April made ₹16,068; the maximum drawdown was ₹26,433. After ₹20 per order and bid-ask slippage on every roll, only ₹12,668 remained.
What the settings do
Risks
- Rolling the untested side closer leaves much less room if the market reverses after the adjustment.
- Every roll costs four more fills, so busy weeks pay a lot more in brokerage and spread.
- Positions are held overnight for several days, so gaps can move the index beyond the iron-fly exit level before it can act.
- There is no stop until the iron-fly stage; losses are capped only by the wing width.
Who it suits
Option sellers who prefer to manage a defined-risk position through the week rather than exit on a stop, can monitor or automate minute-by-minute checks, and have margin for a hedged four-leg NIFTY position.
Questions traders ask
What does rolling the untested side of an iron condor mean?
When the market moves towards one short strike, that side is 'tested'. Rolling the untested side means buying back the other short option and selling a new one closer to the market. It collects extra premium to offset the tested side's loss, at the cost of a narrower profit range.
Is the rolling iron condor profitable on NIFTY?
In this backtest from 1 Oct 2025 to 30 Sep 2026 it made ₹32,045 before costs and ₹12,668 after ₹20 per order and bid-ask slippage, with statutory charges excluded. The maximum drawdown before costs was ₹26,433. Past results do not guarantee future ones.
When does the condor become an iron fly?
If rolls bring the untested short all the way to the tested short's strike, both shorts sit at the same strike with wings on either side: an iron butterfly. From then on no more rolls are made, and a further move of one strike step in the tested direction closes everything.
Why are the rolls matched by premium?
Re-selling at the strike whose premium equals the tested leg's keeps both sides roughly balanced in value and delta. A fixed 'one or two strikes closer' roll could leave the position lopsided depending on volatility.