VIX expected-move condor
This monthly iron condor lets India VIX set the strikes. VIX is the market's estimate of NIFTY's annual volatility, so dividing it by the square root of twelve gives a one-month expected move. The strategy sells a call and a put roughly that far from the index at the start of each monthly series, buys protective wings 300 points beyond each, and holds the four legs to the monthly expiry.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
With 13 monthly trades every bucket is small, but the pattern is consistent with how a condor works. The 6 months when NIFTY stayed within 1% all won, making ₹21,319. The 3 months when it fell more than 1% all lost, together ₹48,640, as the index broke through the short put and the loss ran out to near the full wing width. Months that started with NIFTY below its 20-day average lost ₹50,572 over 9 trades. The 3 entries after a VIX close below 11.5 also lost ₹50,207: low VIX puts the short strikes closer to the money, so a normal monthly move reaches them.
About this strategy
- On the first trading day of each monthly series, at 09:30, read India VIX's previous close.
- Compute the expected move: VIX divided by 100, divided by the square root of 12, times the monthly futures price.
- Sell one lot of the monthly call at the strike nearest the futures price plus that move, and one lot of the put nearest the price minus that move.
- Buy one lot of the call 300 points above the short call and one lot of the put 300 points below the short put.
- By default there is no stop and no target.
- Close all four legs at 15:15 on the monthly expiry day (the last Tuesday of the month).
Why traders use it
Using VIX to place strikes adapts the condor to conditions automatically: wider in nervous markets, tighter in calm ones. The short strikes sit about one standard deviation away, which historically contains the month's move most of the time, so the condor wins often. The wings cap the worst case at the strike gap minus the premium, and they cut margin compared with a naked strangle. Holding one position a month suits traders who prefer a low-maintenance approach.
The year in plain words
On NIFTY from 1 Oct 2025 to 30 Sep 2026 the condor was opened 13 times and won 9, a 69% win rate. But the wins averaged ₹3,501 and the four losses ₹16,787, close to the full wing width. October 2025, January, March and September 2026 each lost ₹15,000 to ₹18,510 and erased the other months' gains. Net P&L was a ₹35,642 loss before costs and ₹39,299 after ₹20 per order and slippage on eight fills a month (statutory charges excluded). The high win rate did not make up for losses that were nearly five times the size of wins.
What the settings do
Risks
- Losses run to nearly the full wing width, about five times a typical win, so one bad month wipes out several good ones.
- There is no stop by default, so a losing month is held all the way to expiry.
- Eight fills a month make costs significant against a thin credit.
- Low VIX makes the expected move, and so the cushion, smaller exactly when complacency is highest.
Who it suits
Traders who want a once-a-month, defined-risk option-selling position and can accept that most months make a little while a few lose much more. It needs hedged margin and patience to hold to expiry.
Questions traders ask
How do you calculate the expected move from India VIX?
India VIX is an annualised volatility figure. Dividing it by the square root of 12 gives an approximate one-month move in percent. With VIX at 12, that is about 3.5%, so the short strikes are placed roughly 3.5% above and below the index.
Is the VIX expected move iron condor profitable?
In this NIFTY backtest from 1 Oct 2025 to 30 Sep 2026 it won 9 of 13 months but lost ₹35,642 before costs and ₹39,299 after ₹20 per order and bid-ask slippage, because the losing months were much larger. Past results do not guarantee future ones.
What is the maximum loss on this iron condor?
It is the wing width, 300 points per lot by default, minus the net premium collected. Only one side can lose at expiry, so the worst case is known when the trade is opened.
Why does a 69% win rate still lose money?
Because the average loss was nearly five times the average win. Condors collect small premiums most months and give back close to the full wing width when the market breaks through a short strike.