market-analysis
S-B SPY iron condor
Index volatility premium with a VIX gate
What it is
Sells a SPY iron condor about three weeks out, once a week, when the volatility gate is on: a put credit spread below the price and a call credit spread above it, on one expiry. This is the champion book, the rule as frozen before any result; its exploration twin ignores the gate. The iron condor was S-B's secondary structure, and after the first backtest, on 2026-09-05, it was retired as a candidate to trade on that backtest's sample; it is still entered on paper and reported at the read. Its record starts on 2026-09-11, but its first position was entered on 2026-09-25: on 09-11 no call within the long call's band had printed at least 5 contracts from 15:00, and on 09-18 the gate was off. SPY's long call is often too thin to qualify: in the 103 sessions from March to early September 2026 that S-B's specification measured, it had a qualifying print on 71% of them, so this book misses some weeks even with the gate on.
The rule
- Gate: VIX3M above VIX (G1) and VIX above its median of the 20 sessions before (G2), both on the prior close; a missing value means no entry.
- Entry: the last session of the week, each leg priced at its average traded price from 15:00 to 16:00 ET; of the expiries that traded that day, the Friday one (the Thursday before a Friday holiday) nearest 21 calendar days out, between 7 and 30.
- Strikes: short put at S(1 − m), long put at S(1 − 2m), short call at S(1 + m), long call at S(1 + 2m), with S SPY's price at the day's last option print and m = VIX/100 × √(DTE/365), DTE the calendar days to expiry and VIX at that day's close; each the strike nearest its target, within 0.25m × S of it, that printed at least 5 contracts from 15:00. If a leg has no such strike in that expiry, there is no entry that week. S and m are taken at the end of the day, up to an hour after the prices the legs are entered at; S-B's specification accepts this gap.
- Spread: each short leg's quoted spread at its prints from 15:00, averaged by size, at most 10% of the quote's midpoint; otherwise, or with no quote, no entry that week. The long legs' spreads are charged, not filtered.
- Size: max loss per contract is the wider side's width less the credit. As many contracts as keep the max loss within 3% of $100,000, but never fewer than one, so one contract can risk more; at most 3 open.
- Exit: held to expiry and settled at intrinsic value against the official close (or SPY's price at that day's last option print if the close is missing). Early assignment and dividends are not modelled.
| Name | Value | Unit | Where it lives | Pinned by |
|---|---|---|---|---|
| target_dte_cal | 21 | calendar days | engine/config.py:125 | tests/test_sb_frozen_params.py:31 |
| dte_cal_min | 7 | calendar days | engine/config.py:126 | tests/test_sb_frozen_params.py:31 |
| dte_cal_max | 30 | calendar days | engine/config.py:127 | tests/test_sb_frozen_params.py:31 |
| short_sigma | 1 | m, the short legs' distance from S | engine/config.py:128 | tests/test_sb_frozen_params.py:31 |
| wing_sigma | 2 | m, the long legs' distance from S | engine/config.py:129 | tests/test_sb_frozen_params.py:31 |
| strike_band_sigma | 0.25 | m × S, the most a strike may sit from its target | engine/config.py:130 | tests/test_sb_frozen_params.py:31 |
| leg_size_min | 5 | contracts printed from 15:00, each leg | engine/config.py:131 | tests/test_sb_frozen_params.py:31 |
| short_spread_max | 0.1 | of the quote's midpoint, short legs | engine/config.py:132 | tests/test_sb_frozen_params.py:31 |
| median_window | 20 | sessions | engine/config.py:133 | tests/test_sb_frozen_params.py:31 |
| equity | 100000 | USD | engine/config.py:140 | tests/test_sb_frozen_params.py:31 |
| max_loss_frac | 0.03 | of equity | engine/config.py:141 | tests/test_sb_frozen_params.py:31 |
| max_open_per_sleeve | 3 | open positions | engine/config.py:142 | tests/test_sb_frozen_params.py:31 |
| LATE_START | 15:00:00 | ET, the late window's start; it runs to the close | engine/config.py:42 | tests/test_frozen_params.py:39 |
| COMMISSION_PER_CONTRACT | 0.65 | USD a contract, each leg | engine/config.py:55 | tests/test_frozen_params.py:39 |
| SB_SCALE_MIN_POSITIONS | 40 | graded paper positions before more than one contract | engine/config.py:176 | tests/test_sb_frozen_params.py:47 |
Its read
Record so far
Cost model
half of each leg's quoted spread plus $0.65 a contract at entry; $0.65 a contract at expiry
Trades
2 trades
| Opened | Closed | Account | Symbol | Side | Size | Entry | Exit | P&L | Net P&L | Return | Held | Exit by | Status | Record |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Oct 2, 2026 | — | MA | SPY | short | 1 | 1.815827 | — | — | — | — | — | — | open | GitHub ledger (1) |
| Sep 25, 2026 | — | MA | SPY | short | 1 | 2.07017 | — | — | — | — | — | — | open | GitHub ledger (1) |
- (1) Record GitHub ledger
Cost model
half of each leg's quoted spread plus $0.65 a contract at entry; $0.65 a contract at expiry
Where the research is
- market-analysis
- S-B's specification (findings market-analysis/DESIGN/80)