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Spx Condor Adjustment

The document provides a decision tree for adjusting SPX 0DTE Iron Condor positions, outlining key metrics to monitor, adjustment triggers, and decision-making steps based on market conditions. It emphasizes the importance of managing delta, gamma, and volatility risks while aiming for profit targets and maintaining a delta-neutral stance. The guide includes specific actions to take when certain thresholds are met, ensuring proactive risk management.

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Purushotham Y
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11 views

Spx Condor Adjustment

The document provides a decision tree for adjusting SPX 0DTE Iron Condor positions, outlining key metrics to monitor, adjustment triggers, and decision-making steps based on market conditions. It emphasizes the importance of managing delta, gamma, and volatility risks while aiming for profit targets and maintaining a delta-neutral stance. The guide includes specific actions to take when certain thresholds are met, ensuring proactive risk management.

Uploaded by

Purushotham Y
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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SPX 0DTE Iron Condor Adjustment Decision Tree — Summary Guide

Base Example: - SPX Price: 5500 - Iron Condor: - Short 5520C / Long 5530C - Short 5480P / Long 5470P -
Collected $3.00 premium

📊 Step 1: Monitor Key Metrics

• SPX price vs. short strikes


• VIX / IV Rank / SKEW
• Expected move (via SPX options chain / ATR)
• Position delta, gamma, theta
• Width vs. premium collected (≥ 1:4 preferred)

📈 Step 2: Define Adjustment Triggers

Trigger Action

SPX within 5 pts of short strike Adjust / hedge

Delta ≥ ±15–20 Adjust delta

Gamma ≥ 5–7 Reduce risk / adjust legs

VIX spikes ≥ 2 pts intraday Close / widen condor

SPX breaches short strike Immediate adjustment required

⚙ Step 3: Adjustment Decisions

A. Price Approaching Call Spread - Check delta - If net delta ≥ +20: - Roll up put spread (e.g., move 5480P/
5470P to 5500P/5490P) - Buy 1–2 ATM SPX calls as delta hedge - Close call spread leg early if IV spike

B. Price Approaching Put Spread - Check delta - If net delta ≤ –20: - Roll down call spread (e.g., move
5520C/5530C to 5500C/5510C) - Buy 1–2 ATM SPX puts as gamma hedge - Close put spread leg early if IV
spike

C. Volatility Spike / Crush - If VIX jumps 2+ pts: - Close condor / narrow wings - Take profits if ≥ 50–60% of
max potential - If VIX collapses: - Hold for theta decay - Consider adding ratio spread for remaining vol
crush

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D. Delta / Gamma Risk Breach - If Net Delta ≥ ±20 or Net Gamma > 5: - Reduce size (close threatened leg)
- Buy opposite direction ATM SPX option - Close full position if loss = 1.5x premium received

Step 4: Exit Criteria

• Profit target hit (50–70% of collected premium)


• Excessive gamma risk in final 45 min
• IV skew collapse post-event
• Breach stop loss (1.5x–2x premium collected)

📊 Key Greeks Safe Ranges (SPX 0DTE)

Greek Safe Attention Dangerous

Delta ±5–15 ±15–20 > ±20

Gamma <2 2–5 >5

Theta Positive Drop if IV spikes Avoid neg. theta

Vega Small Neutralized Avoid large IV spike

Note: Monitor metrics intraday, act fast as SPX approaches strikes, and manage gamma risk proactively.
Aim to stay delta-neutral or lightly biased, adjusting via leg rolls, delta hedging, or position reduction.

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