Iron Condor Fit Checklist

Price is pinned inside a range and you want to sell the wings. Enter the range, the price, the implied volatility, the days to expiry and the 4 strikes, and the checklist scores whether the condor fits the box: shorts outside both range edges and outside the expected move, credit worth the width, enough days, price not sitting on an edge. The expected move is S × IV × √(DTE/365), the 1σ move under the lognormal model behind Black and Scholes (1973), and the probability of finishing inside the shorts comes from the same distribution with no drift. The credit-to-width floor of one third and the 20 to 45 day window are the standard premium-selling conventions, not laws.

How it scores. 100 points across 9 checks. Short put below the range low, 15. Short call above the range high, 15. Both shorts outside the 1σ expected move, 15. Probability of finishing inside the shorts at expiry of 65% or more, 15 (half marks at 55%). Credit at least a third of the wing width, 10. Price inside the middle half of the range, 10. Days to expiry between 20 and 45, 5. Manual: no earnings or scheduled event before expiry, 10. IV rank 30 or higher, 5. Sell at 70 or more, as long as the shorts are outside the expected move or the probability of finishing inside is 55% or better. 45 to 69, adjust the strikes and rescore. Under 45, or a short strike inside the range, skip it. The chart shows the range, the expected move and the 4 strikes on one line. Expected move = S × IV × √(DTE/365). P(inside) = Φ(ln(Kc/S) / (σ√T)) − Φ(ln(Kp/S) / (σ√T)), no drift, no skew. Max loss = width − credit, per spread. Keyboard: 1 to 3 toggle the calendar checks, Esc clears them.

Educational tool only, not financial advice. The lognormal model has no skew and no fat tails, so the probability here runs a few points rich on the put side. A condor that fits the range still loses the whole width when the range breaks. Size for the width, not the credit.

Built by Jason Parker, founder of Trading Ranges.