Iron condor scanner

Supported filters

Probability of profit (%)

Model-estimated probability the stock finishes between the breakevens. A 65% to 75% floor is typical; going higher pushes the short strikes out and shrinks the credit.

Prob. of expiring worthless (%)

Odds all four options expire out of the money, meaning the stock finishes between the two short strikes and you keep the entire credit. Stricter than probability of profit.

Return on risk (%)

Total credit divided by max loss. A 20% floor is common for condors; 40% or more usually means the short strikes are close to the stock.

Max loss ($)

Dollar cap on the wider wing minus the credit, per condor. Set $500 or $1,000 to size every result to your account and to avoid wide wings on high-priced stocks.

Expected value ($)

Probability-weighted profit and loss per condor under the pricing model. A minimum of 0 removes condors whose credit does not cover their modeled loss frequency, and sorting by it balances credit against probability.

Breakeven distance (ATRs) (x)

Distance from the stock to the nearest breakeven in daily ATRs. Two or more is a common floor: the closer side of the condor sits beyond a couple of typical daily moves.

Loss range (ATRs) (x)

The full width of the profit zone, lower breakeven to upper breakeven, in daily ATRs. Use it to require a zone wide enough for the stock to wander in for the whole trade rather than only checking the nearer side.

Distance to breakeven (%)

The same nearest-breakeven distance as a percent of the stock price, for readers who think in percentages.

Days to expiration (days)

Days to expiration. The 20 to 50 day range gives the condor time to decay without sitting through the last week, when gamma risk near a short strike is highest.

IV rank

Implied volatility rank. Condors are a short-volatility trade; a 30 or higher rank means both spreads pay more than their recent norm and volatility has room to fall.

Earnings

Exclude condors with an earnings report before expiration. A gap through a short strike is the main way a condor takes its max loss quickly.

Ex-dividend date

An in-the-money short call can be assigned before an ex-dividend date. Exclude ex-dividend dates before expiration, or accept the risk on the call side.

Delta (anchor leg)

Absolute delta of the anchor short leg. Screening for 0.10 to 0.25 places the short strikes where most condor sellers work.

Market cap ($)

Company size floor. Large caps have more strikes, tighter markets on all four legs, and fewer single-day gaps.

Total option volume

Total option volume across the chain. A condor crosses four markets, so a liquid chain is worth more here than on any other strategy.

Bid-ask spread ($) ($)

Maximum bid-ask spread in dollars on the worst of the four legs. One wide wing can consume a large share of a modest credit.

Screening walkthrough

1. 1. Size the profit zone to the stock

   Set breakeven distance in ATRs to 2 or more so the nearer side of the condor sits beyond a couple of typical daily moves. Then add loss range in ATRs, for example a minimum of 6, so the whole zone is wide relative to how the stock moves. Percent filters cannot do this, because 8% on a quiet stock and 8% on a volatile one are very different cushions.

2. 2. Cap the risk and require a fair credit

   Set max loss to a dollar figure you would accept on one condor, such as $1,000, and return on risk to a floor of 20%. Expected value at or above 0 removes condors whose credit is too small for their modeled loss frequency. The Iron Condor, 2-ATR Profit Zone preset combines these with a 70% probability floor.

3. 3. Sell volatility when it is elevated

   Add an IV rank minimum of 30. A condor profits when volatility falls or the stock sits still; selling it when volatility is already compressed gives you a thin credit and little room for the volatility drop that helps the trade.

4. 4. Keep events out of the window

   Turn on the earnings exclusion. A single earnings gap can push the stock through a short strike and a long strike in one session, which is where a condor takes its maximum loss. Set days to expiration to 20 to 50 so the trade has time to decay but does not sit through the final week near the money.

5. 5. Check all four legs and re-run conservatively

   Require total option volume of 5,000 or more and a worst-leg bid-ask spread of $0.50 or less, then open a result and look at each leg's quote. Switch the scan to conservative pricing to see the credit after crossing every market. If the return on risk collapses under conservative pricing, the mid was flattering the trade.

Limitations and risks

• Max loss is the worst case at expiration on one side. Adjusting a tested side and then having the stock reverse can lose on both sides before expiration; the scanner prices the opening position only.
• Pin risk applies to both spreads: a close between a short and long strike can leave the short leg assigned and the long leg worthless. Close or roll condors near either short strike on expiration day.
• Early assignment risk lives mainly in the short call ahead of an ex-dividend date, and rarely in a deep in-the-money short put. Either leaves a stock position still hedged by the long wing.
• Probability of profit, probability of expiring worthless, and expected value are model estimates derived from option prices using a lognormal model with the stock's at-the-money implied volatility. They do not include scheduled events unless you filter for them.
• The ATR-based distances use the stock's daily average true range without scaling for days to expiration. They compare condors on different stocks fairly, but a 4x reading on a 40-day trade is not four expected moves for the whole trade.
• Quotes are refreshed intraday and are a snapshot, not a live feed. Crossing four bid-ask spreads is the largest source of slippage in the scanner; conservative pricing is the more realistic figure.

Frequently asked questions

How does the scanner build an iron condor?

For each stock and expiration it pairs an out-of-the-money put credit spread with an out-of-the-money call credit spread, prices all four legs from their quotes, and computes the credit, max loss, breakevens, probabilities, and ATR distances. Only condors that pass every filter are returned, ranked by your sort.

What is loss range in ATRs and why is it only on some strategies?

It is the distance from the lower breakeven to the upper breakeven divided by the stock's daily average true range. It only makes sense for trades with two breakevens, so it is available on iron condors, straddles, and strangles.

Can I require the wings to be a certain width?

Not directly. Use max loss, which is width minus credit, to bound the dollars at risk; on a given stock that effectively bounds the width. Sort by return on risk to prefer narrower, cheaper-to-hold condors.

Why does the same condor show a lower return under conservative pricing?

Conservative pricing sells each short leg at its bid and buys each long leg at its ask, so the credit shrinks by the bid-ask spread on every leg. On a four-leg trade that can be a meaningful share of the credit, which is the point of checking it.

Iron condor or short strangle?

The scanner supports both. A short strangle collects more credit with no long wings, so its loss is undefined and its returns are figured on Reg-T margin. The condor gives up some credit for a fixed max loss and a much smaller margin requirement.

Which preset should I start with?

Iron Condor, 2-ATR Profit Zone: probability of profit of 70% or more, expected value at or above 0, max loss of $1,000 or less, return on risk of 20% or more, and the nearest breakeven at least two daily ATRs away. Open it, adjust, and save.

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