Summary

The Iron Condor program is a premium selling strategy that is currently trading exclusively on the large S&P pit-traded contract. The strategy is to sell premium on the put side only. This credit spread is fully covered and the risks are known in advance. There are no naked short options. The configuration is a three-legged trade which differs from a standard vertical spread in that there is a long put closer to the money than the short puts. See diagram below. This might be called a broken-wing butterfly in a 1/-4/3 configuration. The strike distances between the inside put, short put and protective puts are chosen based on market conditions and historical back-testing.