Extra Long Put Iron Condor - Summary Statistics

In this post, we will look at the summary statistics for just the RUT and SPX delta neutral ICs.  The image below shows the summary statistics of the RUT delta neutral IC version for all of the days-to-expiration (DTE) and all of the short strike deltas shown on this blog.  The Sharpe Ratio and Sortino ratios are the best for the 66 DTE, 12, 16 and 20 delta variations.


The next image shows the summary statistics for the SPX delta neutral IC version for all of the DTE, and all of the short strike deltas shown on this blog.  The Sharpe Ratio and Sortino ratios are the best for the 80 DTE, 8 delta variation, and the 52 DTE, 8 and 12 delta variations.


The details associated with the prior two images can be found at the links below:
In the next post I will compare the summary statistics for the three versions of the RUT "no touch" IC trades (standard, delta neutral, and extra long put).  We will see how the initial structure of the IC impacts the summary statistics.

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