DJX has no direct spot price feed on Alpaca. The "DJX (est.)" level shown throughout this report is derived from DIA's price × a fixed put-call-parity ratio computed once from real DJX option bars — it is an estimate used only to pick ATM strikes. All option prices and P&L are from real Alpaca OPRA DJX bars.
| Filter | Status |
|---|---|
| Short strangle ≥ 0.1% of DJX (est.) | ✔ Active |
| Avg credit ratio (traded days) | 0.109 (0.54/wing) |
| Avg short strangle % of DJX (est., traded days) | 0.266% |
| Leg | Strike | Action | Role |
|---|---|---|---|
| Long Put | ATM − $15 | Buy | Outer put wing — defines max loss on downside |
| Short Put | ATM − $10 | Sell | Short put — lower body of condor |
| Short Call | ATM + $10 | Sell | Short call — upper body of condor |
| Long Call | ATM + $15 | Buy | Outer call wing — defines max loss on upside |
| Net credit at open (9:40 ET) | Max profit = credit × 100 × 40 (if DJX stays between ±$10 of ATM) |
| DJX moves > $15 from ATM | Max loss = ($5 − credit) × 100 × 40 |
| Avg net credit collected | $0.5439 per share |
| Auto-exit profit target | Close if P&L ≥ +90% of max profit |
| Auto-exit stop loss | Close if P&L ≤ −80% of max profit |
| Average winner | +$960 |
| Average loser | $-1,287 |
| Best trade | +$2,280 (2026-02-09) |
| Worst trade | $-3,040 (2026-04-13) |
| Total gross wins | +$11,520 |
| Total gross losses | $-14,160 |
Total P&L of $-2,640 over 23 trades. Elevated DJX realized volatility caused frequent wing breaches during this period. Consider widening SHORT_SPREAD or reducing QTY.
A live version would monitor positions every few minutes and could exit intraday. This backtest applies +90%/−80% thresholds at the 14:20 ET bar close only, understating how often stops would trigger intraday. Real performance may differ.
DJX is cash-settled and European-style (no early exercise), unlike the equity/ETF condor scripts in this repo. Section 1256 tax treatment (60/40 long/short-term capital gains) would also apply to live DJX trading, unlike DIA.
📋 Full Trade Log is not displayed on mobile devices to prevent page freezing. View this report on a desktop browser to see all 23 trades.
| Date | Day | Expiry | DJX Open (est.) | ATM | LP/SP/SC/LC | Credit Open | Cr/Wing | Strangle% | Credit Close | P&L | Cum P&L | Exit |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026-01-12 | Monday | 2026-01-16 | $491.03 | 490 | 475/480/500/505 | $0.3700 | 0.074 | 0.175% | $0.8400 | $-1,880 | $-1,880 | ✗ SL80 |
| 2026-01-20 | Tuesday | 2026-01-23 | $486.20 | 485 | 470/475/495/500 | $0.3800 | 0.076 | 0.156% | $0.4000 | $-80 | $-1,960 | SCHED |
| 2026-01-21 | Wednesday | 2026-01-23 | $485.93 | 485 | 470/475/495/500 | $0.2600 | 0.052 | 0.103% | $0.2500 | +$40 | $-1,920 | SCHED |
| 2026-02-02 | Monday | 2026-02-06 | $489.32 | 490 | 475/480/500/505 | $0.1900 | 0.038 | 0.149% | $0.5800 | $-1,560 | $-3,480 | ✗ SL80 |
| 2026-02-09 | Monday | 2026-02-13 | $498.72 | 500 | 485/490/510/515 | $1.2000 | 0.240 | 0.918% | $0.6300 | +$2,280 | $-1,200 | SCHED |
| 2026-02-10 | Tuesday | 2026-02-13 | $502.15 | 500 | 485/490/510/515 | $0.1300 | 0.026 | 0.108% | $0.2600 | $-520 | $-1,720 | ✗ SL80 |
| 2026-02-17 | Tuesday | 2026-02-20 | $495.12 | 495 | 480/485/505/510 | $0.2900 | 0.058 | 0.174% | $0.4000 | $-440 | $-2,160 | SCHED |
| 2026-02-23 | Monday | 2026-02-27 | $494.87 | 495 | 480/485/505/510 | $0.7000 | 0.140 | 0.285% | $1.2300 | $-2,120 | $-4,280 | SCHED |
| 2026-02-24 | Tuesday | 2026-02-27 | $489.75 | 490 | 475/480/500/505 | $0.4800 | 0.096 | 0.172% | $0.0800 | +$1,600 | $-2,680 | SCHED |
| 2026-03-02 | Monday | 2026-03-06 | $484.57 | 485 | 470/475/495/500 | $1.3200 | 0.264 | 0.514% | $0.8200 | +$2,000 | $-680 | SCHED |
| 2026-03-03 | Tuesday | 2026-03-06 | $479.59 | 480 | 465/470/490/495 | $0.8700 | 0.174 | 0.463% | $1.4700 | $-2,400 | $-3,080 | SCHED |
| 2026-03-04 | Wednesday | 2026-03-06 | $483.80 | 485 | 470/475/495/500 | $0.3700 | 0.074 | 0.159% | $-0.0200 | +$1,560 | $-1,520 | ✓ PT90 |
| 2026-03-09 | Monday | 2026-03-13 | $468.26 | 470 | 455/460/480/485 | $0.8100 | 0.162 | 0.750% | $0.4400 | +$1,480 | $-40 | SCHED |
| 2026-03-11 | Wednesday | 2026-03-13 | $475.97 | 475 | 460/465/485/490 | $0.6500 | 0.130 | 0.231% | $0.7500 | $-400 | $-440 | SCHED |
| 2026-03-12 | Thursday | 2026-03-13 | $468.57 | 470 | 455/460/480/485 | $0.5500 | 0.110 | 0.173% | $0.2400 | +$1,240 | +$800 | SCHED |
| 2026-03-25 | Wednesday | 2026-03-27 | $465.34 | 465 | 450/455/475/480 | $0.5300 | 0.106 | 0.206% | $0.4200 | +$440 | +$1,240 | SCHED |
| 2026-04-13 | Monday | 2026-04-17 | $474.71 | 475 | 460/465/485/490 | $0.2000 | 0.040 | 0.228% | $0.9600 | $-3,040 | $-1,800 | ✗ SL80 |
| 2026-05-18 | Monday | 2026-05-22 | $494.19 | 495 | 480/485/505/510 | $0.7100 | 0.142 | 0.241% | $0.5600 | +$600 | $-1,200 | SCHED |
| 2026-05-19 | Tuesday | 2026-05-22 | $492.68 | 495 | 480/485/505/510 | $0.3300 | 0.066 | 0.144% | $0.2900 | +$160 | $-1,040 | SCHED |
| 2026-05-20 | Wednesday | 2026-05-22 | $492.58 | 495 | 480/485/505/510 | $0.5700 | 0.114 | 0.148% | $0.5600 | +$40 | $-1,000 | SCHED |
| 2026-07-28 | Tuesday | 2026-07-31 | $523.46 | 525 | 510/515/535/540 | $0.0900 | 0.018 | 0.138% | $0.5100 | $-1,680 | $-2,680 | ✗ SL80 |
| 2026-07-29 | Wednesday | 2026-07-31 | $521.52 | 520 | 505/510/530/535 | $0.5600 | 0.112 | 0.196% | $0.5700 | $-40 | $-2,720 | SCHED |
| 2026-08-04 | Tuesday | 2026-08-07 | $536.69 | 535 | 520/525/545/550 | $0.9500 | 0.190 | 0.293% | $0.9300 | +$80 | $-2,640 | SCHED |