SPX has no direct spot price feed on Alpaca. The "SPX (est.)" level shown throughout this report is derived from SPY's price × a fixed put-call-parity ratio computed once from real SPXW option bars — it is an estimate used only to pick ATM strikes. All option prices and P&L are from real Alpaca OPRA SPXW bars.
| Filter | Status |
|---|---|
| Credit ratio ≥ 0.2 (10.00/wing) | ✔ Active |
| Short strangle ≥ 0.1% of SPX (est.) | ✔ Active |
| Short strangle ≤ 3.0% of SPX (est.) | ✔ Active |
| Overnight gap ≤ 3.0% of prior close | ✔ Active |
| Avg credit ratio (traded days) | 0.376 (18.79/wing) |
| Avg short strangle % of SPX (est., traded days) | 0.646% |
| Leg | Strike | Action | Role |
|---|---|---|---|
| Long Put | ATM − $150 | Buy | Outer put wing — defines max loss on downside |
| Short Put | ATM − $100 | Sell | Short put — lower body of condor |
| Short Call | ATM + $100 | Sell | Short call — upper body of condor |
| Long Call | ATM + $150 | Buy | Outer call wing — defines max loss on upside |
| Net credit at open (9:40 ET) | Max profit = credit × 100 × 4 (if SPX stays between ±$100 of ATM) |
| SPX moves > $150 from ATM | Max loss = ($50 − credit) × 100 × 4 |
| Avg net credit collected | $18.7921 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 | +$3,685 |
| Average loser | $-2,647 |
| Best trade | +$28,284 (2026-04-07) |
| Worst trade | $-14,440 (2026-03-09) |
| Total gross wins | +$165,824 |
| Total gross losses | $-66,184 |
Total P&L of +$99,640 over 70 trades across Jan–2026-09-15. The iron condor's OTM structure collects premium on SPXW while allowing a ±$100 buffer before max loss. SPX's implied volatility typically generates attractive short strangle premiums.
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.
SPXW 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 SPXW trading, unlike SPY.
📋 Full Trade Log is not displayed on mobile devices to prevent page freezing. View this report on a desktop browser to see all 70 trades.
| Date | Day | Expiry | SPX Open (est.) | ATM | LP/SP/SC/LC | Credit Open | Cr/Wing | Strangle% | Credit Close | P&L | Cum P&L | Exit |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026-01-20 | Tuesday | 2026-01-23 | $6853.57 | 6855 | 6705/6755/6955/7005 | $13.0300 | 0.261 | 0.467% | $13.2500 | $-88 | $-88 | SCHED |
| 2026-01-26 | Monday | 2026-01-30 | $6946.06 | 6945 | 6795/6845/7045/7095 | $19.5900 | 0.392 | 0.464% | $6.2700 | +$5,328 | +$5,240 | SCHED |
| 2026-02-02 | Monday | 2026-02-06 | $6948.77 | 6950 | 6800/6850/7050/7100 | $13.2000 | 0.264 | 0.404% | $12.0800 | +$448 | +$5,688 | SCHED |
| 2026-02-05 | Thursday | 2026-02-06 | $6852.37 | 6850 | 6700/6750/6950/7000 | $13.9700 | 0.279 | 0.362% | $7.5500 | +$2,568 | +$8,256 | SCHED |
| 2026-02-09 | Monday | 2026-02-13 | $6939.53 | 6940 | 6790/6840/7040/7090 | $15.6000 | 0.312 | 0.469% | $11.2200 | +$1,752 | +$10,008 | SCHED |
| 2026-02-17 | Tuesday | 2026-02-20 | $6853.57 | 6855 | 6705/6755/6955/7005 | $10.5700 | 0.211 | 0.503% | $15.7800 | $-2,084 | +$7,924 | SCHED |
| 2026-02-18 | Wednesday | 2026-02-20 | $6871.25 | 6870 | 6720/6770/6970/7020 | $11.5600 | 0.231 | 0.335% | $6.1700 | +$2,156 | +$10,080 | SCHED |
| 2026-02-23 | Monday | 2026-02-27 | $6923.77 | 6925 | 6775/6825/7025/7075 | $13.4500 | 0.269 | 0.536% | $18.9700 | $-2,208 | +$7,872 | SCHED |
| 2026-02-24 | Tuesday | 2026-02-27 | $6854.68 | 6855 | 6705/6755/6955/7005 | $21.1300 | 0.423 | 0.670% | $20.4200 | +$284 | +$8,156 | SCHED |
| 2026-03-02 | Monday | 2026-03-06 | $6838.61 | 6840 | 6690/6740/6940/6990 | $45.9900 | 0.920 | 1.165% | $34.5500 | +$4,576 | +$12,732 | SCHED |
| 2026-03-04 | Wednesday | 2026-03-06 | $6838.11 | 6840 | 6690/6740/6940/6990 | $33.7500 | 0.675 | 0.766% | $8.3500 | +$10,160 | +$22,892 | SCHED |
| 2026-03-09 | Monday | 2026-03-13 | $6674.62 | 6675 | 6525/6575/6775/6825 | $28.5000 | 0.570 | 1.424% | $64.6000 | $-14,440 | +$8,452 | ✗ SL80 |
| 2026-03-10 | Tuesday | 2026-03-13 | $6798.84 | 6800 | 6650/6700/6900/6950 | $19.1800 | 0.384 | 0.691% | $28.5000 | $-3,728 | +$4,724 | SCHED |
| 2026-03-11 | Wednesday | 2026-03-13 | $6812.30 | 6810 | 6660/6710/6910/6960 | $13.6000 | 0.272 | 0.595% | $19.5800 | $-2,392 | +$2,332 | SCHED |
| 2026-03-12 | Thursday | 2026-03-13 | $6741.00 | 6740 | 6590/6640/6840/6890 | $20.9100 | 0.418 | 0.443% | $11.6400 | +$3,708 | +$6,040 | SCHED |
| 2026-03-16 | Monday | 2026-03-20 | $6718.21 | 6720 | 6570/6620/6820/6870 | $30.2700 | 0.605 | 1.190% | $26.3800 | +$1,556 | +$7,596 | SCHED |
| 2026-03-17 | Tuesday | 2026-03-20 | $6767.16 | 6765 | 6615/6665/6865/6915 | $40.3500 | 0.807 | 0.943% | $14.5300 | +$10,328 | +$17,924 | SCHED |
| 2026-03-19 | Thursday | 2026-03-20 | $6589.87 | 6590 | 6440/6490/6690/6740 | $14.3400 | 0.287 | 0.415% | $7.5500 | +$2,716 | +$20,640 | SCHED |
| 2026-03-23 | Monday | 2026-03-27 | $6610.05 | 6610 | 6460/6510/6710/6760 | $37.8700 | 0.757 | 2.013% | $25.0200 | +$5,140 | +$25,780 | SCHED |
| 2026-03-24 | Tuesday | 2026-03-27 | $6539.56 | 6540 | 6390/6440/6640/6690 | $22.1000 | 0.442 | 1.040% | $10.7600 | +$4,536 | +$30,316 | SCHED |
| 2026-03-25 | Wednesday | 2026-03-27 | $6626.52 | 6625 | 6475/6525/6725/6775 | $29.6500 | 0.593 | 0.685% | $14.9600 | +$5,876 | +$36,192 | SCHED |
| 2026-03-26 | Thursday | 2026-03-27 | $6535.24 | 6535 | 6385/6435/6635/6685 | $10.7900 | 0.216 | 0.283% | $9.5300 | +$504 | +$36,696 | SCHED |
| 2026-03-30 | Monday | 2026-04-10 | $6405.20 | 6405 | 6255/6305/6505/6555 | $26.3100 | 0.526 | 2.398% | $41.1000 | $-5,916 | +$30,780 | SCHED |
| 2026-03-31 | Tuesday | 2026-04-10 | $6424.38 | 6425 | 6275/6325/6525/6575 | $20.8500 | 0.417 | 1.946% | $47.2400 | $-10,556 | +$20,224 | ✗ SL80 |
| 2026-04-01 | Wednesday | 2026-04-10 | $6586.00 | 6585 | 6435/6485/6685/6735 | $27.3500 | 0.547 | 1.483% | $6.6000 | +$8,300 | +$28,524 | SCHED |
| 2026-04-02 | Thursday | 2026-04-10 | $6480.61 | 6480 | 6330/6380/6580/6630 | $39.9300 | 0.799 | 1.699% | $28.9800 | +$4,380 | +$32,904 | SCHED |
| 2026-04-06 | Monday | 2026-04-10 | $6593.38 | 6595 | 6445/6495/6695/6745 | $26.7400 | 0.535 | 0.948% | $23.4100 | +$1,332 | +$34,236 | SCHED |
| 2026-04-07 | Tuesday | 2026-04-10 | $6579.12 | 6580 | 6430/6480/6680/6730 | $28.6900 | 0.574 | 1.029% | $-42.0200 | +$28,284 | +$62,520 | ✓ PT90 |
| 2026-04-13 | Monday | 2026-04-17 | $6799.85 | 6800 | 6650/6700/6900/6950 | $14.8500 | 0.297 | 0.499% | $21.9000 | $-2,820 | +$59,700 | SCHED |
| 2026-04-14 | Tuesday | 2026-04-17 | $6919.15 | 6920 | 6770/6820/7020/7070 | $14.3800 | 0.288 | 0.333% | $13.9900 | +$156 | +$59,856 | SCHED |
| 2026-04-20 | Monday | 2026-04-24 | $7115.57 | 7115 | 6965/7015/7215/7265 | $13.9900 | 0.280 | 0.451% | $14.0200 | $-12 | +$59,844 | SCHED |
| 2026-04-21 | Tuesday | 2026-04-24 | $7120.19 | 7120 | 6970/7020/7220/7270 | $13.1400 | 0.263 | 0.403% | $6.0800 | +$2,824 | +$62,668 | SCHED |
| 2026-04-27 | Monday | 2026-05-01 | $7173.81 | 7175 | 7025/7075/7275/7325 | $17.1100 | 0.342 | 0.533% | $13.9500 | +$1,264 | +$63,932 | SCHED |
| 2026-04-28 | Tuesday | 2026-05-01 | $7150.11 | 7150 | 7000/7050/7250/7300 | $22.1000 | 0.442 | 0.471% | $14.0500 | +$3,220 | +$67,152 | SCHED |
| 2026-04-29 | Wednesday | 2026-05-01 | $7134.85 | 7135 | 6985/7035/7235/7285 | $15.6900 | 0.314 | 0.351% | $7.9500 | +$3,096 | +$70,248 | SCHED |
| 2026-05-04 | Monday | 2026-05-08 | $7227.94 | 7230 | 7080/7130/7330/7380 | $18.0300 | 0.361 | 0.438% | $15.2400 | +$1,116 | +$71,364 | SCHED |
| 2026-05-11 | Monday | 2026-05-15 | $7406.79 | 7405 | 7255/7305/7505/7555 | $14.0000 | 0.280 | 0.412% | $15.7300 | $-692 | +$70,672 | SCHED |
| 2026-05-19 | Tuesday | 2026-05-22 | $7385.20 | 7385 | 7235/7285/7485/7535 | $16.9800 | 0.340 | 0.455% | $6.1700 | +$4,324 | +$74,996 | SCHED |
| 2026-05-20 | Wednesday | 2026-05-22 | $7379.77 | 7380 | 7230/7280/7480/7530 | $10.1900 | 0.204 | 0.307% | $11.5000 | $-524 | +$74,472 | SCHED |
| 2026-05-26 | Tuesday | 2026-05-29 | $7528.60 | 7530 | 7380/7430/7630/7680 | $11.7700 | 0.235 | 0.274% | $5.4500 | +$2,528 | +$77,000 | SCHED |
| 2026-06-01 | Monday | 2026-06-05 | $7593.97 | 7595 | 7445/7495/7695/7745 | $11.9000 | 0.238 | 0.310% | $1.0600 | +$4,336 | +$81,336 | ✓ PT90 |
| 2026-06-08 | Monday | 2026-06-12 | $7447.21 | 7445 | 7295/7345/7545/7595 | $23.3000 | 0.466 | 0.966% | $15.6500 | +$3,060 | +$84,396 | SCHED |
| 2026-06-09 | Tuesday | 2026-06-12 | $7475.47 | 7475 | 7325/7375/7575/7625 | $10.6600 | 0.213 | 0.367% | $22.8000 | $-4,856 | +$79,540 | ✗ SL80 |
| 2026-06-10 | Wednesday | 2026-06-12 | $7376.56 | 7375 | 7225/7275/7475/7525 | $14.0900 | 0.282 | 0.575% | $14.5900 | $-200 | +$79,340 | SCHED |
| 2026-06-11 | Thursday | 2026-06-12 | $7302.95 | 7305 | 7155/7205/7405/7455 | $19.4500 | 0.389 | 0.418% | $24.0000 | $-1,820 | +$77,520 | SCHED |
| 2026-06-15 | Monday | 2026-06-26 | $7562.24 | 7560 | 7410/7460/7660/7710 | $21.7900 | 0.436 | 0.793% | $23.8900 | $-840 | +$76,680 | SCHED |
| 2026-06-16 | Tuesday | 2026-06-26 | $7578.91 | 7580 | 7430/7480/7680/7730 | $18.2900 | 0.366 | 0.681% | $14.2700 | +$1,608 | +$78,288 | SCHED |
| 2026-06-17 | Wednesday | 2026-06-26 | $7534.92 | 7535 | 7385/7435/7635/7685 | $16.9200 | 0.338 | 0.674% | $28.3000 | $-4,552 | +$73,736 | SCHED |
| 2026-06-18 | Thursday | 2026-06-26 | $7477.08 | 7475 | 7325/7375/7575/7625 | $18.0300 | 0.361 | 0.703% | $21.6100 | $-1,432 | +$72,304 | SCHED |
| 2026-06-23 | Tuesday | 2026-06-26 | $7374.55 | 7375 | 7225/7275/7475/7525 | $13.5900 | 0.272 | 0.543% | $16.3700 | $-1,112 | +$71,192 | SCHED |
| 2026-06-24 | Wednesday | 2026-06-26 | $7394.43 | 7395 | 7245/7295/7495/7545 | $15.4500 | 0.309 | 0.384% | $9.2900 | +$2,464 | +$73,656 | SCHED |
| 2026-06-29 | Monday | 2026-07-10 | $7410.40 | 7410 | 7260/7310/7510/7560 | $21.6800 | 0.434 | 1.041% | $23.9800 | $-920 | +$72,736 | SCHED |
| 2026-06-30 | Tuesday | 2026-07-10 | $7445.65 | 7445 | 7295/7345/7545/7595 | $22.3200 | 0.446 | 0.806% | $27.0700 | $-1,900 | +$70,836 | SCHED |
| 2026-07-01 | Wednesday | 2026-07-10 | $7461.01 | 7460 | 7310/7360/7560/7610 | $20.9900 | 0.420 | 0.647% | $19.8400 | +$460 | +$71,296 | SCHED |
| 2026-07-06 | Monday | 2026-07-10 | $7514.14 | 7515 | 7365/7415/7615/7665 | $11.5500 | 0.231 | 0.303% | $6.5200 | +$2,012 | +$73,308 | SCHED |
| 2026-07-13 | Monday | 2026-07-17 | $7563.64 | 7565 | 7415/7465/7665/7715 | $10.1600 | 0.203 | 0.265% | $13.1800 | $-1,208 | +$72,100 | SCHED |
| 2026-07-14 | Tuesday | 2026-07-17 | $7543.26 | 7545 | 7395/7445/7645/7695 | $15.0500 | 0.301 | 0.306% | $7.3400 | +$3,084 | +$75,184 | SCHED |
| 2026-07-20 | Monday | 2026-07-24 | $7513.13 | 7515 | 7365/7415/7615/7665 | $32.0200 | 0.640 | 0.609% | $12.0900 | +$7,972 | +$83,156 | SCHED |
| 2026-07-21 | Tuesday | 2026-07-24 | $7484.31 | 7485 | 7335/7385/7585/7635 | $11.0700 | 0.221 | 0.297% | $7.3400 | +$1,492 | +$84,648 | SCHED |
| 2026-07-27 | Monday | 2026-07-31 | $7480.39 | 7480 | 7330/7380/7580/7630 | $15.4800 | 0.310 | 0.486% | $19.4600 | $-1,592 | +$83,056 | SCHED |
| 2026-07-28 | Tuesday | 2026-07-31 | $7409.20 | 7410 | 7260/7310/7510/7560 | $18.5700 | 0.371 | 0.548% | $15.9500 | +$1,048 | +$84,104 | SCHED |
| 2026-07-29 | Wednesday | 2026-07-31 | $7430.69 | 7430 | 7280/7330/7530/7580 | $17.1000 | 0.342 | 0.450% | $5.0100 | +$4,836 | +$88,940 | SCHED |
| 2026-08-05 | Wednesday | 2026-08-07 | $7795.91 | 7795 | 7645/7695/7895/7945 | $10.8800 | 0.218 | 0.328% | $9.2500 | +$652 | +$89,592 | SCHED |
| 2026-08-10 | Monday | 2026-08-14 | $7760.27 | 7760 | 7610/7660/7860/7910 | $12.9700 | 0.259 | 0.329% | $9.8900 | +$1,232 | +$90,824 | SCHED |
| 2026-08-24 | Monday | 2026-08-28 | $7665.77 | 7665 | 7515/7565/7765/7815 | $16.2600 | 0.325 | 0.373% | $12.9800 | +$1,312 | +$92,136 | SCHED |
| 2026-08-25 | Tuesday | 2026-08-28 | $7693.74 | 7695 | 7545/7595/7795/7845 | $11.4800 | 0.230 | 0.304% | $7.6600 | +$1,528 | +$93,664 | SCHED |
| 2026-09-08 | Tuesday | 2026-09-11 | $7713.17 | 7715 | 7565/7615/7815/7865 | $10.7400 | 0.215 | 0.252% | $10.9500 | $-84 | +$93,580 | SCHED |
| 2026-09-10 | Thursday | 2026-09-11 | $7616.01 | 7615 | 7465/7515/7715/7765 | $13.6500 | 0.273 | 0.234% | $5.8700 | +$3,112 | +$96,692 | SCHED |
| 2026-09-14 | Monday | 2026-09-18 | $7617.22 | 7615 | 7465/7515/7715/7765 | $16.9900 | 0.340 | 0.495% | $9.1000 | +$3,156 | +$99,848 | SCHED |
| 2026-09-15 | Tuesday | 2026-09-18 | $7629.82 | 7630 | 7480/7530/7730/7780 | $11.5200 | 0.230 | 0.426% | $12.0400 | $-208 | +$99,640 | SCHED |