XSP has no direct spot price feed on Alpaca. The "XSP (est.)" level shown throughout this report is derived from SPY's price × a fixed put-call-parity ratio computed once from real XSP option bars — it is an estimate used only to pick ATM strikes. All option prices and P&L are from real Alpaca OPRA XSP bars.
| Filter | Status |
|---|---|
| Credit ratio ≥ 0.15 (0.75/wing) | ✔ Active |
| Short strangle ≥ 0.1% of XSP (est.) | ✔ Active |
| Short strangle ≤ 1.5% of XSP (est.) | ✔ Active |
| Overnight gap ≤ 2.0% of prior close | ✔ Active |
| Avg credit ratio (traded days) | 0.321 (1.60/wing) |
| Avg short strangle % of XSP (est., traded days) | 0.470% |
| 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 XSP stays between ±$10 of ATM) |
| XSP moves > $15 from ATM | Max loss = ($5 − credit) × 100 × 40 |
| Avg net credit collected | $1.6037 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 | +$2,610 |
| Average loser | $-2,722 |
| Best trade | +$9,040 (2026-03-25) |
| Worst trade | $-16,720 (2026-04-01) |
| Total gross wins | +$161,800 |
| Total gross losses | $-57,160 |
Total P&L of +$104,640 over 83 trades across Jan–2026-09-15. The iron condor's OTM structure collects premium on XSP while allowing a ±$10 buffer before max loss. XSP'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.
XSP 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 XSP 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 83 trades.
| Date | Day | Expiry | XSP Open (est.) | ATM | LP/SP/SC/LC | Credit Open | Cr/Wing | Strangle% | Credit Close | P&L | Cum P&L | Exit |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026-01-05 | Monday | 2026-01-09 | $689.74 | 690 | 675/680/700/705 | $1.4500 | 0.290 | 0.293% | $0.4800 | +$3,880 | +$3,880 | SCHED |
| 2026-01-12 | Monday | 2026-01-16 | $695.47 | 695 | 680/685/705/710 | $1.6700 | 0.334 | 0.371% | $0.8400 | +$3,320 | +$7,200 | SCHED |
| 2026-01-13 | Tuesday | 2026-01-16 | $698.48 | 698 | 683/688/708/713 | $0.7600 | 0.152 | 0.172% | $0.4100 | +$1,400 | +$8,600 | SCHED |
| 2026-01-14 | Wednesday | 2026-01-16 | $693.26 | 693 | 678/683/703/708 | $0.7600 | 0.152 | 0.156% | $0.4600 | +$1,200 | +$9,800 | SCHED |
| 2026-01-20 | Tuesday | 2026-01-23 | $685.13 | 685 | 670/675/695/700 | $1.5500 | 0.310 | 0.499% | $1.3100 | +$960 | +$10,760 | SCHED |
| 2026-01-26 | Monday | 2026-01-30 | $694.38 | 694 | 679/684/704/709 | $2.1900 | 0.438 | 0.504% | $1.0800 | +$4,440 | +$15,200 | SCHED |
| 2026-01-27 | Tuesday | 2026-01-30 | $696.28 | 696 | 681/686/706/711 | $0.8200 | 0.164 | 0.223% | $0.8700 | $-200 | +$15,000 | SCHED |
| 2026-02-02 | Monday | 2026-02-06 | $694.65 | 695 | 680/685/705/710 | $1.3700 | 0.274 | 0.402% | $1.2500 | +$480 | +$15,480 | SCHED |
| 2026-02-03 | Tuesday | 2026-02-06 | $698.44 | 698 | 683/688/708/713 | $0.7600 | 0.152 | 0.189% | $1.2200 | $-1,840 | +$13,640 | SCHED |
| 2026-02-04 | Wednesday | 2026-02-06 | $693.24 | 693 | 678/683/703/708 | $1.1300 | 0.226 | 0.270% | $0.2900 | +$3,360 | +$17,000 | SCHED |
| 2026-02-05 | Thursday | 2026-02-06 | $685.01 | 685 | 670/675/695/700 | $1.6700 | 0.334 | 0.339% | $-0.2200 | +$7,560 | +$24,560 | ✓ PT90 |
| 2026-02-18 | Wednesday | 2026-02-20 | $686.90 | 687 | 672/677/697/702 | $1.0900 | 0.218 | 0.352% | $0.5500 | +$2,160 | +$26,720 | SCHED |
| 2026-02-19 | Thursday | 2026-02-20 | $686.32 | 686 | 671/676/696/701 | $0.9900 | 0.198 | 0.265% | $0.1800 | +$3,240 | +$29,960 | SCHED |
| 2026-02-23 | Monday | 2026-02-27 | $692.15 | 692 | 677/682/702/707 | $1.0900 | 0.218 | 0.597% | $0.9700 | +$480 | +$30,440 | SCHED |
| 2026-03-02 | Monday | 2026-03-06 | $683.63 | 684 | 669/674/694/699 | $2.3600 | 0.472 | 0.910% | $2.8500 | $-1,960 | +$28,480 | SCHED |
| 2026-03-03 | Tuesday | 2026-03-06 | $678.39 | 678 | 663/668/688/693 | $4.9000 | 0.980 | 1.228% | $3.3000 | +$6,400 | +$34,880 | SCHED |
| 2026-03-04 | Wednesday | 2026-03-06 | $683.58 | 684 | 669/674/694/699 | $1.9600 | 0.392 | 0.449% | $1.0000 | +$3,840 | +$38,720 | SCHED |
| 2026-03-05 | Thursday | 2026-03-06 | $686.27 | 686 | 671/676/696/701 | $0.8100 | 0.162 | 0.226% | $0.5700 | +$960 | +$39,680 | SCHED |
| 2026-03-10 | Tuesday | 2026-03-13 | $679.66 | 680 | 665/670/690/695 | $2.1600 | 0.432 | 0.808% | $2.7600 | $-2,400 | +$37,280 | SCHED |
| 2026-03-11 | Wednesday | 2026-03-13 | $681.00 | 681 | 666/671/691/696 | $1.7700 | 0.354 | 0.623% | $2.8100 | $-4,160 | +$33,120 | SCHED |
| 2026-03-12 | Thursday | 2026-03-13 | $673.88 | 674 | 659/664/684/689 | $2.4400 | 0.488 | 0.491% | $1.0800 | +$5,440 | +$38,560 | SCHED |
| 2026-03-16 | Monday | 2026-03-20 | $671.60 | 672 | 657/662/682/687 | $2.8100 | 0.562 | 1.060% | $2.5100 | +$1,200 | +$39,760 | SCHED |
| 2026-03-17 | Tuesday | 2026-03-20 | $676.49 | 676 | 661/666/686/691 | $1.2100 | 0.242 | 0.606% | $1.0200 | +$760 | +$40,520 | SCHED |
| 2026-03-18 | Wednesday | 2026-03-20 | $671.66 | 672 | 657/662/682/687 | $1.3600 | 0.272 | 0.401% | $1.1800 | +$720 | +$41,240 | SCHED |
| 2026-03-19 | Thursday | 2026-03-20 | $658.77 | 659 | 644/649/669/674 | $1.5700 | 0.314 | 0.437% | $0.3600 | +$4,840 | +$46,080 | SCHED |
| 2026-03-23 | Monday | 2026-03-27 | $660.79 | 661 | 646/651/671/676 | $2.8400 | 0.568 | 1.034% | $1.7800 | +$4,240 | +$50,320 | SCHED |
| 2026-03-24 | Tuesday | 2026-03-27 | $653.74 | 654 | 639/644/664/669 | $1.6500 | 0.330 | 0.909% | $3.0500 | $-5,600 | +$44,720 | ✗ SL80 |
| 2026-03-25 | Wednesday | 2026-03-27 | $662.43 | 662 | 647/652/672/677 | $3.5700 | 0.714 | 0.823% | $1.3100 | +$9,040 | +$53,760 | SCHED |
| 2026-03-26 | Thursday | 2026-03-27 | $653.31 | 653 | 638/643/663/668 | $1.2300 | 0.246 | 0.297% | $0.5500 | +$2,720 | +$56,480 | SCHED |
| 2026-04-01 | Wednesday | 2026-04-10 | $658.38 | 658 | 643/648/668/673 | $2.3400 | 0.468 | 1.434% | $6.5200 | $-16,720 | +$39,760 | ✗ SL80 |
| 2026-04-06 | Monday | 2026-04-10 | $659.12 | 659 | 644/649/669/674 | $3.0800 | 0.616 | 1.135% | $2.5700 | +$2,040 | +$41,800 | SCHED |
| 2026-04-07 | Tuesday | 2026-04-10 | $657.69 | 658 | 643/648/668/673 | $1.4100 | 0.282 | 0.861% | $0.5200 | +$3,560 | +$45,360 | SCHED |
| 2026-04-13 | Monday | 2026-04-17 | $679.76 | 680 | 665/670/690/695 | $0.8000 | 0.160 | 0.510% | $2.4500 | $-6,600 | +$38,760 | ✗ SL80 |
| 2026-04-15 | Wednesday | 2026-04-17 | $699.01 | 699 | 684/689/709/714 | $1.0700 | 0.214 | 0.282% | $0.8300 | +$960 | +$39,720 | SCHED |
| 2026-04-20 | Monday | 2026-04-24 | $711.32 | 711 | 696/701/721/726 | $1.1200 | 0.224 | 0.419% | $1.7100 | $-2,360 | +$37,360 | SCHED |
| 2026-04-21 | Tuesday | 2026-04-24 | $711.78 | 712 | 697/702/722/727 | $1.3800 | 0.276 | 0.372% | $1.0800 | +$1,200 | +$38,560 | SCHED |
| 2026-04-22 | Wednesday | 2026-04-24 | $711.63 | 712 | 697/702/722/727 | $0.7900 | 0.158 | 0.254% | $0.4600 | +$1,320 | +$39,880 | SCHED |
| 2026-04-27 | Monday | 2026-05-01 | $717.14 | 717 | 702/707/727/732 | $1.8900 | 0.378 | 0.565% | $1.8400 | +$200 | +$40,080 | SCHED |
| 2026-04-28 | Tuesday | 2026-05-01 | $714.77 | 715 | 700/705/725/730 | $2.5300 | 0.506 | 0.508% | $1.8000 | +$2,920 | +$43,000 | SCHED |
| 2026-04-29 | Wednesday | 2026-05-01 | $713.25 | 713 | 698/703/723/728 | $1.7700 | 0.354 | 0.397% | $0.9100 | +$3,440 | +$46,440 | SCHED |
| 2026-05-04 | Monday | 2026-05-08 | $722.55 | 723 | 708/713/733/738 | $1.2900 | 0.258 | 0.370% | $1.1600 | +$520 | +$46,960 | SCHED |
| 2026-05-05 | Tuesday | 2026-05-08 | $724.89 | 725 | 710/715/735/740 | $0.9900 | 0.198 | 0.266% | $0.6400 | +$1,400 | +$48,360 | SCHED |
| 2026-05-11 | Monday | 2026-05-15 | $740.43 | 740 | 725/730/750/755 | $1.2300 | 0.246 | 0.369% | $1.3300 | $-400 | +$47,960 | SCHED |
| 2026-05-12 | Tuesday | 2026-05-15 | $738.90 | 739 | 724/729/749/754 | $1.4500 | 0.290 | 0.360% | $1.2700 | +$720 | +$48,680 | SCHED |
| 2026-05-13 | Wednesday | 2026-05-15 | $739.62 | 740 | 725/730/750/755 | $1.0400 | 0.208 | 0.230% | $1.2700 | $-920 | +$47,760 | SCHED |
| 2026-05-18 | Monday | 2026-05-22 | $741.56 | 742 | 727/732/752/757 | $1.6400 | 0.328 | 0.535% | $0.6900 | +$3,800 | +$51,560 | SCHED |
| 2026-05-19 | Tuesday | 2026-05-22 | $738.27 | 738 | 723/728/748/753 | $1.9500 | 0.390 | 0.494% | $1.8500 | +$400 | +$51,960 | SCHED |
| 2026-05-20 | Wednesday | 2026-05-22 | $737.73 | 738 | 723/728/748/753 | $2.1500 | 0.430 | 0.409% | $0.9000 | +$5,000 | +$56,960 | SCHED |
| 2026-05-26 | Tuesday | 2026-05-29 | $752.61 | 753 | 738/743/763/768 | $1.1400 | 0.228 | 0.283% | $0.7600 | +$1,520 | +$58,480 | SCHED |
| 2026-06-02 | Tuesday | 2026-06-05 | $759.91 | 760 | 745/750/770/775 | $0.9000 | 0.180 | 0.224% | $0.6100 | +$1,160 | +$59,640 | SCHED |
| 2026-06-09 | Tuesday | 2026-06-12 | $747.30 | 747 | 732/737/757/762 | $1.8600 | 0.372 | 0.541% | $1.9000 | $-160 | +$59,480 | SCHED |
| 2026-06-10 | Wednesday | 2026-06-12 | $737.41 | 737 | 722/727/747/752 | $1.4900 | 0.298 | 0.597% | $-0.0200 | +$6,040 | +$65,520 | ✓ PT90 |
| 2026-06-11 | Thursday | 2026-06-12 | $730.05 | 730 | 715/720/740/745 | $2.2800 | 0.456 | 0.527% | $2.3200 | $-160 | +$65,360 | SCHED |
| 2026-06-16 | Tuesday | 2026-06-26 | $757.64 | 758 | 743/748/768/773 | $1.2300 | 0.246 | 0.660% | $2.1700 | $-3,760 | +$61,600 | SCHED |
| 2026-06-17 | Wednesday | 2026-06-26 | $753.24 | 753 | 738/743/763/768 | $1.9600 | 0.392 | 0.773% | $1.6400 | +$1,280 | +$62,880 | SCHED |
| 2026-06-18 | Thursday | 2026-06-26 | $747.46 | 747 | 732/737/757/762 | $1.9800 | 0.396 | 0.665% | $2.3000 | $-1,280 | +$61,600 | SCHED |
| 2026-06-23 | Tuesday | 2026-06-26 | $737.21 | 737 | 722/727/747/752 | $3.8100 | 0.762 | 0.874% | $2.2800 | +$6,120 | +$67,720 | SCHED |
| 2026-06-24 | Wednesday | 2026-06-26 | $739.20 | 739 | 724/729/749/754 | $1.3100 | 0.262 | 0.377% | $0.6900 | +$2,480 | +$70,200 | SCHED |
| 2026-06-30 | Tuesday | 2026-07-10 | $744.32 | 744 | 729/734/754/759 | $2.9500 | 0.590 | 0.860% | $1.8500 | +$4,400 | +$74,600 | SCHED |
| 2026-07-01 | Wednesday | 2026-07-10 | $745.85 | 746 | 731/736/756/761 | $3.1700 | 0.634 | 0.728% | $2.0600 | +$4,440 | +$79,040 | SCHED |
| 2026-07-02 | Thursday | 2026-07-10 | $751.68 | 752 | 737/742/762/767 | $1.0900 | 0.218 | 0.358% | $1.1700 | $-320 | +$78,720 | SCHED |
| 2026-07-06 | Monday | 2026-07-10 | $751.16 | 751 | 736/741/761/766 | $1.2100 | 0.242 | 0.335% | $0.9000 | +$1,240 | +$79,960 | SCHED |
| 2026-07-13 | Monday | 2026-07-17 | $756.11 | 756 | 741/746/766/771 | $1.2000 | 0.240 | 0.282% | $1.9900 | $-3,160 | +$76,800 | SCHED |
| 2026-07-14 | Tuesday | 2026-07-17 | $754.08 | 754 | 739/744/764/769 | $1.0900 | 0.218 | 0.273% | $0.5800 | +$2,040 | +$78,840 | SCHED |
| 2026-07-21 | Tuesday | 2026-07-24 | $748.18 | 748 | 733/738/758/763 | $1.2500 | 0.250 | 0.295% | $0.7800 | +$1,880 | +$80,720 | SCHED |
| 2026-07-23 | Thursday | 2026-07-24 | $744.53 | 745 | 730/735/755/760 | $1.0700 | 0.214 | 0.168% | $0.5900 | +$1,920 | +$82,640 | SCHED |
| 2026-07-27 | Monday | 2026-07-31 | $747.79 | 748 | 733/738/758/763 | $1.6800 | 0.336 | 0.503% | $1.0900 | +$2,360 | +$85,000 | SCHED |
| 2026-07-28 | Tuesday | 2026-07-31 | $740.67 | 741 | 726/731/751/756 | $1.6600 | 0.332 | 0.563% | $1.3200 | +$1,360 | +$86,360 | SCHED |
| 2026-07-29 | Wednesday | 2026-07-31 | $742.82 | 743 | 728/733/753/758 | $2.8500 | 0.570 | 0.552% | $1.7000 | +$4,600 | +$90,960 | SCHED |
| 2026-08-03 | Monday | 2026-08-07 | $754.66 | 755 | 740/745/765/770 | $0.9100 | 0.182 | 0.274% | $1.2600 | $-1,400 | +$89,560 | SCHED |
| 2026-08-10 | Monday | 2026-08-14 | $775.77 | 776 | 761/766/786/791 | $0.9600 | 0.192 | 0.254% | $0.7400 | +$880 | +$90,440 | SCHED |
| 2026-08-11 | Tuesday | 2026-08-14 | $776.13 | 776 | 761/766/786/791 | $0.7500 | 0.150 | 0.186% | $0.9200 | $-680 | +$89,760 | SCHED |
| 2026-08-17 | Monday | 2026-08-21 | $778.40 | 778 | 763/768/788/793 | $0.7700 | 0.154 | 0.171% | $1.4500 | $-2,720 | +$87,040 | ✗ SL80 |
| 2026-08-24 | Monday | 2026-08-28 | $766.32 | 766 | 751/756/776/781 | $1.3400 | 0.268 | 0.356% | $1.2900 | +$200 | +$87,240 | SCHED |
| 2026-08-25 | Tuesday | 2026-08-28 | $769.12 | 769 | 754/759/779/784 | $0.9900 | 0.198 | 0.278% | $0.8600 | +$520 | +$87,760 | SCHED |
| 2026-08-26 | Wednesday | 2026-08-28 | $768.51 | 769 | 754/759/779/784 | $0.9800 | 0.196 | 0.216% | $0.3100 | +$2,680 | +$90,440 | SCHED |
| 2026-08-31 | Monday | 2026-09-04 | $769.22 | 769 | 754/759/779/784 | $0.9400 | 0.188 | 0.229% | $0.8800 | +$240 | +$90,680 | SCHED |
| 2026-09-01 | Tuesday | 2026-09-04 | $764.66 | 765 | 750/755/775/780 | $1.7100 | 0.342 | 0.326% | $0.7900 | +$3,680 | +$94,360 | SCHED |
| 2026-09-03 | Thursday | 2026-09-04 | $772.72 | 773 | 758/763/783/788 | $0.9800 | 0.196 | 0.148% | $0.1000 | +$3,520 | +$97,880 | SCHED |
| 2026-09-08 | Tuesday | 2026-09-11 | $771.06 | 771 | 756/761/781/786 | $1.3200 | 0.264 | 0.263% | $0.7500 | +$2,280 | +$100,160 | SCHED |
| 2026-09-10 | Thursday | 2026-09-11 | $761.35 | 761 | 746/751/771/776 | $0.9300 | 0.186 | 0.169% | $0.5100 | +$1,680 | +$101,840 | SCHED |
| 2026-09-14 | Monday | 2026-09-18 | $761.47 | 761 | 746/751/771/776 | $1.6500 | 0.330 | 0.527% | $1.7400 | $-360 | +$101,480 | SCHED |
| 2026-09-15 | Tuesday | 2026-09-18 | $762.73 | 763 | 748/753/773/778 | $1.8400 | 0.368 | 0.454% | $1.0500 | +$3,160 | +$104,640 | SCHED |