Daily Iron Condor on SPY — Alpaca Paper Account · NikkiP2 · Mon–Thu Intraday
A neutral, premium-selling strategy that profits when SPY closes within a defined range at exit. Four option legs are opened each weekday morning (Mon–Thu) on the nearest-expiry weekly options and closed at 14:20 ET the same day.
The strategy is delta-neutral at entry but can develop directional exposure as SPY moves toward a short strike during the session. All filters together are calibrated to avoid the two primary failure modes: (a) selling into a high-IV environment where the market is already pricing in a large move, and (b) entering after a prior day with outsized directional momentum.
With the defaults below, strikes are centred ±$10 from the ATM strike with $5 wings:
| Parameter | Value | Description |
|---|---|---|
TICKER | SPY | Underlying ETF |
QTY | 40 | Contracts per leg |
SHORT_SPREAD | 10 | Distance from ATM to short strikes ($) |
WING_WIDTH | 5 | Width of each spread / max loss per side ($) |
| Event | Time (ET) | Days |
|---|---|---|
| Entry open | 09:40 | Mon–Thu |
| Entry cutoff | 12:00 | Mon–Thu |
| Exit | 14:20 | Mon–Thu |
Options expiry is always the next Friday (nearest weekly expiry).
No new positions opened on Friday. Intraday-only exposure — no overnight risk.
| Trigger | Threshold | Action |
|---|---|---|
PROFIT_TARGET_PCT | +90% of max profit | Close all legs |
STOP_LOSS_PCT | −80% of max profit | Close all legs |
All filters are evaluated from live option prices at entry time. Set any filter to
None to disable it.
| # | Filter | Value | Rationale |
|---|---|---|---|
| 1 | MIN_CREDIT_RATIO |
0.05 | Net credit must be ≥ 5% of wing width — ensures a meaningful breakeven cushion |
| 2 | MIN_CREDIT_ABS |
$0.25 | Absolute floor on collected premium per share — avoids trivial-credit trades |
| 3 | MIN_STRADDLE_PCT |
0.10% | Skip if the ATM straddle is < 0.10% of SPY price — signals IV collapse, not enough premium to justify risk |
| 4 | MAX_STRADDLE_PCT |
1.50% | Skip if the ATM straddle is > 1.50% of SPY price — market is pricing in a large move that may bust the wings |
| 5 | MAX_GAP_PCT |
1.0% | Skip if the overnight gap exceeds 1% — event-driven gap suggests directional momentum unfavourable for neutral entry |
| 6 | MAX_PREV_DAY_MOVE |
0.45× wing | Skip if the prior session’s intraday range exceeded 45% of the wing width — elevated momentum tends to persist |
| 7 | LOW_IV_HIGH_RVOL |
straddle < 0.15% and avg5 > $3.00 | Skip days where IV looks calm but realized vol over the past 5 sessions has been elevated — avoids selling cheap premium into a volatile tape |
Maximum loss is bounded by the wing width:
(WING_WIDTH − net_credit) × 100 × QTY = (5 − credit) × $4,000.
No overnight risk. Positions are always closed by 14:20 ET. Friday is skipped entirely.
The strategy is delta-neutral at entry but can develop directional exposure as SPY moves toward a short strike during the session. The auto-exit stop-loss limit controls the downside in these cases.
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The script blocks until market close, monitoring the position every 5 minutes and
auto-exiting on profit target or stop loss. Trades are appended to
condor_spy_trades_log.csv.
This strategy runs on an Alpaca paper trading account. Past performance does not guarantee future results. Do not use real capital without thorough risk review.
This strategy requires Level 3 (Spreads) options approval on the Alpaca account. Level 3 allows multi-leg defined-risk spreads (iron condors, iron butterflies, verticals, etc.). Accounts must also be margin-enabled.
Apply via: Alpaca Dashboard → Account → Trading → Options Trading → Level 3.