你知道即使股价不动，还是可以用期权获利吗？
只要搭配Put Spread和Call Spread就可以定义出一个低风险的中性期权交易。
今天斜杠投资达人要分享如何用期权选股神器找到高机率和高报酬的Iron Condor铁秃鹰期权进场，让你趁着股价不动的时候赚钱。
什么是铁秃鹰期权策略？
铁秃鹰期权策略是由卖Put Spread和卖Call Spread来定义一个获利区间，只要在期权截止前股价波动不大，股价维持在卖Put和Call的合约价之间，卖出的四个期权贬值后，卖家就会获利。
我们来复习一下卖看涨Put Spread和看跌Call Spread的获利机会，当我们卖看跌Call Spread时会先得到收入，只要股价在期权截止前不涨，Call垂直价差贬值我们就会获利。
如果股价上涨超过行权价，最高损失是垂直价差的宽度乘以100减收入。
当我们卖看涨Put Spread期权时也会先得到收入，只要股价在截止前不跌，Put垂直价差贬值我们就会获利。
可是如果股价下跌超过行权价，Put垂直价差的最高损失也是Spread的宽度乘以100减收入。
我们结合看跌Call Spread和看涨Put Spread就是一个铁秃鹰Iron Condor，Put Spread会定义股价可以移动的下限，Call Spread定义股价可以波动的上限。
当我们觉得一个股票在截止前不会大幅度涨跌，就可以卖铁秃鹰选择权获利，而且最大亏损机会是被限制住的。
铁秃鹰最大亏损 = 垂直价差宽度 x 100 – 收入
交易铁秃鹰和勒式有什么不一样？
铁秃鹰和勒式Strangle虽然同样是中性策略可是获利分析有很大的不一样。
我们比较两种策略的获利分析，只要股价没有大幅涨跌两种期权策略都可获利。
铁秃鹰的最大损失是有限的，而卖勒式时如果股价超出Put和Call的价格，最大损失是无上限。
当铁秃鹰的交易亏损时，我们可以roll up或roll down垂直价差来调整Iron Condor。
当Strangle亏损时，我们可以将期权roll到未来补救Strangle。
什么时候卖铁秃鹰最好？
卖铁秃鹰时需要theta和vega的走势让期权价值衰减，让我们在高价时卖Iron Condor进场，低价买回Iron Condor出场。
Theta是时间对期权价格的影响
从我们的经验来看，如果卖30天以外截止的OTM选择权，时间流逝时theta对选择权价格的影响比较可预期，只要股价波动不大，我们可以等待用时间来获利。
Gamma是股价对delta的影响，也是股价对期权价格的加速度
当选择权快要截止时gamma会越大，选择权价格会越不稳定，所以不管铁兀鹰有没有获利最好在离截止前14天以上平仓或延后到下个月，期权价格比较不会因为gamma波动太大而造成损失。
Vega是IV隐含波动率对期权价格的影响
因为我们要卖高买低，所以我们要在股票IV高的时候sell to open选择权进场，当IV萎缩vega造成期权价格贬值的时候buy to close出场。
另外我们也要挑选股价波动相对小的股票，最好是挑选市值比较高、股价比较不会被操作的公司卖选择权比较安全。
期权分析神器的最佳铁秃鹰交易设定
期权选股神器主要是针对挑选高机率、高获利的中性交易而设计，我们来看一下要怎么使用筛选功能找到最佳的铁秃鹰进场时机。
- 为了符合良好的theta衰退速度并避开gamma风险，我们用期权选股神器挑选下个月至少30天以外的截止日Expiration。
- 另外我们也要挑选IV Perc至少67%以上，未来有高机率IV和vega会萎缩。
- 市值Market Cap也要大于$10 billion，避免碰到像AMC一样股价被操作暴冲。
- 也要排除股价现在波动被压缩的状态避免未来IV膨胀，所以要选择没有Squeeze的股票。
- 也可以筛选30天内没有公布财报的股票，避免因为发表财报而碰到大幅涨跌。
- 最后再将Iron Condor ROC从最高排序，找到最高投资报酬率的Iron Condor交易机会。
我们照着刚才的条件在期权选股神器操作一次，最后就会找到最安全、获利也最高的0.20 delta卖铁秃鹰机会。
现在最佳的铁秃鹰交易进场机会
既然我们找到一系列最安全、获利最高的铁秃鹰期权，我们再挑出最好的进场机会。
我们可以从清单里用Options Volume找到交易量比较高的股票，例如现在清单里的铁秃鹰里可以看到MRNA的Options Volume比RIO高，所以交易MRNA比较容易成交，所以我们可以试着交易MRNA的Iron Condor期权。
我们卖一个54天后到期的MRNA铁秃鹰，如果截止前MRNA股价没有超出卖Put和卖Call的合约价，当四个期权失效可以得到58%的投资报酬率。
现在你知道如何使用期权选股神器挑出最佳铁兀鹰选择权交易机会，记得要常常用分析神器挑选最高获利的中性交易，让你在股价不动的时候获利。
Hi Tony,
Is there a assignment risk with Iron Condor Strategy?
Could you please clarify. Thanks !
Hi,
Iron Condors have long Call and Put contracts to limit the losses in the event of assignment.
So the assignment risk is minimal.
Thank you Tony !
Could you comment on exit strategies – specifically yesterdays exit from the MSFT 340/345 position? Your entry signals are pretty clear but knowing when to close out would seem as important. Thanks – I’m quite impressed with your general approach.
Our exit strategy is to close at 10-20% of the initial credit.
We usually do not close any vertical early on because we want to give the trades enough time to materialise.
It’s a good idea to setup GTC closing orders at about 10% of the initial credit to minimise the stress of checking the market constantly for the exit.
Another reason for not closing early is that once the price moves against our position, it is not easy to close unless we accept a very unfavourable bid/ask spread. Because the further the price moves away from ATM, the liquidity drops significantly.
As for the MSFT trade, I entered MSFT without having had a solid signal (emotional decision) and as soon as I entered, it moved against me.
Therefore, I exited the position to minimise the loss.
You said MRNA has a greater Options Volume than RIO, what does RIO mean???
I feel dumb but I figured it out lol so is there anything besides volume we should consider when picking one these stock results?
Hi Stephan,
We want to choose opportunities with greater than 30 DTE to get the safest theta decay and less gamma.
IV Perc >67% to find opportunities that have a high chance of contracting IV and vega in our favour.
By choosing Market Cap ($B) larger than 10 billion, we find stocks that are less likely to be manipulated in price.
A good idea is to eliminate stocks with depressed price movement, or in Squeeze, because IV will expand soon after.
We should also avoid underlying that have an upcoming Earnings Date in 30 days to reduce the chance of large fluctuations.
Finally, we can sort the Iron Condor ROC by descending order to get a shortlist of highest return Iron Condors.
Thanks Tony, I thought it’s better to buy at least 10 delta lower from sold strike either side to have quicker time decay, is that correct?
Having wider strikes for Iron Condors gives you a more significant premium.
But it does come as a trade-off of higher maximum loss if the trade goes wrong.
Love your tips on finding the best stocks to trade iron condors
We really need to avoid meme stocks when trading neutral option strategies
That’s right, we need to find stable stocks with overstated IV to trade Iron Condors.
Great article, thanks very much for the insightful read. Could you possibly speak more (or link to an article if you’ve already written on this) about how we can adjust the strikes of each leg so that we can obtain the maximum theta possible? In an ideal world, it would be nice to hold to expiration, but in the real world, my understanding is that it’s best to close a few weeks out or when you’ve met your profit objective. In short, how do we create the best IC setup to have the fastest decay?
Thank you for your kind words.
We like to have the inner strikes 0.20 delta on either side of the market price, and the outer strikes one step further out, shown in our Options Scanner.
To get the best theta decay, we also choose the expiration at around 45 days.
Yes, we usually close our trades around 14 days before expiration, or when we reached 50% or more profit.
Finally a good tutorial on how to find good Iron Condor entry points.
Thanks
You’re welcome
Thank you for the tips in picking the best stocks for iron condors
I’ll give it a try
Yes, you’ll find that using the options scanner can help you consistently find high probability iron condors to trade
我很愛中立策略 但最近台指中立很難做 IV太低 幾乎收不到多少權利金
但我沒投資過美股 更不用說選擇權了 加上本身不會英文 需要適應一下
希望可以上手 這樣就不會只有台指選擇權能做了 而是更多選擇
當IV高時交易中立策略是不錯的選擇，不過現在IV偏低不適合進場
美股交易期權的選擇很多，可以試試看
終於找到可以快速篩選高IV的鐵兀鷹分析器了,謝謝
沒錯，只要挑選高IV的時候進場，鐵兀鷹期權是很棒的中性交易方式
Hi Tony, your pick is set short side at delta 20, how about long side? So strategy stated that short call put at delta 30, long call put at delta 16, what’s your opinion?
Hi Nathan, I would choose the long side as the nearest strike further away from the short side.
Since different stocks at different expiration have different step-sizes of the strikes (usually $5-10), I usually pick short strikes at 20 delta, and choose long strikes 1 step further out.
This usually gives me the best ROC with balanced risk.
Choosing 30 delta short and 16 delta long for higher ROC can work if we feel the underlying’s IV will compress before expiration.
How do you choose the underlying to sell iron condors?
Short iron condor strategy works best when you expect the underlying price to not fluctuate a lot
So we sell iron condors when the IV percentile is high, as we expect the high IV to regress to a lower IV in the near future
And we’ll profit from vega
謝謝分享這麼簡單易懂的鐵兀鷹交易方式，讓我也想試試看中性的選擇權交易策略了
期待聽到您操作鐵兀鷹後的心得
Thank you for sharing the Iron Condor tips.
How do you pick the minimum ROC for Iron Condors to make the profit/risk balance worthwhile?
TastyTrade recommends a 1/3 width of the strikes as premium, which means 50% ROC
When you sort the Options Scanner by Iron Condor ROC, pick opportunities with ROC around 50% to follow TastyTrade’s recommendation.
Love the options scanner guys, I can’t trade iron condors and strangles without it now!
Glad you like it!
Thank you very much for the helpful information about how iron condor works
You’re welcome