Condors & iron butterflies

Range-bound

Credit

Risk: Defined both ways

Iron condor

Also called: Short iron condor, Strangle with wings

Sell an out-of-the-money put spread and an out-of-the-money call spread: keep the credit if the underlying stays between the short strikes, with both tails capped.

Payoff sketch (per unit, index points)

At expiry

Today (7 days left)

Net premium

Credit 102 pts

Max profit

+102 pts (₹6,614 per lot)

Max loss

−98 pts (₹6,386 per lot)

Breakeven

24,698 / 25,302

Legs: Buy PE ATM −400 · Sell PE ATM −200 · Sell CE ATM +200 · Buy CE ATM +400. Illustration, not live prices: an index at 25,000, strikes 100 points apart, Black-Scholes premiums at 13% implied volatility, 7 days to expiry, 6.5% interest, no skew and before charges. Rupees per lot use a NIFTY lot of 65.

How it works

A short strangle with a bought option further out on each side. The wings cost part of the credit but turn the open-ended tails into a known maximum loss.

Only one side can be in the money at expiry, so the worst case is one wing's width minus the total credit.

When traders use it

A range-bound view with a defined worst case.
Collecting time decay with a margin close to the maximum loss rather than a naked-option margin.

Greeks

Delta	Near zero at entry.
Gamma	Negative between the short strikes.
Theta	Positive while the price stays between the short strikes.
Vega	Negative.

Profit, loss and margin

Max profit	The net credit less charges (four legs pay four sets of charges), if the underlying settles between the short strikes.
Max loss	(Wider wing width − net credit) × quantity, beyond either long strike.
Breakeven	Short put − net credit; short call + net credit.
Margin	About the maximum loss: SPAN credits the wings once they are in.

In India

SPAN margins the whole position, so a defined-risk spread usually blocks far less than its short leg alone. Brokers grant the hedge benefit only when the protective leg is actually in the account, which is why the long leg is usually placed first.
STT is charged on the premium when an option is sold (0.15% of premium from 1 April 2026 in Arthfy's cost model). A short option left to expire, in or out of the money, is not charged STT again at settlement.
Since 20 November 2024 an extra 2% extreme-loss margin applies to short index options on their expiry day, so a position carried into expiry morning can need more margin than it did the day before.
Since 20 November 2024 each exchange keeps one weekly index expiry: NIFTY on NSE and SENSEX on BSE. Since September 2025 NSE contracts expire on Tuesdays and BSE contracts on Thursdays. BANKNIFTY, FINNIFTY, MIDCPNIFTY and stock options expire monthly (NSE on the last Tuesday). A holiday moves the expiry to the previous trading day.

Arthfy numbers

Iron condor: what it did since 2016

Iron condor, 20 delta, wing 2 strikes beyond, entered 8-15 days before expiry.

0-2 d

3-7 d

8-15 d

16-30 d

31-45 d

Try it in the F&O hub

Opens the tool with this structure on today's NIFTY chain. Reading is free with an Arthfy account; some runs use free attempts.

Open in the builderPayoff, Greeks, scenario grid and charges on today's NIFTY chain

Backtest since 2016Daily data, every NIFTY expiry

Replay on expiry daysMinute data since October 2024

Open the option chainLive premiums, IV and Greeks

Straddles & strangles

Long call condor

For education: how the structure works and what it did historically, not a recommendation to trade it.