About this template
Edited to include changes through version 6:
I created this template as a variant of Tammy Chambless' 0DTE Iron Condor strategy. Here are the Option Omega backtest results based on 2% allocation of portfolio per position (without the hedging or skewed iron condor logic I added):
Here's how it works:
Iron Condor Scanner:
Screens for times when you do not want entry (based on switches) for FOMC, CPI, and days of week.
At 9:40 a.m., 9:45 a.m., 10:00 a.m., 10:15 a.m., & 10:30 a.m., the scanner seeks to open an iron condor position based on the following criteria:
If the VIX is below the VIX Scanning Threshold (default at 33) and the Symbol hasn't moved significantly based on standard deviation moves, then the scanner checks for trends based on SMA and if ADX is above 25.
- Bullish trend (20/50/200): Checks for iron condors with 0.05 delta short calls & -0.15 delta short puts
- Bearish trend (200/50/20): Checks for iron condors with 0.15 delta short calls & -0.05 delta short puts
- Neutral trend: Checks for iron condors with 0.10 delta short calls & -0.10 delta short puts
Opportunity filters:
1. Checks to see if the position is available.
2. Checks to see if bid price > $0.01.
3. Checks to see if all legs open interest > 1.
4. Checks to see if bot has enough capital to open position.
The Spread Width is defaulted to $3 (modifiable).
Global Exit Options - None (modifiable).
Iron Fly Hedging: *Adjusted to be more of a very narrow iron condor*
If a wing of the iron condor is challenged, then it opens up the contralateral spread to create a synthetic iron butterfly for the challenged position. In other words:
If symbol's price is under the short strike of the put spread, a credit call spread is opened with the short strike being 1 above the short strike in the put spread.
If symbol's price is above the short strike of the call spread, a credit put spread is opened with the short strike being 1 below the short strike in the call spread.
This additional credit should hedge any losses from the challenged position.
Hedge Spread Exit Options - None (modifiable).
Iron Condor Monitor 0DTE version:
Tradier Account Check: (Can be turned off via bot-level switch)
On/after 3:00 p.m. EST, checks all 0DTE positions to see if the short leg's delta's have the potential to be ITM. If it does, then it initiates an expiration close.
Close position trigger if challenged based on chance of ITM:
Seeks to close position based on if the position's short leg's chance of being in the money.
- If position's chance of ITM exceeds Highest Chance of ITM Close % - defaulted to 65%
- After 12pm on 0DTE, if position's chance of ITM exceeds 0DTE 12pm Chance of ITM Close % - defaulted to 60%
- After 1pm on 0DTE, if position's chance of ITM exceeds 0DTE 1pm Chance of ITM Close % - defaulted to 60%
- After 2pm on 0DTE, if position's chance of ITM exceeds 0DTE 2pm Chance of ITM Close % - defaulted to 55%
- After 3pm on 0DTE, if position's chance of ITM exceeds 0DTE 3pm Chance of ITM Close % - defaulted to 50%
Market Close:
Closes all 0DTE positions that have greater than 10% chance of being ITM at market close.
