Does IV affect iron condor returns percentage

F&O
1

Hi @Sensibull team @nithin @siva ,

Since current options has maximum IV, iron condor returns are good. How much returns will be reduced once IV comes back in the normal (exa 20 for nifty)

2

Hey @Nikhil_Wadibhasme
Tricky question. There are many variables here like how far are the legs of iron condor, and how many days to expiry.

You can explore this here on builder. There is a 7 day trial
https://web.sensibull.com/builder

3

@Sensibull team thanks.

Great tool with extraordinary features.

My assumption for above question was considering other Greeks ~ same.

4

Thanks @Nikhil_Wadibhasme . It depends on the distance between the legs of Iron Condor, and the days to expiry. This is because the IV returns are linked to Vega. For example if you take an iron condor with legs too close, the Vega will be too low. And if you take one with legs wide, Vega will be high.

To know the exact impact, you can construct different Iron condors, look at the vega, and see how much the P&L change with 1 point drop in IV

1 Like