Trade P&L By Day In the 31 Day RUT Iron Condor

In the last two posts, I've shown two different approaches to looking at the performance of the 31 days-to-expiration (DTE)  RUT "no touch" iron condor (IC).

First, we looked at how the performance of the 31 DTE RUT "no touch" IC has deviated from the historical performance starting in 2013.  Second, we looked at the frequency, magnitude, and averages related to losses on the put credit spreads versus the call credit spreads.

In this post we will look at intra-trade performance.  In my first post on the 31 DTE RUT "no touch" IC, I showed the monthly performance heat map for all four delta variations of this strategy.  The heat map for the 8 delta variation is shown again below.  We will use this 8 delta variation, when reviewing intra-trade performance.

Each of the following equity curve charts corresponds to an expiration year.  The first graph shows a line for each 31 DTE RUT "no touch" IC trade with an expiration in 2007.  Each line in the chart shows the P&L by days-in-trade (DIT) for a particular trade.  Each trade is identified by its expiration month and year.  The x-axis is DIT, and the y-axis is P&L percent.  Scroll through the charts year by year and see how the behavior of this strategy evolved over the seven year period from 2007 through 2014.

P&L % versus DIT - 2007 Expiration Trades

P&L % versus DIT - 2008 Expiration Trades

P&L % versus DIT - 2009 Expiration Trades

P&L % versus DIT - 2010 Expiration Trades

P&L % versus DIT - 2011 Expiration Trades

P&L % versus DIT - 2012 Expiration Trades

P&L % versus DIT - 2013/2014 Expiration Trades

These charts add more qualitative information to the quantitative information contained in the Ulcer, Sharpe, and Sortino ratios.  We can see how the recent performance differs from the past very easily in these charts. 

The images for the 12, 16, and 20 delta variations of this trade have been uploaded to Google Drive.  A screenshot of all of the images, along with the 8 delta variation, is shown below.

You can download all 28 of these images from the Google Drive link below:

https://drive.google.com/folderview?id=0B-FScJMYtbGuNUJyMWRGUXdScE0&usp=drive_web