I'm trying to see if I understand Iron Condors correctly and how to assess whether or not the risk is worth it for a given set of circumstances.

The maximum profit on an IC is realized when all options in the spread expire out-of-the-money. Since the absolute value of the delta on an individual option is a good proxy for the probability that it will expire in-the-money, can it also be said that the max profit probability on an Iron Condor is indicated by the leg with the highest delta?

So for example, let's say I have an IC where the short put has the highest delta at -0.36. Does that mean that there is a 64% chance all four legs will expire worthless?

Please note, I understand the delta-as-probability assumption has its flaws.

1 Answer 1


Yes, it could be said that the probability of profit for a short Iron Condor would be the leg with the highest delta.

The probability of touch is about twice the probability of expiring ITM. Traders tend to adjust their short positions before or when the short leg goes ITM so perhaps consider this number as well.

  • What do you mean by "touch"?
    – Wes Sayeed
    May 23, 2019 at 18:07
  • PoT = likelihood of reaching (touching) the strike before expiration. Google "Probability of Touch" for add'l info. May 23, 2019 at 18:22
  • So in the example I used in my question (0.36 delta), I have a 74% chance of max profit, but a 72% chance that it hits the strikes? And if I hold until expiration, why do I care if it touches before then, as long as it doesn't stay there?
    – Wes Sayeed
    May 23, 2019 at 18:47
  • If you're going to roll the dice and take whatever expiration gives you then yes, there's no reason to care if it touches before then, as long as it doesn't stay there. So it touches. Are ya feeling lucky? However, if you're going to manage the position in order to minimize risk, you do care, not really much about the probability number but about P&L. May 23, 2019 at 19:03
  • So it's useful to know when to exit (or modify) your position. Gotcha. One more thing (maybe this should be a separate question); If I made a strategy of trading ICs with >75% PoP, and a profit/risk ratio of >1, I should find it difficult to lose money over the long haul, correct (albeit a slow way to make money)?
    – Wes Sayeed
    May 23, 2019 at 19:23

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