In the world of Iron Condors (an option position composed of short, higher strike (bear) call spread and a short, lower strike (bull) put spread), there are two heuristics that are bandied about without much comment. I’m generally unwilling to accept some Internet author’s word for something (unless it completely gels with everything I know), so I set out to convince myself that these heuristics held. Here are some demonstrations (I hesitate to use the word proof) that convinced me. Continue reading
Category Archives: Finance
Some Iron Condor Heuristics
I’m still debating the best way to work with ipython notebooks in this blog. However, until I come to “final” answer (which might be going away from wordpress and going with a github-pages/pellican solution, ala Jake VdP), I’m just going to (hopefully) upload the notebooks and link to them via nbviewer. Here goes:
The raw notebooks: Two Iron Condor Heuristics (Raw)
As seen by nbviewer: Two Iron Condor Heuristics (Through nbviewer)