Tuesday 16 Jun 2026. The June Nifty future settled at 24,001.00, with 14 days to expiry. An iron condor on that chain paid Rs 5,944 a lot on day one: sell the 23,700 put and the 24,300 call, buy the 23,500 put and the 24,500 call. On Tuesday 30 Jun Nifty closed at 23,865.75, between the two sold strikes, and the condor kept every rupee. Put the same four legs on six days earlier, Wednesday 10 Jun, for the same expiry, and the result was Rs 5,284 lost, the most it could lose. Same shape, same expiry, opposite results. What changed was where the index stood when the legs went on. Every price here is an NSE end of day settlement, dated, so nothing is live and nothing is a view on where Nifty goes.
3By the end you can
- Build an iron condor and an iron fly from four dated settlement prices and read the credit, maximum loss and breakevens.
- Compute the win share a condor needs just to break even, before costs.
- Say why the same condor, on the same expiry, can win in full from one entry date and lose the maximum from another.
The idea, plainly
Think of renting out a quiet zone. You sell two options that pay off only if the index runs far, and you collect the rent now. Then you buy two cheaper options further out, so one wild fortnight cannot take everything. The rent is the credit. The wings are insurance you buy on your own sold options.
What is an iron condor?
Four legs, one expiry. Sell an out of the money put. Sell an out of the money call. Buy a put further down. Buy a call further up. The two sold legs are a short strangle, which module I18 covers, and a short strangle has no cap on its loss. The two bought legs put the cap on. You receive a net credit, the premium sold less the premium bought. That credit is the most you can make. The most you can lose is the width of one wing less the credit. There are two breakevens: the sold put less the credit, and the sold call plus it.
Iron condor
Max gain = net credit
Max loss =
wing width − credit
Breakevens = sold strikes
less and plus the credit
Profit is flat inside the sold strikes and the loss is flat beyond the wings
Read one more paragraph, 71 words
Read it from the middle. Between the sold strikes every leg expires worthless and you keep the credit: the flat top. Beyond a sold strike you give the credit back, point for point. Beyond a bought strike the long option offsets the sold one, so the loss stops: the flat floor. The smooth curve is a ramp and not a table top, because with time left the options still carry value.
What is an iron fly?
Pull the sold pair together onto one strike. Sell the call and the put at the strike nearest the future, and buy a put and a call the same distance out. It is a short straddle with the wings bought on. The sold options are at the money, so they carry the most premium. The credit is bigger and the profit zone is a narrow band round the middle strike. A condor is wide and shallow. A fly is narrow and tall.
An iron fly pays most at one strike and falls away on both sides
An iron fly and a call butterfly with the same three strikes have the same payoff shape at expiry. One is made with puts and calls, the other with calls only. Module I21 builds the butterfly.
What does it cost to run in India?
- Premium. SEBI's circular of 1 Oct 2024 made the net option premium payable upfront from 1 Feb 2025. A condor is a net credit, so there is no net premium to pay, only margin.
- Margin. The bought wings cap the loss, so SPAN, the margin model of NSE Clearing, asks far less than it would for the sold strangle alone. The rupees come from your broker's margin screen, and they move through the day. On the expiry day itself, short index options expiring that day carry extra extreme loss margin.
- STT, at the rates in force from 1 Apr 2026: 0.15% of the premium on every sold leg when it is sold, and 0.15% of the intrinsic value on a bought leg that is exercised in the money at expiry.
- Orders. Four legs in and four out. Each pays brokerage and exchange charges and crosses its own bid and ask. Module F06 prices a trade leg by leg.
What does a success rate leave out?
The question people ask most about a condor is its success rate. Count the expiries that ended between the breakevens and divide by all expiries. It has a blind spot. A gain of a few rupees and the full credit count as one win each, and a small loss and the maximum loss count as one loss each. The win rate means little without the loss size beside it.
Read 2 more paragraphs, 178 words
The break even win rate is plain arithmetic. Take every win as the full credit and every loss as the full wing less the credit. The win share you need is then the maximum loss over the wing width. On the 16 Jun chain that is 54.3%. Below it the condor loses money before a rupee of costs.
Now set it beside what the market prices. The straddle on that chain implies a one standard deviation move of about 568 points by 30 Jun. The sold call sits 299 points above the future, and the sold put about as far below, well inside it. Treat the index at expiry as lognormal at the market's own implied volatility, and the chance of ending between the breakevens comes out at about one in two. So a condor sold at fair prices does not win nearly every time. It wins about as often as it must, less costs. A run of eight wins in ten says how calm the run was. It does not say what the next expiry holds.
Worked example: one expiry, two entry dates
Both condors expire on Tuesday 30 Jun 2026, settled on the index close for expiries before 7 Dec 2026. The lot is 65 units. The sold strikes sit six steps of 50 points either side of the strike nearest the future, which is how the payoff builder sets an iron condor, and the bought strikes sit four steps further out. ATM is nearest the future because these are monthlies. The fly shares the middle strike. All prices are settlement prices, not fills. On 16 Jun the two sold legs brought in 219.10 a unit and the two bought legs cost 127.65.
Four prices become one credit, and the credit is the most you can make
| One lot | Entered 16 Jun | Entered 10 Jun |
|---|---|---|
| Future that day | 24,001.00 | 23,240.10 |
| Sold put and call | 23,700 and 24,300 | 22,950 and 23,550 |
| Bought put and call | 23,500 and 24,500 | 22,750 and 23,750 |
| Net credit, a unit | 91.45 | 118.70 |
| Credit, also the most it makes | Rs 5,944 | Rs 7,716 |
| Most it can lose | Rs 7,056 | Rs 5,284 |
| Breakevens | 23,608.55 and 24,391.45 | 22,831.30 and 23,668.70 |
| Result at the 30 Jun close of 23,865.75 | Rs 5,944 | −Rs 5,284 |
| Iron fly, same day, same close | Rs 6,497 | −Rs 2,983 |
The index crossed the 10 Jun condor's sold call and stayed inside the 16 Jun condor's zone
Read 3 more paragraphs, 235 words
Nifty rose 3.3% between the closes of 10 and 16 Jun, from 23,214.95 to 23,989.15. The condor put on 10 Jun had its sold call at 23,550. The index crossed it within those six days and, at the 30 Jun close, stood 115.75 points past the bought call at 23,750. The wings stopped the bleeding there, which is why the loss is Rs 5,284 and not more. The condor put on 16 Jun was centred on the new level. The index finished 135.25 points under the future, well inside the zone, and the credit stayed whole.
The fly of 16 Jun collected 234.20 a unit, Rs 15,223 a lot, against the condor's Rs 5,944, and made Rs 6,497, more than the condor, because the close landed 134.25 points from its middle strike of 24,000. The fly of 10 Jun lost Rs 2,983, less than the condor. One expiry, one close, two entry dates, two opposite results. That is the shape. It says nothing about odds.
Now the charges. At entry on 16 Jun the two sold legs carried STT of Rs 21.36. Everything expired worthless, so no exercise STT followed. In the 10 Jun condor the bought 23,750 call finished in the money and was exercised for its holder: STT of Rs 11.29 on its intrinsic value. Brokerage, exchange charges, GST and stamp duty come on top.
The common mistake
The belief: An iron condor wins most of the time, so it is safe to repeat.
Look at the sizes. The 16 Jun condor made Rs 5,944 at best and risked Rs 7,056. One maximum loss takes back 1.19 full wins. The 10 Jun condor lost Rs 5,284 in a single expiry. A high win rate is what the structure is built to show, since the sold strikes sit far from the index. The size of the rare loss pays for it. SEBI's Aug 2026 study of individual equity derivatives traders found that 87.7% lost money in FY26, and that options were 92% of the losses. A capped loss is a statement about the worst case. It does not say how often you meet it. Judge a condor by what it earns on average after costs, across many dated expiries. This lesson holds two. Two cannot settle it.
Key takeaways
- An iron condor is a short strangle with bought wings that cap the loss.
- Maximum gain is the credit. Maximum loss is the wing width less the credit.
- An iron fly collects more credit in a narrower profit zone.
- Same expiry, different entry date, opposite results: the start level matters.
- The break even win share is maximum loss divided by wing width.
- A success rate without the loss size says nothing about the average result.
3 terms this section turns on
Two terms to hold on to from 17.7
Before you trade. Derivatives trading carries a high risk of loss. SEBI's study "Profitability of Individual Traders in the Equity Derivatives Segment (FY25 to FY26)" (August 2026) found that 87.7% of individual traders in equity F&O made net losses in FY26, with aggregate net losses of Rs 91,685 crore. Read the SEBI study