I haven't done many of these in the past, but I'm beginning to warm up to them, particular with instruments that wouldn't ordinarily yield jack diddly squat with a traditional iron condor setup.

Here's how this iron fly compares to an iron condor with similar break evens (it would be a Nov 18th 43/46/48/51):*

Probability of Profit: Fly: 52% Condor: 52%
Max Profit: Fly: $220 Condor: $120
Max Loss: Fly: $280 Condor: $180
Break Evens: Same
Theta: Fly: 1.85/day Condor: 1.32/day
Take Profit: Fly: 25% of max ($55 profit) Condor: 50% of max ($60)
Spread "Repair": Same for both setups; roll tested side out for duration and, if feasible, away from current price for strike improvement; sell the oppositional spread against for a credit that exceeds what it cost to roll the tested side. Taking into account all credits received and debits paid, shoot to take off the rolled setup at the original take profit.

As you can see, the probability of profit is the same for setups with the same or substantial similar break evens, and there's little meaningful difference between the profit I would get if I managed the fly like a short straddle (at 25% max) and the condor like a short strangle (at 50% max) ($55 vs. $60).

The research I have looked at for short straddles and short strangles indicates that short straddles reach 25% max in about 30 days on average; short strangles 50% max in about 25 days, (short strangles); (short straddles), which appears to suggest that there is no huge difference in "time to same profit" for the two strategies. (Although those studies involved short straddles and short strangles, you can think of iron flies as "defined risk short straddles" and short strangles as "defined risk short strangles"). Consequently, even though you're receiving greater credit up front for the iron fly, you're probably going to have to wait around for it to reach 25% max profit about the same amount of time as you would an iron fly.

The important takeaway here is that -- but for the iron fly -- I would probably not put on a defined risk trade in XLU             . The reward is too small; the risk too great in comparison. So, another tool in the tool box for when you just can't enough credit out of a play in an instrument with your "regular" set of tools ... .

* -- Generally speaking, I would not set up an iron condor this tightly. I'd set up the short option strikes at the edge of the expected move and then the long options out from there 3-5 strikes (e.g., a Nov 18th 42/45/49/52). However, that particular setup would only yield a .72 ($72) credit/contract, and -- were I to manage that trade for 50% of profit -- would only yield .36 ($36) for a setup with a max loss of 2.28/contract ($228). The type of setup for an instrument with these particular metrics (price, implied volatility , etc.) is generally not worth it, in my opinion.
As an additional twist, some traders like to put these on in virtually everything and then proceed to delta hedge the position using credit spreads, naked shorts (puts or calls), or (where possible) with futures (e.g., SPY iron fly hedged with an /ES futures position). In this particular case, the original XLU "trade idea" starts out as a -8.88/contract delta setup. If, for example, the setup skewed out to a -20 delta setup (meaning that price has moved toward the call side, making it "more short"), a delta hedger might seek to sell a put or a short put vertical (both of which are long delta) to "bring it back into balance."
wow, nice analysis :)
Danke schoen.
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