Mechanical Short Strike Delta
Setting key
mechanical_short_strike_delta
Default
0.20
What it does
Delta of the short strikes for mechanical engine iron condors. A 0.20 delta short strike sits near the edge of the expected move and has approximately an 80% probability of expiring worthless.
When to change it
Lower to 0.16 for higher probability but less premium. Raise to 0.30 for more premium but higher tested frequency.
Safe range
0.15 (high probability, less premium) to 0.40 (more premium, tested more often).
Example
SPY at $500, 0.20 delta put strike approximately $475, 0.20 delta call strike approximately $525. The condor profits if SPY stays between $475 and $525 through expiration.