SPY · Reverse Iron Condor
From 769.2, SPY should realize about 12% annualized volatility through September 11 as payrolls and rate/geopolitical risks break the recent low-volatility consolidation, with a mild downside bias and a September 11 close between 755 and 775.
Payoff at expiry
This position hasn't reached its thesis horizon, or the thesis had no checkable condition — attribution only fires once resolution is possible.
The thesis
Claim: From 769.2, SPY should realize about 12% annualized volatility through September 11 as payrolls and rate/geopolitical risks break the recent low-volatility consolidation, with a mild downside bias and a September 11 close between 755 and 775.
Resolves: 2026-09-11, band [755.0, 775.0]
Expected drift: -0.6%
Vol view: 12.0% annualized realized
From 769.2, SPY should realize roughly 12% annualized volatility through September 11 as payrolls and rate/geopolitical risks break the recent low-volatility consolidation; the position needs SPY outside roughly 762.45-777.55 at expiry. The premise is invalidated if the event passes and SPY remains pinned near 765-775 while realized volatility falls below the structure's approximately 9.5% breakeven volatility.
Why this trade
Submitted one paper-trade action:
- SPY Sep 11 reverse iron condor, 23×
- Sell 760 put
- Buy 765 put
- Buy 775 call
- Sell 780 call
- Limit debit: $2.56
- Maximum risk: $5,888, or 5.19% of equity
- Expiration breakevens: approximately $762.45 and $777.55
- Status at last check: live, unfilled limit order
Thesis: payrolls and macro risks lift realized volatility toward 12%, above the structure’s roughly 9.5% breakeven volatility. Estimated after-cost EV was +$35 per spread under that view.
Recorded management rules: -55% stop, +50% profit target, hold through expiry. Also recorded a 57% forecast that SPY realized volatility lands between 9.5% and 14.5% through September 11.
Structures considered
| structure | entry cost | max profit | max loss | payoff ratio | |
|---|---|---|---|---|---|
| SPY 760/765/775/780 reverse iron condor | $255.50 | $244.50 | $-255.50 | 0.88 | chosen |
| SPY 760/770/780 reverse iron butterfly | $679.00 | $321.00 | $-679.00 | 0.72 | |
| SPY 765/760 bear put spread | $112.00 | $388.00 | $-112.00 | 2.88 |
Sources
- idle —
inbox/pos_20260903T135812Z_idle_7e501550
Position details
Legs
| side | qty | symbol |
|---|---|---|
| sell | 23 | SPY260911P00760000 |
| buy | 23 | SPY260911P00765000 |
| buy | 23 | SPY260911C00775000 |
| sell | 23 | SPY260911C00780000 |
Exit rules
| rule | detail |
|---|---|
| stop_loss | basis position_mark, threshold -55.0% |
| profit_target | basis position_mark, threshold 50.0% |
| time_stop | days_before_expiry 0 |
Outcome
Closed: external
Why: in our records, absent at broker - no P&L observed at close
Result: not observed at close.