Do Iron Condors Make Money? 36 Years of S&P 500 Condors, Tested

An iron condor is the trade options sellers love. You get paid up front, and you keep the money as long as the market doesn't move too far. Most months, it doesn't.

That makes it feel safe. You win month after month. Then one big move takes back several months of wins at once.

So do iron condors make money over time? We tested them on the S&P 500 at every monthly expiry from January 1990 to October 2026: 441 months, on real option prices.

What an iron condor is

An iron condor is four options with the same expiry. You sell a put below the price and a call above it. Then you buy a put further below and a call further above, to cap your loss.

It's two credit spreads at once: one under the market and one over it. You're paid to open it. If the market finishes between the two options you sold, everything expires worthless and you keep that money. If it runs through either side, you lose.

Here's a real one. On 13 November 2026 the S&P 500 closed at 7,562. For the options expiring on 18 December, you could sell the 7,165 put and the 7,815 call, and buy the 7,115 put and the 7,865 call.

At the middle of the quoted prices, that paid $1,560 a contract. The most it could lose was $3,440: the 50-point gap between the strikes, times 100, minus what you collected.

The put you sold was 5.2% below the price. The call was 3.4% above it. You make money if the S&P 500 finishes between 7,149 and 7,831 on 18 December.

The maths you can't skip

You collect $1,560 and risk $3,440. One full loss wipes out 2.2 full wins.

So if every win kept the whole credit and every loss was a full loss, you'd need to win 69% of the time just to break even. Real losses aren't always full, so the true number is a bit lower. But it's high.

What do the options themselves say? A short option's delta is a rough guide to its chance of finishing in the money. Here the put's delta was 0.20 and the call's was 0.20. So the options price about a 60% chance that both expire worthless.

In other words, the trade is priced close to fair. You only make money if the market stays inside more often than the options expect. Historically it has, a little. When we set strikes like these at every expiry since 1990, the S&P 500 finished between them in 65% of months.

That gap is called the volatility risk premium: options usually price a bit more movement than you get. It's the whole reason the trade can work. The question is whether it's big enough to cover the losses.

How we tested it

Old option prices cost money to buy. But Cboe, the big US options exchange, runs an index that trades an iron condor on the S&P 500 every month, on real prices. It's called the Cboe S&P 500 Iron Condor Index, or CNDR, and its daily history goes back to 1986.

Each month it sells a put and a call with a delta of about 0.20 and buys a put and a call at about 0.05. It holds the rest of its money in one-month T-bills. Trading costs aren't included.

It holds a lot of cash next to each condor. Its worst month was −9.3%, when the S&P 500 fell 31%. So its return is mostly the T-bill rate plus the condor's result. That's why we compare it with T-bills as well as stocks: the gap between the index and cash is what the condors themselves earned.

We read the index at every monthly expiry from 19 January 1990 to 16 October 2026, next to the S&P 500 with dividends reinvested and 3-month T-bills.

36 years of iron condors

$10,000 in the iron condor index in January 1990 grew to $59,667. The same money in the S&P 500 grew to $471,586. In T-bills it grew to $26,565.

The ride was much smoother. The condor index made money in 77% of months, against 66% for the S&P 500. Its worst fall from a high was 19%, against 48% for stocks.

Its worst month was the one to 20 March 2020. From 21 February to 19 March 2020 the S&P 500 fell from 3,338 to 2,409. That ran straight through any put spread a few percent below the price.

It paid until 2008. Since then, cash did better

The long record hides a split. From 1990 to the end of 2008, the condor index made 8.8% a year, against 3.9% for T-bills. The condors added about 4.8 points a year.

From the start of 2009 it made 1.1% a year, against 1.4% for T-bills. That's less than cash. Over the same years the S&P 500 made 15.0% a year.

The 2010s were the worst. The condor index lost 0.7% a year over the decade while the S&P 500 made 13.7%. Since 2020 it has made 2.1% a year, still below cash at 2.8%. Of 35 full calendar years, it made less than T-bills in 15.

Some years still went well: +10.1% in 2024. Then +0.3% in 2025, when T-bills paid 4.1%.

Why it stopped paying

We can't prove the reason, but the data points to the protection. An iron condor buys a far-out put to cap its loss in a crash. Since then, crash protection has got more expensive.

Cboe's SKEW index tracks how much far-out S&P 500 puts cost compared with options near the price. It averaged 116 in the 1990s and 117 in the 2000s. It rose to 126 in the 2010s and 140 since 2020. A dearer wing takes a bigger bite out of every credit.

The premium itself didn't go away. The VIX was above the S&P 500's real volatility over the next month on 92% of days in the 1990s and 85% since 2020. Options still price more movement than you get, on most days. The condor just keeps less of it.

Iron condors also lose when stocks go up

Most people think of the crash risk. But the condor index lost money in 103 months, and in 69 of them the S&P 500 went up. That's 67% of its losing months.

It's built into the trade. Calls far above the price are cheap compared with puts far below it, so the call you sell sits closer to the price. In today's condor it's 3.4% above, against 5.2% for the put. When we set strikes like these at every expiry since 1990, the market ran through the call side 109 times and the put side 44 times.

A strong, steady rally, like most of the 2010s, keeps pushing through the call you sold. You lose on that side while the market makes money for everyone holding stocks.

When iron condors beat stocks

The condor index beat the S&P 500 in 11 of 35 full years: 1993, 1994, 2000, 2001, 2002, 2005, 2008, 2011, 2015, 2018, 2022. Every one was a year the S&P 500 made less than 10% or fell. In 2008 the index lost 4.9% while stocks lost 38.8%.

So an iron condor is a bet on a flat or gently falling market. It did well in the 2000s, when the S&P 500 went nowhere: +6.8% a year for condors against −0.7% for stocks. In a bull market, holding stocks wins by a wide margin.

What a real trader pays

The index pays no trading costs. You would. Our December condor paid $1,560 at the middle of the quotes. If you sold at every bid and bought at every ask, it paid $1,280. That's 18% of the credit gone before the trade starts, and commissions come on top.

Most traders get a fill somewhere in between. But since 2009 the condor index made less than cash before any costs. With them, it made less still.

Your broker also holds the most you can lose as margin: $3,440 for our condor. If you put most of your account into one condor a month, a single full loss takes most of the account. The index only looks calm because it keeps a large pile of cash beside each condor.

What this test can't tell you

• It's one way of trading condors: monthly, held to expiry, short strikes near 0.20 delta and wings near 0.05. Many traders take profits early, close at a loss limit, or trade weekly expiries. Those can come out better or worse.
• Cboe's index includes no commissions and no bid-ask spread. Real fills cost money, as above.
• Cboe launched the index in 2015. The years before that were worked out from historical option prices, not traded live.
• The 65% and the call-side and put-side counts come from strikes we set off the VIX at each expiry, not from Cboe's own strikes. Every money figure comes from Cboe's index or today's quotes.
• Today's condor is one snapshot, priced at the middle of delayed quotes on 13 November 2026. Prices change every second.
• This is the S&P 500. Condors on single stocks face earnings moves and wider spreads.

So do iron condors make money?

They win often and lose big, and over 36 years they made money. Cboe's index made 4.98% a year with far smaller falls than stocks. But it made less than half what the S&P 500 did, and the condors' extra return over cash came almost entirely by 2008.

Since 2009, the index made less than T-bills before costs. The protection got dearer, and steady rallies kept running through the calls. If you trade condors, check the credit against the most you can lose before you open one. At today's prices you need to win about 69% of the time if every loss is a full one.