If you believe BANKNIFTY is going to trade in a range for the next month, the Iron Condor is the most elegant way to get paid for that view. You collect premium from four options — two that you sell close to the money, two that you buy further away as protection — and you profit as time decays the sold options to zero.
This guide builds a real BANKNIFTY Iron Condor from scratch, shows the rupee math, explains when to close, and gives you the adjustment rules that keep the strategy profitable across 65-75% of monthly cycles.
1. The Iron Condor Structure
An Iron Condor combines two credit spreads: a bear call spread above the market and a bull put spread below. Together they form a "tent" of profit when the underlying stays inside.
The four legs
SELL OTM call · BUY further-OTM call (call wing)
SELL OTM put · BUY further-OTM put (put wing)
Net position: delta-neutral, long theta, short vega, short gamma.
2. Building It Live — BANKNIFTY at 52,600
BANKNIFTY spot ₹52,600 · 30 DTE · India VIX 14
The 4 legs
Iron Condor LegsLot 15
| Leg | Strike | Action | Premium | Delta |
|---|
| Short Call | 54,000 CE | SELL | ₹125 | -0.22 |
| Long Call (wing) | 55,000 CE | BUY | ₹58 | +0.11 |
| Short Put | 51,000 PE | SELL | ₹110 | +0.20 |
| Long Put (wing) | 50,000 PE | BUY | ₹52 | -0.09 |
Credit from short legs(125 + 110) × 15 = ₹3,525
Debit from protective wings(58 + 52) × 15 = ₹1,650
Net credit at entry+₹1,875
Wing width1,000 points
Max profit₹1,875 (net credit)
Max loss(1,000 × 15) - 1,875 = ₹13,125
Breakevens50,875 and 54,125
3. The Greek Profile
At entry, the Iron Condor is:
- Delta ≈ 0 — no directional exposure (net of all 4 Deltas)
- Theta positive — earns ~₹40-60/day as premium decays
- Vega negative — benefits from falling IV, hurt by rising IV
- Gamma negative — position Delta drifts against you as price moves
Key insight: The Iron Condor is a bet that IV is too high AND the market will stay in range. Both conditions need to hold. Check IV Rank before entering — ideally above 40.
4. Payoff Scenarios at Expiry
P&L at Various BANKNIFTY Expiry LevelsLot 15
| BANKNIFTY close | Call side P&L | Put side P&L | Total P&L |
|---|
| 48,500 (below put wing) | +₹3,525 | -₹15,000 | -₹11,475 |
| 51,000 (short put) | +₹3,525 | +₹1,650 | +₹5,175 |
| 52,600 (spot unchanged) | +₹3,525 | +₹1,650 | +₹5,175 (capped at max credit ₹1,875 after protective legs cancel) |
| 52,600 (in profit zone) | — | — | +₹1,875 (MAX PROFIT) |
| 54,000 (short call) | +₹3,525 | +₹1,650 | +₹5,175 |
| 55,500 (above call wing) | -₹15,000 | +₹3,525 | -₹11,475 |
Max profit anywhere in 51,000 to 54,000 zone. Losses cap at ₹13,125 beyond wings.
5. When to Close — The 50% Rule + 21-DTE
Rule 1 — 50% profit target: Close when the position shows ₹938 (50% of max ₹1,875). Typically hit in 14-18 days.
Rule 2 — 21-DTE mandatory exit: If you haven't hit 50% by 21 DTE, close anyway. Gamma risk explodes in the final 3 weeks.
Never: Hold through expiry "to collect the last rupee." The ₹300-500 you might gain comes with multi-₹1000s of gamma risk. Always close early.
6. How to Adjust When Tested
If BANKNIFTY rallies to 53,500 (approaching short call at 54,000):
Adjustment
Option A: Roll Untested Put Side Up
Close 51,000/50,000 put spreadPay ₹20 × 15 = -₹300
Open 52,500/51,500 put spreadCollect ₹80 × 15 = +₹1,200
Net new credit+₹900
EffectIncreases max profit; narrows profit zone
Adjustment
Option B: Close the Tested Call Spread
Buy back the 54,000/55,000 call spread at a loss. Let the put side expire worthless for full put credit. Result: partial loss on calls, full profit on puts → small net gain or breakeven.
Build this Iron Condor in Strategy Lab
White Stallion's Strategy Lab has BANKNIFTY Iron Condor as a 1-click template. All Greeks shown live, payoff chart auto-drawn, save/load.
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Frequently Asked Questions
What is an Iron Condor?
An Iron Condor is a 4-leg option strategy that profits when the underlying stays between two short strikes through expiry. You sell an OTM call and sell an OTM put to collect premium, then buy a further-OTM call and a further-OTM put as protection. The position is delta-neutral at entry and benefits from time decay (theta) and decreasing volatility (vega).
How do I choose strikes for a BANKNIFTY Iron Condor?
A common approach is to sell strikes at ~0.20 Delta (about 1 standard deviation from spot). For BANKNIFTY at 52,600 with 30 DTE and IV 18%, that's roughly 54,000 CE and 51,000 PE. Add protective wings 500-1000 points beyond each short strike. Target ~₹150-200 net credit per lot for a 3,000-point wide structure.
What is the max profit and max loss?
Max profit = Net credit received × lot size. Max loss = (Wing width - Net credit) × lot size. For a BANKNIFTY Iron Condor with ₹175 credit and 1,000-point wings on 15 lot: Max profit = ₹2,625, Max loss = ₹12,375. Risk-reward is roughly 1:4.7 — but probability of profit is typically 65-75%, making expected value positive.
When do I close an Iron Condor?
Close at 50% of max profit as soon as achievable (usually 14-21 days before expiry). This captures most of the theta with minimal gamma risk. The 21-DTE rule is mandatory: never hold a credit spread into the final 3 weeks of expiry — gamma risk triples there while theta barely grows. Many retail blowups happen in expiry week.
How do I adjust a threatened Iron Condor?
If BANKNIFTY breaks your short call, you have three options: (1) roll the untested put side up to collect more credit, (2) close the tested call spread at a loss and let the other side expire worthless, or (3) convert to an iron fly by narrowing the profit tent. Most professionals follow rule: don't adjust more than twice per trade. If both sides get tested, close the trade.
What is the margin requirement?
Under SEBI's portfolio margin rules, an Indian broker charges SPAN + Exposure margin. For a 1,000-point wide BANKNIFTY Iron Condor, the margin is roughly ₹80,000-120,000 per lot. This equals max loss (since the structure is defined-risk). Your ROI is ₹2,625 profit on ₹100,000 margin = 2.6% per 30 days, or ~30% annualized if repeated.
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