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Iron condor: the range where time helps narrows every day

See how the iron condor’s “time helps” range narrows from about $20 wide to $15, and why the gain arrives so differently at the center and at the short strikes.

Iron condor · Buy 1 90 Put / Sell 1 95 Put / Sell 1 105 Call / Buy 1 110 Call · 30 days

Open in the full Lab
TodayDay 30
Day 1515 days to expiration · 15d left
IV shift
P&L+$79

Time-slice chart

5 scenarios from Today to Day 30. If the price stays at 90, P&L goes from −$127 to −$306. If the price stays at 95, P&L goes from −$35 to +$194. If the price stays at 100, P&L goes from $0 to +$194. If the price stays at 105, P&L goes from −$38 to +$194. If the price stays at 110, P&L goes from −$118 to −$306. Cursor on Day 15.

Left and right arrows change the day; up and down switch the scenario price.

Price-slice chart

P&L across prices $74.00 to $126.00. At expiration: breakeven $93.06 and $106.94, max profit +$194, max loss −$306. On Day 15 at $100.00: +$79.

Left and right arrows move the price.

P&L heatmap

LossProfit

Time-effect map

Time hurtsTime helps

At $100.00 · Day 15

Upside left to expiration

+$115

Downside left to expiration

−$385

From +$79 now · If the price stays at $100.00: +$115 · Upside to downside 0.3 : 1

Position at expiration

Max profit

+$194

Between $95.00 and $105.00

Max loss

−$306

At $90.00 or below · At $110.00 or above

Breakeven

93.06 / 106.94

At expirationDay 15: 94.46 / 105.29

All figures are Black-Scholes model estimates, not market quotes or guarantees.

P&L by price and day (model estimate, current price 100, IV 30%, 30 days)

P&L by price and day (model estimate, current price 100, IV 30%, 30 days)
Underlying priceDay 0Day 7.5Day 15Day 22.5Day 27Day 30
90−$127−$131−$141−$168−$209−$306
95−$35−$13+$14+$52+$95+$194
100$0+$33+$79+$145+$187+$194
105−$38−$18+$7+$42+$84+$194
110−$118−$120−$129−$153−$193−$306

Structure: two credit spreads put together

An iron condor has four legs: you buy a put with a strike of 90, sell a put with a strike of 95, sell a call with a strike of 105, and buy a call with a strike of 110, all expiring in 30 days. Every number on this page assumes a current price of $100, implied volatility (IV) of 30%, a 4% risk-free rate, no dividends, 30 days to expiration, and one contract per leg.

The two puts form a bull put spread, which brings in $93.26; the two calls form a bear call spread, which brings in $100.68. Together, the net credit is $193.94.

Capital and P&L at expiration

  • Max profit: $193.94, kept if the price finishes between $95 and $105.
  • Max loss: $306.06, at $90 or below, or $110 or above: the $500 width of one wing less the credit.
  • Breakevens: $93.06 and $106.94.

At expiration only one side can lose, so brokers typically require margin for one wing only: $500 less $193.94, or $306.06. At entry, Delta is −0.80, close to neutral, and the instantaneous Theta is +$3.80 a day.

Time profile: center, short strikes, long strikes

  • At $100, the center, the gain comes early: +$79 by day 15, +$145 by day 22.5, +$194 at expiration.
  • At $95 and $105, the short strikes, the position starts at −$35 and −$38 and turns positive on day 11.3 and day 13.0. Most of the gain comes at the end.
  • At $90 and $110, the long strikes, time costs money: −$127 to −$306 and −$118 to −$306.

The narrowing “time helps” range

The range where the next-day change is positive starts wide and closes in: $90.35 to $109.99 on day 0, $91.14 to $109.05 on day 7.5, $91.93 to $108.12 on day 15, and $92.45 to $107.52 on day 22.5. After that it stops moving: $92.49 to $107.49 on day 27 and $92.57 to $107.53 with 1 day left.

Early on, the four legs act together like one position that loses when the price moves far in either direction, and time helps across a wide range. As expiration approaches, each wing behaves more and more like its own vertical spread, and a vertical spread’s time-neutral price sits near the midpoint of its strikes. The two midpoints here are $92.50 and $107.50, which is where the range stops.

The pace of the gain: the center first, the sides later

At the center, 75% of the gain is in by day 22.5, and only 25% arrives in the last 7.5 days. The options are all out of the money at $100, so their time value drains steadily and runs out before the end.

At the short strikes, it is the other way around: 62% of the gain at $95 and 65% at $105 arrive in the last 7.5 days. There, the short options are at the money and hold their time value until the final days.

Try it in the Lab: three experiments

  1. On the time-effect map, follow the positive band from day 0 toward expiration (the cursor opens on day 27). It narrows from $90.35–$109.99 on day 0 to $92.49–$107.49 on day 27.

    Open in the Lab

  2. The link keeps only the $95 and $100 lines. Compare their shapes: the center line rises early and flattens, while the short-strike line stays below zero until day 11 and rises steeply at the end.

    Open in the Lab

  3. Apply an IV shift of +5 percentage points (pp). With the cursor on day 0, the position shows −$34.61 before any time passes.

    Open in the Lab

Three common misconceptions

  • MisconceptionIf the price is between the two short strikes, the position shows a profit.

    What the numbers showAt $95 or $105, the position turns positive only on day 11.3 and day 13.0.

  • MisconceptionAn iron condor earns everything in the last few days.

    What the numbers showOnly near the short strikes. At the center, $100, it has $145 of its $194 by day 22.5.

  • MisconceptionThe range where time helps is fixed.

    What the numbers showIt is $90.35 to $109.99 on day 0, $91.93 to $108.12 on day 15, and about $92.50 to $107.50 from day 22.5 on.