How to backtest an iron condor on SPX, step by step

An iron condor sells a put and a call around the market and buys a cheaper put and call further out as protection. Here is one SPX iron condor backtested by hand on the real option prices of June 2024: how to set it up, what to read on each day, and how it ended.

1. Pick the day the test starts

Open the Test panel, press + New test, pick a past trading day and the cash to start with. This example starts on Monday 3 June 2024 with $100,000. SPX stood at 5,268.70 in that day's recorded prices.

2. Open the condor ticket

Press +Strat → Condor 45DTE and type SPX in the ticker box. The app solves the four legs from its starting values — short legs near 20 delta, wings near 10 delta, the expiry nearest 45 days out — and shows each leg's real bid and ask for that day. Every box can be changed; this example keeps them.

The Condor 45DTE ticket for SPX on 3 June 2024: buy the 4935 put, sell the 5105 put, sell the 5470 call, buy the 5530 call, expiry 19 July 2024 — The ticket on 3 June 2024: expiry 19 July 2024 (46 days), net credit 26.20 at mid.

Leg	Strike	Delta	Bid – ask
Buy put (wing)	4,935	10.0	14.90 – 15.20
Sell put	5,105	20.1	31.40 – 31.70
Sell call	5,470	19.3	19.70 – 19.90
Buy call (wing)	5,530	10.4	10.00 – 10.20

3. Read the preview before it fills

Preview shows the order as one combo, the price range it will work in, and the risk: a maximum loss of $17,000 (the put side is 170 points wide; the app shows the full width, before the credit), $23,000 of margin and about $4.26 of commission. Notice the wings are not the same width — the deltas, not a fixed distance, placed them.

The preview of the SPX iron condor showing the combo price range, the maximum loss of 17,000 dollars and the break-even ruler — The preview: price range, maximum loss, break-even points, margin and commission.

Execute filled it at the day's prices: sold the 5105 put at 31.52 and the 5470 call at 19.77, bought the 4935 put at 15.07 and the 5530 call at 10.12 — a credit of 26.10, or $2,610 for one condor. The four legs are filed together as the group IC45-1.

4. Step forward one trading day at a time

Press Next day. Every price moves to the next trading day's recorded prices, and you see the result without knowing what comes after. Here is what this condor showed:

Day	SPX	5470 call (short)	5105 put (short)	Condor P&L
Mon 3 Jun 2024	5,268.70	19.80	31.55	−$10
Mon 10 Jun	5,356.31	37.45	15.30	+$90
Mon 17 Jun	5,482.46	89.90	6.80	−$1,080
Tue 25 Jun	5,466.61	69.15	4.70	−$662.50

SPX rose about 4% in two weeks and went past the short call. The put side lost almost all its value — good for the seller — but the call side rose faster, so the condor as a whole was down.

The account on 25 June 2024 with the IC45-1 group: the short 5470 call is in the money and the group shows an unrealized loss of 663 dollars — 25 June 2024, 24 days before expiry: each leg's price, its own P&L, and the group's −$663.

5. Decide: hold, roll or close

This is the part a backtest by hand is for: you decide with only what that day showed. In this example the condor was closed on 25 June 2024 (tick its legs, Close → Preview → Execute). With commissions in and out, the account ended at $99,306.49 — a loss of $693.51 on this one condor. You could just as well have rolled the call side up, or held to expiry; go back to any day you have played and try the other choice.

What this example shows

Delta-placed wings can make one side much wider than the other, so the maximum loss is set by the wider side.
A steady rally can hurt a condor even though the market never "crashed".
The point of stepping day by day is to practise the decisions — not to find a rule that "always works".

This example is one real run in Test My Legs on the recorded SPX option prices of June 2024. It is a backtest: it shows what happened on those days, not what will happen next.

Try it on another date yourself. Test My Legs is free: pick a past day and step through it.

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