CNDR Index and Portfolio Management – Blog #8 on 30-Year Price History

CBOE S&P 500 Iron Condor (CNDR) has a data history of more than 30 years, and it engages in call and put options positions in order to gather premium income and manage downside risk.

The histogram with the S&P 500 and CNDR indexes shows that the S&P 500 had 26 months with declines of worse than six percent, while the CNDR Index had 10 such months. Certain index options strategies can be used to help manage left tail risk.

The CNDR Index tracks the performance of a hypothetical option trading strategy that 1) sells a rolling monthly S&P 500 Index (SPX) put option (delta ≈ – 0.2) and a rolling monthly out-of-the-money (OTM) SPX call option (delta ≈ 0.2); 2) buys a rolling monthly OTM SPX put option (delta ≈ – 0.05) and a rolling monthly OTM SPX call option (delta ≈ 0.05) to reduce risk; and 3) holds a money market account invested in one-month Treasury bills, which is rebalanced on option roll days and is designed to limit the downside return of the index.

The next chart shows a profit-and-loss diagram for an iron condor strategy.


The table below shows that, for the 8 months in which the S&P 500 Index rose or fell by more than 10%, the CNDR Index experienced moves that were not as severe as those of the S&P 500; during those 8 months the CNDR Index did not have any moves (up or down) of more than 10%.



In the next charts below, the CNDR Index had higher returns than 2 of the other 4 indexes, and much lower volatility than all 4 of the other indexes (including the Treasury Bond index).




[This is the eighth in a series of nine blogs that are being published in early July at the CBOE Options Hub on nine CBOE benchmark indexes which have price histories that begin on June 30, 1986.]

The microsite for the CNDR Index is

For more information on dozens of CBOE benchmark indexes, please visit for research papers and price charts.

If you would like to hear expert speakers discuss options and volatility, please visit to learn more about these upcoming CBOE Risk Management Conferences —

  • RMC EUROPE 2016, Sept. 26 – 28, 2016, Powerscourt Hotel, County Wicklow, Ireland
  • RMC ASIA 2016, Nov 30 – Dec 1, 2016, Conrad Hong Kong Admiralty, Hong Kong
  • RMC US 2017, March 8 – 10, 2017, St. Regis Monarch Beach, Dana Point, California

(The author thanks Paige Stodden for her assistance in creating charts for this Blog).