Cboe® MSCI Emerging Markets Iron Condor Index (CNDREF℠)

The Cboe® MSCI Emerging Markets Iron Condor Index (CNDREF℠ Index) is designed to track the performance of a hypothetical options trading strategy that consists of a rolling short position in monthly 20 delta MXEF Call option, a rolling short position in monthly -20 delta MXEF Put option, a rolling long position in monthly 5 delta MXEF Call option, a rolling long position in monthly -5 delta MXEF Put option, and a rolling money market account invested in one-month Treasury bills to limit the downside return of the CNDREF Index.

Resources

• CNDREF Index Methodology
• CNDREF Historical Price Data

Short Iron Condor Strategy

Goal

Short index iron condors often are established at a net credit, and if the stock index stays in a narrow range, there is potential for there to continue to be a net credit.

Strategy

To implement an index short iron condor strategy: take four options positions with the same expirations: (1) sell index calls, (2) buy index calls at a higher strike price, (3) sell index puts, and (4) buy index puts at a lower strike.

Comments

Both the calls and the puts often are out-of-the-money at the initiation of the strategy. The potential for both profit and for risk usually is limited for short iron condors.