Cboe S&P 500 Iron Condor Index (CNDR)
The Cboe S&P 500 Condor IndexSM (CNDR) is inspired by the condor option strategy. The objective of a condor option spread is to mine "out-of-the-money" option volatility premium with limited risk. A generic condor option spread is short an out-of-the-money straddle and long further out-of-the money call and put that bound the risk of the straddle.
The CNDR index follows this strategy and sells a butterfly spread of the S&P 500® one-month options (SPX options). More precisely, it tracks the value of a hypothetical portfolio that overlays a butterfly spread of SPX options over one-month Treasury bills . The short SPX straddle is at-the-money and the long SPX call and put are 5% out-of-the-money. to guarantee solvency, the Treasury bills cover ten times the maximum loss of the short butterfly spread.
The BFLY portfolio is rebalanced monthly, usually at 11 am ET every third Friday after the options in the butterfly spread expire. A new SPX butterfly spread is then sold.
The CNDR portfolio is rebalanced monthly after the expiration of SPX options, typically 11 am ET every third Friday. New SPX options are then bought and sold.