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 Cboe S&P 500 Iron Condor Index
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Cboe S&P 500 Iron Condor Index
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  • Performance

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.



Critical Periods
The performance quoted represents past performance and does not guarantee future results.