Rolling Iron Condor

Rolling involves 8 legs (closing 4, opening 4), so transaction costs can add up. With IBKR rates around £0.65-1.00 per contract per leg, rolling one contract costs roughly £5-8. For a 20-point credit, this is significant. Factor costs into your roll decision.

Yes, this is called a partial roll or defensive roll. If only your put side is threatened, you can close just the put spread and roll it to a new position while keeping the call spread. This addresses the specific problem without disturbing the winning side.

Sometimes closing is better than rolling. Close instead of roll when: (1) your thesis is broken, (2) you wouldn't enter the new position independently, (3) you're rolling primarily to avoid realizing a loss, (4) the position is deeply breached, or (5) you've already done 2+ defensive rolls.

Your P&L becomes the sum of all credits and debits across rolls. If you received 20 points initially, pay 12 to close, and receive 22 for the new position, your position is: 20 - 12 + 22 = 30 points potential profit (if new position works). Always track cumulative P&L.

Typically roll to 30-45 DTE in the new expiration. This provides good theta decay without excessive time risk. Rolling to the next monthly expiration is standard. Rolling too far out (90+ DTE) ties up capital and commits you for longer.

A debit roll (paying to roll) isn't necessarily bad - it depends on whether the new position is good. Evaluate the new position independently. If it's a solid trade, the debit is acceptable. If you're just paying to extend a bad trade, close instead. Don't let credit/debit determine the decision.

Recenter if the underlying has moved significantly from your original midpoint. If you entered centered at 7,500 and it's now at 7,600, rolling to strikes centered around 7,600 gives better probability. If still near original center, same strikes are fine.

50% profit is profit-based (roll when target hit regardless of time), while 21 DTE is time-based (roll at this point regardless of P&L). Most traders use both: roll at 50% profit OR 21 DTE, whichever comes first. This captures most profit while avoiding gamma risk.

For profitable rolls, there's no strict limit - you can continue as long as conditions favor it. For defensive rolls on losing positions, limit to 1-2 attempts. After 2 defensive rolls, the position has likely moved against your thesis and further rolling compounds losses.

Yes. Roll and widen (further long strikes) gives more protection but less credit. Roll and narrow (closer long strikes) gives more credit but less protection. Adjust based on your conviction and the IV environment. Higher IV allows wider wings; lower IV may require narrower.

Use daily or intraday option data covering 5+ years. Simulate entry, daily monitoring, and exit/roll triggers mechanically. Include realistic transaction costs (often understated). Use out-of-sample validation - test on data not used for optimization. Compare to simpler strategies to measure roll value-add.

EV(close) = current P&L (certain). EV(roll) = P(win) × expected_profit - P(lose) × expected_loss - transaction_costs. Roll if EV(roll) > EV(close). The challenge is estimating probabilities accurately - use delta as proxy for probability and historical win rates for your strategy.

Rolling maintains or adjusts portfolio Greeks depending on new strikes. Rolling to same strikes maintains similar delta/gamma/vega. Rolling further OTM reduces gamma exposure. Track portfolio-level Greeks across all positions, not just individual rolls, to maintain balanced exposure.

Rolling typically provides positive EV when: variance risk premium is present (IV > expected RV), you're rolling profitable positions to capture more theta, transaction costs are low relative to credit, and you have high probability of new position succeeding. Defensive rolling of deep losers often has negative EV.

Track separately: Initial credit, all roll credits/debits, final close. Calculate what you would have made with no rolling (close at 50% or hold to exit trigger). Roll value-add = Actual P&L - No-Roll P&L. This tells you whether rolling complexity added value. Many find simple rules competitive.