The payoff across settlement prices
One short iron condor at expiry, times your size. You keep the full credit anywhere between the short strikes; the loss ramps up through each wing and stops at the cap. The breakeven rows are where the trade flips from green to red.
| Settlement | Move | P&L | Zone |
|---|
You are selling calm and buying a cap
An iron condor is the trade you put on when you think nothing much will happen. You collect a credit for promising to eat a loss if the price runs, and you buy two cheap wings so that loss can never blow past a number you chose in advance. That is the whole appeal over a naked short strangle, which pays a fatter premium and then hands you an open-ended loss the one time a coin gaps 20% overnight — on crypto that is not a tail risk, it is a Tuesday. The catch is the arithmetic of the win: a condor with an 80% probability of profit is collecting a credit far smaller than its max loss, so a single breach can wipe out several winning months. The number that keeps you honest is the return on risk printed above — if the credit is a third of the max loss, you need to win roughly three times as often as you lose just to break even, before fees. Size for the loss, not the win. Compare the range-bound view against a long-volatility straddle, price a single leg with the options PnL calculator, and check how theta and delta move each strike with the options greeks calculator.
The math
Let the short put strike be Kp, the short call strike Kc, the wing width W and the net credit c. At a settlement price x the profit on one condor is the credit minus whatever a spread is worth: if Kp ≤ x ≤ Kc both spreads expire worthless and profit = c (the max). Below the range the put spread costs min(Kp − x, W), so profit = c − min(Kp − x, W); above the range the call spread costs min(x − Kc, W), so profit = c − min(x − Kc, W). The maximum loss is therefore W − c, reached once price clears a wing.
The breakevens follow directly: lower = Kp − c, upper = Kc + c, and the trade is green between them. Return on risk is c ÷ (W − c). The probability of profit is estimated by treating the settlement price as normal around the current price with the one-standard-deviation move you enter, then measuring the share of that distribution falling between the two breakevens — Φ((BE_up − S)/σ) − Φ((BE_low − S)/σ). This assumes European (expiry-only) settlement, equal wings and ignores fees, early assignment and the fat tails of real crypto returns, so the probability is a guide, not a promise. Treat the payoff as the structure's designed shape and the odds as optimistic.