CTA Iron Condor Strategy
CTA (Simplify Managed Futures Strategy ETF), in the Financial Services sector, (Asset Management industry), listed on AMEX.
The Simplify Managed Futures Strategy ETF (CTA) seeks long term capital appreciation by systematically investing in futures in an attempt to create an absolute return profile, that also has a low correlation to equities, and can provide support in risk-off events. To this end, CTA deploys a suite of systematic models that have been designed by Altis Partners, a commodity trading advisor with over 20 years of experience.
CTA (Simplify Managed Futures Strategy ETF) trades in the Financial Services sector, specifically Asset Management, with a market capitalization of approximately $1.74B, a beta of -0.13 versus the broader market, a 52-week range of 26.36-32.71, average daily share volume of 762K, a public-listing history dating back to 2022. These structural characteristics shape how CTA etf options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of -0.13 indicates CTA has historically moved less than the broader market, dampening realized volatility and producing tighter expected-move bands per unit of dollar exposure. CTA pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a iron condor on CTA?
An iron condor sells a call spread and a put spread at strikes outside spot, collecting net premium that is kept if the underlying stays inside the inner short strikes.
Current CTA snapshot
As of May 15, 2026, spot at $32.02, ATM IV 30.00%, IV rank 4.40%, expected move 8.60%. The iron condor on CTA below is built from the same end-of-day chain, with strikes snapped to listed contracts and premiums pulled from the bid/ask midpoint at a 34-day expiry.
Why this iron condor structure on CTA specifically: CTA IV at 30.00% is on the cheap side of its 1-year range, which means a premium-selling CTA iron condor collects less credit per unit of strike-width risk, with a market-implied 1-standard-deviation move of approximately 8.60% (roughly $2.75 on the underlying). The 34-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated CTA expiries trade a higher absolute premium for lower per-day decay. Position sizing on CTA should anchor to the underlying notional of $32.02 per share and to the trader's directional view on CTA etf.
CTA iron condor setup
The CTA iron condor below is built from the end-of-day chain, with each option leg priced at the bid/ask midpoint of its listed strike. With CTA near $32.02, the first option leg uses a $34.00 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed CTA chain at a 34-day expiry; the cross-strike IV skew is reflected directly in the per-leg values rather than approximated. Quantity sizing assumes one contract per option leg (or 100 CTA shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Sell 1 | Call | $34.00 | $0.46 |
| Buy 1 | Call | $35.00 | $0.27 |
| Sell 1 | Put | $30.00 | $0.38 |
| Buy 1 | Put | $29.00 | $0.24 |
CTA iron condor risk and reward
- Net Premium / Debit
- +$32.50
- Max Profit (per contract)
- $32.50
- Max Loss (per contract)
- -$67.50
- Breakeven(s)
- $29.68, $34.33
- Risk / Reward Ratio
- 0.481
Max profit equals the net credit times 100 inside the inner strikes; max loss equals wing width minus credit times 100. Two breakevens at inner strikes plus and minus the credit.
CTA iron condor payoff curve
Modeled P&L at expiration across a range of underlying prices for the iron condor on CTA. Each row is one sampled price point from the computed payoff curve; the full curve uses 200 price points internally before being summarized into 10 rows here.
| Underlying Price | % From Spot | P&L at Expiration |
|---|---|---|
| $0.01 | -100.0% | -$67.50 |
| $7.09 | -77.9% | -$67.50 |
| $14.17 | -55.8% | -$67.50 |
| $21.25 | -33.6% | -$67.50 |
| $28.32 | -11.5% | -$67.50 |
| $35.40 | +10.6% | -$67.50 |
| $42.48 | +32.7% | -$67.50 |
| $49.56 | +54.8% | -$67.50 |
| $56.64 | +76.9% | -$67.50 |
| $63.72 | +99.0% | -$67.50 |
When traders use iron condor on CTA
Iron condors on CTA are a delta-neutral premium-collection structure that profits if CTA etf stays inside the inner short strikes; short strikes typically sit near 1 standard deviation from spot.
CTA thesis for this iron condor
The market-implied 1-standard-deviation range for CTA extends from approximately $29.27 on the downside to $34.77 on the upside. A CTA iron condor is a delta-neutral premium-collection structure that pays off when CTA stays inside the inner short strikes through expiration; the wing width should reflect the trader's tolerance for the maximum loss scenario where the underlying breaches an outer strike. Current CTA IV rank near 4.40% sits in the lower third of its 1-year distribution, where IV often re-expands toward the mean; this favors premium-buying structures and disadvantages premium-selling structures on CTA at 30.00%. As a Financial Services name, CTA options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to CTA-specific events.
CTA iron condor positions are structurally neutral / range-bound; the modeled P&L assumes European-style exercise at expiration and ignores early assignment, transaction costs, dividends paid before expiry on the stock leg (when present), and the bid-ask spread on the listed chain. CTA positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move CTA alongside the broader basket even when CTA-specific fundamentals are unchanged. Short-premium structures like a iron condor on CTA carry tail risk when realized volatility exceeds the implied move; review historical CTA earnings reactions and macro stress periods before sizing. Always rebuild the position from current CTA chain quotes before placing a trade.
Frequently asked questions
- What is a iron condor on CTA?
- A iron condor on CTA is the iron condor strategy applied to CTA (etf). The strategy is structurally neutral / range-bound: An iron condor sells a call spread and a put spread at strikes outside spot, collecting net premium that is kept if the underlying stays inside the inner short strikes. With CTA etf trading near $32.02, the strikes shown on this page are snapped to the nearest listed CTA chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are CTA iron condor max profit and max loss calculated?
- Max profit equals the net credit times 100 inside the inner strikes; max loss equals wing width minus credit times 100. Two breakevens at inner strikes plus and minus the credit. For the CTA iron condor priced from the end-of-day chain at a 30-day expiry (ATM IV 30.00%), the computed maximum profit is $32.50 per contract and the computed maximum loss is -$67.50 per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a CTA iron condor?
- The breakeven for the CTA iron condor priced on this page is roughly $29.68 and $34.33 at expiration, derived from end-of-day chain premiums. Breakeven is the underlying price at which the strategy's P&L crosses zero ignoring transaction costs and assignment risk. The current CTA market-implied 1-standard-deviation expected move is approximately 8.60%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a iron condor on CTA?
- Iron condors on CTA are a delta-neutral premium-collection structure that profits if CTA etf stays inside the inner short strikes; short strikes typically sit near 1 standard deviation from spot.
- How does current CTA implied volatility affect this iron condor?
- CTA ATM IV is at 30.00% with IV rank near 4.40%, which is on the low end of its 1-year range. Premium-buying structures (long call, long put, debit spreads) are relatively cheap in this regime; premium-selling structures collect less credit per unit risk.