KMLM Iron Condor Strategy
KMLM (KraneShares Mount Lucas Managed Futures Index Strategy ETF), in the Financial Services sector, (Asset Management industry), listed on AMEX.
KMLM focuses on total return using long and short positions, as determined by daily trading signals, in commodity, currency, and global fixed income futures. For tax purposes, KMLM does not hold futures but gets exposure through a wholly-owned Cayman Island subsidiary. On an annual basis, an index committee selects 22 different futures contracts from the three broad categories. Weighting to the three categories is based on historical volatility. The contracts within each category are equally weighted. The portfolio is rebalanced monthly and contracts are rolled on a market-by-market basis as contracts near their expiration.
KMLM (KraneShares Mount Lucas Managed Futures Index Strategy ETF) trades in the Financial Services sector, specifically Asset Management, with a market capitalization of approximately $204.8M, a beta of -0.27 versus the broader market, a 52-week range of 25.28-30.17, average daily share volume of 247K, a public-listing history dating back to 2020. These structural characteristics shape how KMLM etf options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of -0.27 indicates KMLM has historically moved less than the broader market, dampening realized volatility and producing tighter expected-move bands per unit of dollar exposure. KMLM pays a dividend, which adjusts put-call parity and shifts the ex-dividend pricing across the listed chain.
What is a iron condor on KMLM?
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 KMLM snapshot
As of May 15, 2026, spot at $29.80, ATM IV 25.30%, IV rank 9.32%, expected move 7.25%. The iron condor on KMLM 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 KMLM specifically: KMLM IV at 25.30% is on the cheap side of its 1-year range, which means a premium-selling KMLM iron condor collects less credit per unit of strike-width risk, with a market-implied 1-standard-deviation move of approximately 7.25% (roughly $2.16 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 KMLM expiries trade a higher absolute premium for lower per-day decay. Position sizing on KMLM should anchor to the underlying notional of $29.80 per share and to the trader's directional view on KMLM etf.
KMLM iron condor setup
The KMLM 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 KMLM near $29.80, the first option leg uses a $31.29 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed KMLM 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 KMLM shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Sell 1 | Call | $31.29 | N/A |
| Buy 1 | Call | $32.78 | N/A |
| Sell 1 | Put | $28.31 | N/A |
| Buy 1 | Put | $26.82 | N/A |
KMLM iron condor risk and reward
- Net Premium / Debit
- N/A
- Max Profit (per contract)
- Unbounded
- Max Loss (per contract)
- Unbounded
- Breakeven(s)
- None on modeled curve
- Risk / Reward Ratio
- N/A
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.
KMLM iron condor payoff curve
Modeled P&L at expiration across a range of underlying prices for the iron condor on KMLM. 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.
When traders use iron condor on KMLM
Iron condors on KMLM are a delta-neutral premium-collection structure that profits if KMLM etf stays inside the inner short strikes; short strikes typically sit near 1 standard deviation from spot.
KMLM thesis for this iron condor
The market-implied 1-standard-deviation range for KMLM extends from approximately $27.64 on the downside to $31.96 on the upside. A KMLM iron condor is a delta-neutral premium-collection structure that pays off when KMLM 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 KMLM IV rank near 9.32% 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 KMLM at 25.30%. As a Financial Services name, KMLM options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to KMLM-specific events.
KMLM 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. KMLM positions also carry Financial Services sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move KMLM alongside the broader basket even when KMLM-specific fundamentals are unchanged. Short-premium structures like a iron condor on KMLM carry tail risk when realized volatility exceeds the implied move; review historical KMLM earnings reactions and macro stress periods before sizing. Always rebuild the position from current KMLM chain quotes before placing a trade.
Frequently asked questions
- What is a iron condor on KMLM?
- A iron condor on KMLM is the iron condor strategy applied to KMLM (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 KMLM etf trading near $29.80, the strikes shown on this page are snapped to the nearest listed KMLM chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are KMLM 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 KMLM iron condor priced from the end-of-day chain at a 30-day expiry (ATM IV 25.30%), the computed maximum profit is unbounded per contract and the computed maximum loss is unbounded per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a KMLM iron condor?
- The breakeven for the KMLM iron condor priced on this page is no defined breakeven on the modeled curve 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 KMLM market-implied 1-standard-deviation expected move is approximately 7.25%; 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 KMLM?
- Iron condors on KMLM are a delta-neutral premium-collection structure that profits if KMLM etf stays inside the inner short strikes; short strikes typically sit near 1 standard deviation from spot.
- How does current KMLM implied volatility affect this iron condor?
- KMLM ATM IV is at 25.30% with IV rank near 9.32%, 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.