Multi-leg strategies
How do I select the optimal strikes for an Iron Condor using Delta thresholds (e.g., 15 Delta shorts)?
By Easy Money Scanner · Educational reference · Not investment advice
The short answer
Many traders choose short strikes near a 10-16 delta to approximate a statistical probability of expiring out-of-the-money, balancing premium collected against breach risk.
How it works
Delta approximates probability of finishing ITM; lower delta shorts are farther from price with less premium but higher theoretical win rate, while higher delta shorts pay more but narrow the profit zone.
An example
A trader selects a 16-delta call and 16-delta put as short strikes, implying roughly an 84% chance each individual leg expires worthless, based on current implied volatility inputs.
Risk & limitations
Delta-based probability estimates are model-derived, not guarantees; actual outcomes depend on realized volatility, skew shifts, and gap moves, so no delta threshold is universally optimal.
Examples are hypothetical, not trade recommendations. US contract and regulatory references do not automatically apply in Canada. Rules, margin requirements and broker policies can change; confirm them with the relevant authority and your broker.