QQQ Short Iron Condor Signal Review - 2026-06-05

Today-like QQQ selloff/range conditions historically favored short iron condors over long reverse iron condors in this proxy test. The signal is mean-reversion/volatility-contraction after an already large down day, not a generic always-sell-vol rule.

Signal side

SHORT IC

sell volatility / range mean reversion

Today return

-4.80%

QQQ daily close-to-close move

Today range

3.88%

high-low divided by close

Short IC Sharpe

1.90

today-like proxy

Short IC win rate

66.7%

today-like proxy

Short IC total PnL

$3,593

30 today-like proxy trades

Long RIC Sharpe

-2.24

opposite long-vol trade

Max drawdown

$-803

short IC proxy curve

Why the signal says short IC today

QQQ had a large down day and large intraday range. In the historical proxy, that condition favored selling the already-expanded range via defined-risk short iron condors. The trade is not predicting no movement forever; it is betting that the next-week move stays inside the collected-credit-adjusted breakevens.

Trade: BTO 668P, STO 689P, STO 724C, BTO 745C
Credit: 6.65
Breakevens: 682.35 / 730.65
Risk: max profit $665, max loss approx $1435

Equity curves: today-like condition

Backtest summary

condition	side	trades	total_pnl	avg_pnl	win_rate	avg_return	trade_sharpe	max_drawdown
all_abs_move_gt_2p5	long_ric	92	$-1,446	$-16	40.2%	-5.7%	-0.35	$-4,627
all_abs_move_gt_2p5	short_ic	92	$1,446	$16	59.8%	5.6%	0.53	$-3,386
large_range_only	long_ric	49	$-112	$-2	44.9%	6.8%	0.37	$-5,082
large_range_only	short_ic	49	$112	$2	55.1%	9.0%	0.78	$-3,292
today_like_down_and_range	long_ric	30	$-3,593	$-120	33.3%	-32.0%	-2.24	$-3,674
today_like_down_and_range	short_ic	30	$3,593	$120	66.7%	21.3%	1.90	$-803

Method and raw data

Proxy test: use 5 years of QQQ OHLC. Trigger today-like condition when QQQ daily return <= -2.5% and intraday range >= 3%; enter same-percentage 7D iron-condor/reverse-condor proxy and mark at 5 trading-day exit using theoretical payoff. This is not historical option quote replay.

{
  "title": "QQQ Short Iron Condor Signal Review - 2026-06-05",
  "tldr": "Today-like QQQ selloff/range conditions historically favored short iron condors over long reverse iron condors in this proxy test. The signal is mean-reversion/volatility-contraction after an already large down day, not a generic always-sell-vol rule.",
  "today": {
    "date": "2026-06-05",
    "close": 705.0599975585938,
    "open": 730.0599975585938,
    "high": 731.6799926757812,
    "low": 704.3200073242188,
    "daily_return": -0.04800095663859216,
    "range_pct": 0.03880518742561162
  },
  "trade": {
    "structure": "QQQ 2026-06-12 short iron condor",
    "legs": [
      "BTO 668P",
      "STO 689P",
      "STO 724C",
      "BTO 745C"
    ],
    "actual_credit_user_reported": 6.65,
    "breakeven_low": 682.35,
    "breakeven_high": 730.65,
    "max_profit": 665,
    "max_loss_approx": 1435
  },
  "kpis": [
    {
      "label": "Signal side",
      "value": "SHORT IC",
      "hint": "sell volatility / range mean reversion"
    },
    {
      "label": "Today return",
      "value": "-4.80%",
      "hint": "QQQ daily close-to-close move"
    },
    {
      "label": "Today range",
      "value": "3.88%",
      "hint": "high-low divided by close"
    },
    {
      "label": "Short IC Sharpe",
      "value": "1.90",
      "hint": "today-like proxy"
    },
    {
      "label": "Short IC win rate",
      "value": "66.7%",
      "hint": "today-like proxy"
    },
    {
      "label": "Short IC total PnL",
      "value": "$3,593",
      "hint": "30 today-like proxy trades"
    },
    {
      "label": "Long RIC Sharpe",
      "value": "-2.24",
      "hint": "opposite long-vol trade"
    },
    {
      "label": "Max drawdown",
      "value": "$-803",
      "hint": "short IC proxy curve"
    }
  ],
  "curves": [
    {
      "name": "Short IC today-like equity",
      "x": [
        "2021-10-05",
        "2021-12-23",
        "2022-01-12",
        "2022-01-21",
        "2022-01-28",
        "2022-02-18",
        "2022-03-02",
        "2022-03-14",
        "2022-04-29",
        "2022-05-03",
        "2022-05-06",
        "2022-05-12",
        "2022-05-16",
        "2022-05-18",
        "2022-05-25",
        "2022-06-16",
        "2022-07-06",
        "2022-09-02",
        "2022-09-20",
        "2022-10-21",
        "2022-11-09",
        "2024-08-12",
        "2024-09-10",
        "2024-12-26",
        "2025-03-06",
        "2025-03-17",
        "2025-04-11",
        "2025-04-17",
        "2025-04-24",
        "2025-10-17"
      ],
      "y": [
        205.15,
        491.36,
        795.59,
        -7.31,
        248.95,
        724.49,
        244.66,
        641.24,
        598.77,
        952.23,
        1362.77,
        845.72,
        1321.78,
        1745.53,
        2235.15,
        1763.52,
        2160.3,
        2001.75,
        2359.7,
        1947.87,
        2284.62,
        2224.75,
        2602.46,
        2808.96,
        3111.53,
        3552.67,
        2877.87,
        3666.21,
        3242.59,
        3592.58
      ]
    },
    {
      "name": "Long RIC today-like equity",
      "x": [
        "2021-10-05",
        "2021-12-23",
        "2022-01-12",
        "2022-01-21",
        "2022-01-28",
        "2022-02-18",
        "2022-03-02",
        "2022-03-14",
        "2022-04-29",
        "2022-05-03",
        "2022-05-06",
        "2022-05-12",
        "2022-05-16",
        "2022-05-18",
        "2022-05-25",
        "2022-06-16",
        "2022-07-06",
        "2022-09-02",
        "2022-09-20",
        "2022-10-21",
        "2022-11-09",
        "2024-08-12",
        "2024-09-10",
        "2024-12-26",
        "2025-03-06",
        "2025-03-17",
        "2025-04-11",
        "2025-04-17",
        "2025-04-24",
        "2025-10-17"
      ],
      "y": [
        -205.15,
        -491.36,
        -795.59,
        7.31,
        -248.95,
        -724.49,
        -244.66,
        -641.24,
        -598.77,
        -952.23,
        -1362.77,
        -845.72,
        -1321.78,
        -1745.53,
        -2235.15,
        -1763.52,
        -2160.3,
        -2001.75,
        -2359.7,
        -1947.87,
        -2284.62,
        -2224.75,
        -2602.46,
        -2808.96,
        -3111.53,
        -3552.67,
        -2877.87,
        -3666.21,
        -3242.59,
        -3592.58
      ]
    }
  ],
  "table": {
    "columns": [
      "condition",
      "side",
      "trades",
      "total_pnl",
      "avg_pnl",
      "win_rate",
      "avg_return",
      "trade_sharpe",
      "max_drawdown"
    ],
    "rows": [
      [
        "all_abs_move_gt_2p5",
        "long_ric",
        92,
        "$-1,446",
        "$-16",
        "40.2%",
        "-5.7%",
        "-0.35",
        "$-4,627"
      ],
      [
        "all_abs_move_gt_2p5",
        "short_ic",
        92,
        "$1,446",
        "$16",
        "59.8%",
        "5.6%",
        "0.53",
        "$-3,386"
      ],
      [
        "large_range_only",
        "long_ric",
        49,
        "$-112",
        "$-2",
        "44.9%",
        "6.8%",
        "0.37",
        "$-5,082"
      ],
      [
        "large_range_only",
        "short_ic",
        49,
        "$112",
        "$2",
        "55.1%",
        "9.0%",
        "0.78",
        "$-3,292"
      ],
      [
        "today_like_down_and_range",
        "long_ric",
        30,
        "$-3,593",
        "$-120",
        "33.3%",
        "-32.0%",
        "-2.24",
        "$-3,674"
      ],
      [
        "today_like_down_and_range",
        "short_ic",
        30,
        "$3,593",
        "$120",
        "66.7%",
        "21.3%",
        "1.90",
        "$-803"
      ]
    ]
  },
  "method": "Proxy test: use 5 years of QQQ OHLC. Trigger today-like condition when QQQ daily return <= -2.5% and intraday range >= 3%; enter same-percentage 7D iron-condor/reverse-condor proxy and mark at 5 trading-day exit using theoretical payoff. This is not historical option quote replay."
}