Acceptable structures for long condor and short iron condor spreads 

Type: Rules Notice> Guidance Note
Rule connection:
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Member Regulation Policy

Effective Date: December 31, 2021 

  1. Guidance on margin requirements and potential spread structures 

The long condor and short iron condor spreads are defined in subsections 5738(1) and 5740(1) of the IIROC Rules, respectively. Each of these spreads represent a position in four separate option series wherein, among other things, the interval between the strike prices is equal. We have determined that in order to meet this qualification it is only necessary that the interval between the 1st and 2nd strike prices be equal to the interval between the 3rd and 4th strike prices. In other words, the strike price intervals for the constituent spreads comprising the complex option spread must be equal, but the interval between the short options does not have to be equal. Examples of these acceptable structures are provided below in Table 1. 

This interpretation is in keeping with our intention to require minimum margin that properly reflects the risk relating to these strategies, and is also in accordance with previous interpretations made by U.S. regulators, such as the CBOE, as indicated in Regulatory Circular RG07-43. 

Table 1: Examples of acceptable structures for the long condor and short iron condor spreads. 


Acceptable structure 
(all strike intervals are equal) 

Acceptable structure  
(1st and 2nd strike interval is equal to 3rd and 4th strike interval) 

Long condor spread 

Long Call (Put) Feb 50 

Short Call (Put) Feb 55 

Short Call (Put) Feb 60 

Long Call (Put) Feb 65 

Long Call (Put) Feb 50 

Short Call (Put) Feb 55 

Short Call (Put) Feb 65 

Long Call (Put) Feb 70 

Short iron condor spread 

Long Put Feb 50 

Short Put Feb 55 

Short Call Feb 60 

Long Call Feb 65 

Long Put Feb 50 

Short Put Feb 55 

Short Call Feb 65 

Long Call Feb 70 

  1. Applicable Rules 

IIROC Rules this Guidance Note relates to: 

  • subsection 5738(1), and 

  • subsection 5740(1). 

  1. Previous Guidance Note 

This Guidance Note replaces MR0530 - Acceptable Structures for Long Condor Spread and Short Iron Condor Spread. 

  1. Related documents  

This Guidance Note was published under Notice 21-0190 - IIROC Rules, Form 1 and Guidance.

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