Beginner playing with iron condors-curious about pairing them with a VIX hedge to tame tail risk
I’m experimenting with iron condors on SPY/SPX and wondering if it makes sense to add a tiny VIX call or call spread as a “disaster” hedge instead of buying super-wide long wings. Idea is: if the market tanks and tags my put side, VIX should spike and help offset the loss. Has anyone tried something like this in a systematic way?
A few things I’m stuck on:
- Sizing: Is there a simple rule of thumb for how many VIX calls per $1 of max loss on the condor? Or do you size to a target scenario (e.g., -3% day, VIX +10 pts)?
- Expiration mismatch: Would you buy the VIX hedge same expiry as the condor, or farther out so it holds value through a multi-day drawdown? Does near-term VIX convexity matter here?
- Term structure gotchas: Since VIX options price off VIX futures, how much does contango/backwardation mess with this hedge on short-dated condors? Any preference for monthly vs weekly VIX options?
- 0DTE vs 30-45 DTE: Does this approach make sense for short-dated index condors, or is the hedge too slow to respond intraday? Any tweaks for very short durations?
- Underlying choice: If you trade SPX (cash settled, Euro-style) condors, is VIX the cleanest hedge, or would you stick to SPY puts/put spreads instead to avoid basis issues?
- Alternatives: How does a VIX call spread compare to:
- a tiny long put or put fly under the short put strike,
- a calendar put (buy longer-dated, sell front),
- or a tail hedge using UVXY calls?
- Real-world execution: In fast markets, do you realistically get fills on the VIX hedge before the condor is beyond repair? Any best practices on taking profits on the hedge while managing the tested side?
- Backtesting ideas: What would you track to judge this-net P/L under joint move+vol scenarios, drawdown reduction, or Sharpe/ulcer index vs a plain condor? Any datasets or simple frameworks to simulate VIX-future-linked payoffs?
- Margin/ops: Any margin or assignment quirks when mixing SPY condors (with early exercise risk) and VIX options? Is SPX preferred here to simplify assignment while using VIX for the hedge?
If you’ve tried this, I’d love to hear:
- What sizing and expiries worked for you
- When the hedge actually paid for itself
- Situations where it looked good on paper but failed live (e.g., slow grind down, vol already elevated, or fast reversals)
Trying to figure out if a small, systematic VIX hedge can make a defined-risk condor more forgiving without eating all the credit.