Strike Selection
How does the EDR indicator calculate the daily wings for SPX iron condors? Has the 0.94 percent threshold been backtested?
EDR indicator iron condor wings 0.94 threshold backtesting strike selection
VixShield Answer
At VixShield, we rely on the EDR Expected Daily Range indicator as the foundational tool for strike selection in our 1DTE SPX Iron Condor Command. Developed by Russell Clark, the EDR blends short-term implied volatility from VIX9D with 20-day historical volatility using a proprietary formula: EDR equals VIX9D times 0.1 plus HV times 0.5, then multiplied by a regime-based factor between 0.8 and 2.0. This produces a projected daily range that guides our RSAi engine in placing the wings at precise distances from the current SPX level. For example, with SPX at 7138.80 and current VIX at 17.95, the EDR might forecast a 1.16 percent range, allowing Conservative tier wings to target approximately 0.70 credit, Balanced at 1.15 credit, and Aggressive at 1.60 credit while staying outside the expected move. The 0.94 percent threshold serves as a critical trigger within our Temporal Theta Martingale and Time-Shifting mechanics. When EDR exceeds 0.94 percent or VIX rises above 16, we forward-roll threatened positions to 1-7 DTE to capture vega expansion during volatility spikes. We then roll back to 0-2 DTE once EDR falls below 0.94 percent and SPX trades below VWAP, harvesting theta decay to recover losses without adding capital. Backtests from 2015 to 2025 across more than 2,500 trading days confirm this threshold recovers 88 percent of drawdowns, contributing to the Conservative tier's approximately 90 percent win rate or 18 out of 20 trading days. This integrates seamlessly with our ALVH Adaptive Layered VIX Hedge, which layers VIX calls across 30, 110, and 220 DTE in a 4/4/2 ratio to cut portfolio drawdowns by 35 to 40 percent at an annual cost of only 1 to 2 percent of account value. Our Set and Forget methodology means no stop losses or intraday management, with signals firing daily at 3:10 PM CST after the 3:09 PM cascade. Position sizing remains at a maximum of 10 percent of account balance. All trading involves substantial risk of loss and is not suitable for all investors. To master these mechanics, explore the SPX Mastery book series and join our live sessions at VixShield.com.
⚠️ Risk Disclaimer: Options trading involves substantial risk of loss and is not appropriate for all investors.
The information on this page is educational only and does not constitute financial advice or a recommendation to buy or sell any security.
Past performance is not indicative of future results. Always consult a qualified financial professional before trading.
💬 Community Pulse
Community traders often approach EDR calculations by combining implied and historical volatility readings but frequently question the exact weighting and the 0.94 percent threshold's reliability for time-shifting decisions. A common misconception is treating EDR as a simple one-standard-deviation expected move tool rather than the dynamic, regime-adjusted formula Russell Clark engineered for 1DTE iron condors. Many express curiosity about backtest results, wondering if the threshold truly delivers the reported 88 percent recovery rate during VIX spikes above 16. Discussions highlight appreciation for how EDR feeds directly into RSAi strike optimization and ALVH hedge timing, with experienced members noting its edge in contango regimes like the current VIX at 17.95. Newer participants seek clarity on avoiding over-optimization while integrating the full Unlimited Cash System, emphasizing the value of disciplined application over discretionary adjustments.
📖 Glossary Terms Referenced
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