Double Income Options Strategy: Weekly Iron Condor + Monthly Diagonal Calendar

Combining a weekly Iron Condor with a monthly Double Diagonal Calendar spread (buying weekly options and selling monthly options) is a complex multi-leg strategy involving multiple expiration cycles. Let's break this down:

Strategy Components
1. Weekly Iron Condor (IC)
Definition: A non-directional, range-bound strategy involving selling an out-of-the-money (OTM) call spread and an OTM put spread with the same expiry.

Goal: Profit from time decay and low volatility within a defined price range.

Structure:

Sell 1 OTM call (weekly)

Buy 1 further OTM call (weekly)

Sell 1 OTM put (weekly)

Buy 1 further OTM put (weekly)

2. Monthly Double Diagonal Calendar (DDC)
Definition: A volatility and time-based strategy that combines two calendar spreads with different strikes (diagonal aspect) and opposite sides (calls and puts).

Structure:

Call side:

Sell 1 OTM monthly call

Buy 1 weekly call (same side but different strike)

Put side:

Sell 1 OTM monthly put

Buy 1 weekly put (different strike)

Goal:

Profit from rising implied volatility and the faster decay of weekly options.

Adjust as needed to capitalize on gamma or vega shifts.

How to Combine Effectively
Core Iron Condor: Each week, initiate an Iron Condor that stays well within the expected weekly range.

Overlay Double Diagonal: Simultaneously:

Sell OTM monthly options (1 call + 1 put).

Buy weekly options (same side, but different strike).

Key Point: This flips the traditional calendar (where you sell short-term and buy long-term). Instead, you're net long the short-term options, betting on short-term moves (volatility spike or directional burst), but keeping the monthly options as a theta cushion.

Risks & Considerations
Margin Usage: Very high due to multiple legs. Be mindful of leverage.

Volatility Shifts: Spike in implied volatility helps the double diagonal but hurts the iron condor.

Overlap in Legs: Avoid strike overlaps between IC and DD to reduce unintended exposures.

Roll Strategy: You’ll need a consistent plan to roll weekly longs (in DDC) and roll entire ICs weekly.

When to Use
Low to moderate implied volatility.

Range-bound market expected, but with potential for brief short-term moves (where the long weekly options can benefit).

VIX rising helps the DDC portion.

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