www.jpx.co.jp/ose-toshijuku/column/OPdeltabasic05.html
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日経225先物・オプション基礎講座デルタ編②-2ストラングル・コンドル | 北浜投資塾 - 大阪取引所（日本取引所グループ）
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https://www.jpx.co.jp/ose-toshijuku/column/OPdeltabasic05.html
About this page
This page explains the strangle and condor strategy in Nikkei 225 options trading. It demonstrates using delta to determine strike prices for selling options, achieving an 80-83% probability of price staying within a range. Selling options with delta ±0.1 provides high win rates but fixed profits (131,000 yen) balanced by large potential losses. Delta serves as a tool to assess market participants' expected range, incorporating underlying price, time to expiration, and volatility—factors that simple distance-based methods ignore. The page emphasizes that delta-based strategies are more reliable than arbitrary price distances.
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