In this paper, we study the lower iteration complexity bounds for finding the saddle point of a strongly convex and strongly concave saddle point problem: $\min_x\max_yF(x,y)$. We restrict the classes of algorithms in our investigation to be either pure first-order methods or methods using proximal mappings. The existing lower bound result for this type of problems is obtained via the framework of strongly monotone variational inequality problems, which corresponds to the case where the gradient Lipschitz constants ($L_x, L_y$ and $L_{xy}$) and strong convexity/concavity constants ($\mu_x$ and $\mu_y$) are uniform with respect to variables $x$ and $y$. However, specific to the min-max saddle point problem these parameters are naturally different. Therefore, one is led to finding the best possible lower iteration complexity bounds, specific to the min-max saddle point models. In this paper we present the following results. For the class of pure first-order algorithms, our lower iteration complexity bound is $\Omega\left(\sqrt{\frac{L_x}{\mu_x}+\frac{L_{xy}^2}{\mu_x\mu_y}+\frac{L_y}{\mu_y}}\cdot\ln\left(\frac{1}{\epsilon}\right)\right)$, where the term $\frac{L_{xy}^2}{\mu_x\mu_y}$ explains how the coupling influences the iteration complexity. Under several special parameter regimes, this lower bound has been achieved by corresponding optimal algorithms. However, whether or not the bound under the general parameter regime is optimal remains open. Additionally, for the special case of bilinear coupling problems, given the availability of certain proximal operators, a lower bound of $\Omega\left(\sqrt{\frac{L_{xy}^2}{\mu_x\mu_y}+1}\cdot\ln(\frac{1}{\epsilon})\right)$ is established in this paper, and optimal algorithms have already been developed in the literature.