Sell OTM put + sell OTM call spread — no upside risk, income strategy.
| Symbol | Return % | Sharpe | Max DD % | Win % | Avg/trade % | Trades |
|---|---|---|---|---|---|---|
| SPY | -28.2% | -0.48 | +29.1% | +63.2% | -1.5% | 19 |
| QQQ | -43.2% | -0.63 | +43.4% | +36.8% | -2.3% | 19 |
| IWM | -45.8% | -0.59 | +46.5% | +47.4% | -2.4% | 19 |
| DIA | -18.4% | -0.38 | +18.9% | +68.4% | -1.0% | 19 |
| Avg | -33.9% | -0.52 | +34.5% | +53.9% | — | 19 |
| Parameter | Default | Description |
|---|---|---|
| put_strike_pct | 0.95 | Short put strike (5% OTM) |
| call_short_pct | 1.05 | Short call strike (5% OTM) |
| call_long_pct | 1.10 | Long call wing (10% OTM) |
| dte | 45 | Days to expiration |
A jade lizard sells an OTM put (95% of spot) and an OTM call spread (sell 105% call, buy 110% call). The total credit exceeds the call spread width, eliminating upside risk entirely. The only risk is to the downside if the underlying falls below the put strike. It is a high-probability income strategy suited to neutral-to-bullish markets. Backtested with 45 DTE cycles.
# Jade Lizard: sell OTM put + sell OTM call spread
for entry in monthly_entries:
S = spot_at_entry
K_put = round(S * 0.95 / 5) * 5 # sell put
K_cs = round(S * 1.05 / 5) * 5 # sell call (lower)
K_cb = round(S * 1.10 / 5) * 5 # buy call (upper wing)
T = 45 / 365.25
credit = (
black_scholes_put(S, K_put, T, r, sigma)
+ black_scholes_call(S, K_cs, T, r, sigma)
- black_scholes_call(S, K_cb, T, r, sigma)
)
S_exp = spot_at_expiry
put_loss = max(0, K_put - S_exp)
call_loss = max(0, S_exp - K_cs) - max(0, S_exp - K_cb)
pnl = credit - put_loss - call_loss
pnl_pct = pnl / K_put * 100