Long 1 lower call, short 2 middle calls, long 1 upper call.
| Symbol | Return % | Sharpe | Max DD % | Win % | Avg/trade % | Trades |
|---|---|---|---|---|---|---|
| SPY | -687.7% | -0.53 | +792.6% | +31.6% | -36.2% | 19 |
| QQQ | -530.8% | -0.32 | +916.4% | +31.6% | -27.9% | 19 |
| IWM | -560.6% | -0.29 | +755.4% | +31.6% | -29.5% | 19 |
| DIA | -690.8% | -0.38 | +758.8% | +31.6% | -36.4% | 19 |
| Avg | -617.5% | -0.38 | +805.8% | +31.6% | — | 19 |
| Parameter | Default | Description |
|---|---|---|
| body_strike | ATM | Middle strike |
A defined-risk, defined-reward structure that benefits if expiry finishes near the body strike.
# +C(K1) - 2C(K2) + C(K3)