Buy longer-dated call, sell shorter-dated call at same strike.
| Symbol | Return % | Sharpe | Max DD % | Win % | Avg/trade % | Trades |
|---|---|---|---|---|---|---|
| SPY | +868.7% | 0.91 | +85.5% | +84.2% | +45.7% | 19 |
| QQQ | +988.6% | 1.12 | +74.9% | +89.5% | +52.0% | 19 |
| IWM | +713.4% | 0.71 | +100.6% | +73.7% | +37.5% | 19 |
| DIA | +688.5% | 0.69 | +113.1% | +79.0% | +36.2% | 19 |
| Avg | +814.8% | 0.86 | +93.5% | +81.6% | — | 19 |
What this shows: Overlayed cumulative return series for this strategy across all available symbols.
How to read it: Look for symbols with smoother curves and faster recoveries to assess whether performance is broad-based or driven by a few outliers.
What this shows: Single-symbol cumulative return path for SPY.
How to read it: Use this detailed view to inspect entry/exit behavior over time and whether drawdowns cluster in specific periods.
| Parameter | Default | Description |
|---|---|---|
| term_structure | 45/90 DTE | Short/long tenors |
Calendar spreads express long vega / short theta around a strike with defined scenario sensitivity.
# +C(K,T_long) - C(K,T_short)