Long Call Diagonal

Directional

Long longer-dated call + short shorter-dated higher-strike call.

Performance across all datasets

SymbolReturn %SharpeMax DD %Win %Avg/trade %Trades
SPY+970.5%0.79+194.2%+84.2%+51.1%19
QQQ+859.1%0.59+231.9%+68.4%+45.2%19
IWM+794.9%0.47+416.0%+57.9%+41.8%19
DIA+896.9%0.80+190.6%+79.0%+47.2%19
Avg+880.3%0.66+258.2%+72.4%—19
Cumulative P&L % — all symbols
Detail:
Cumulative P&L % — SPY

Risk Profile

Max Profit
Around short strike zone
Max Loss
Net debit
Breakeven
Dynamic
Outlook
Moderately bullish

Parameters

ParameterDefaultDescription
strike_skewATM/OTMLong lower strike, short higher strike

Methodology

Diagonal combines time and strike differences to shape directional, theta, and vega exposure.

Implementation

# +C(K1,T_long) - C(K2,T_short)