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+769.7%0.98+93.5%+84.2%+40.5%19
QQQ+750.3%0.89+109.7%+73.7%+39.5%19
IWM+756.6%0.82+147.9%+73.7%+39.8%19
DIA+850.9%0.92+85.6%+84.2%+44.8%19
Avg+781.9%0.90+109.2%+78.9%—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)