Long Put Butterfly

Volatility

Put-version butterfly centered near ATM.

Performance across all datasets

SymbolReturn %SharpeMax DD %Win %Avg/trade %Trades
SPY+2538.6%0.51+600.0%+47.4%+133.6%19
QQQ+2490.8%0.41+700.0%+42.1%+131.1%19
IWM-511.9%-0.32+900.0%+21.1%-26.9%19
DIA+519.7%0.14+810.2%+42.1%+27.4%19
Avg+1259.3%0.18+752.6%+38.2%—19
Cumulative P&L % — all symbols
Detail:
Cumulative P&L % — SPY

Risk Profile

Max Profit
At middle strike
Max Loss
Net debit
Breakeven
Lower/upper breakeven bands
Outlook
Pinning / low movement

Parameters

ParameterDefaultDescription
body_strikeATMMiddle strike

Methodology

Same payoff shape as call butterfly, expressed with puts.

Implementation

# +P(K3) - 2P(K2) + P(K1)