Put Front Spread

Directional

Buy 1 higher put, sell 2 lower puts.

Performance across all datasets

SymbolReturn %SharpeMax DD %Win %Avg/trade %Trades
SPY+2722.8%0.53+438.0%+94.7%+143.3%19
QQQ+2378.6%0.91+308.6%+94.7%+125.2%19
IWM+3336.3%0.35+1148.5%+89.5%+175.6%19
DIA-564.6%-0.14+1317.0%+10.5%-29.7%19
Avg+1968.3%0.41+803.0%+72.4%—19
Cumulative P&L % — all symbols
Detail:
Cumulative P&L % — SPY

Risk Profile

Max Profit
Near lower short strike
Max Loss
Large downside
Breakeven
Depends on entry credit/debit
Outlook
Mildly bearish / short vol

Parameters

ParameterDefaultDescription
ratio1x2Long/short put ratio

Methodology

Front spread is the inverse of put backspread; short convexity profile.

Implementation

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