Buy ATM straddle, sell OTM wings.
| Symbol | Return % | Sharpe | Max DD % | Win % | Avg/trade % | Trades |
|---|---|---|---|---|---|---|
| SPY | +768.6% | 0.48 | +119.4% | +57.9% | +40.5% | 19 |
| QQQ | +1136.6% | 0.56 | +122.9% | +57.9% | +59.8% | 19 |
| IWM | +1267.9% | 0.59 | +187.0% | +63.2% | +66.7% | 19 |
| DIA | +79.2% | 0.08 | +159.1% | +52.6% | +4.2% | 19 |
| Avg | +813.1% | 0.43 | +147.1% | +57.9% | — | 19 |
| Parameter | Default | Description |
|---|---|---|
| wing_width | 10% | Distance to protective shorts |
Long-vol butterfly that wins when expiry moves away from ATM.
# +C(ATM) + P(ATM) - P(wing) - C(wing)