Buy ATM straddle, sell OTM wings.
| Symbol | Return % | Sharpe | Max DD % | Win % | Avg/trade % | Trades |
|---|---|---|---|---|---|---|
| SPY | -587.5% | -0.62 | +587.7% | +36.8% | -30.9% | 19 |
| QQQ | -420.3% | -0.49 | +428.6% | +36.8% | -22.1% | 19 |
| IWM | -199.1% | -0.27 | +256.6% | +42.1% | -10.5% | 19 |
| DIA | -519.9% | -0.62 | +574.0% | +15.8% | -27.4% | 19 |
| Avg | -431.7% | -0.50 | +461.7% | +32.9% | — | 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)